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Search for a Common Factor in Public and Private Real Estate Returns

  • Andrew Ang
  • Neil Nabar
  • Sam Wald

This paper is no longer available on-line from the NBER. A revised version of the paper has been published as "Searching for a Common Factor in Public and Private Real Estate Returns" in the Journal of Portfolio Management JPM RE 2013, Vol. 39, No. 5: pp. 120-133.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 19194.

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Date of creation: Jul 2013
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Handle: RePEc:nbr:nberwo:19194
Note: AP
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  1. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  2. Camilo Serrano & Martin Hoesli, . "Forecasting EREIT Returns," Swiss Finance Institute Research Paper Series 07-35, Swiss Finance Institute.
  3. William C. Wheaton, 1999. "Real Estate "Cycles": Some Fundamentals," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(2), pages 209-230.
  4. Joseph L. Pagliari & Kevin A. Scherer & Richard T. Monopoli, 2005. "Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(1), pages 147-187, 03.
  5. Goetzmann, W.N., 1990. "The Accuracy Of Real Estimate Indices: Repeat Sale Estimators," Papers fb-_90-17, Columbia - Graduate School of Business.
  6. Richard Barkham & David Geltner, 1995. "Price Discovery in American and British Property Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 21-44.
  7. Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
  8. Susanne, Cannon & Rebel, Cole, 2011. "How Accurate Are Commercial Real Estate Appraisals? Evidence from 25 Years of NCREIF Sales Data," MPRA Paper 52621, University Library of Munich, Germany, revised 25 May 2011.
  9. David Geltner & Brian Kluger, 1998. "REIT-Based Pure-Play Portfolios: The Case of Property Types," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(4), pages 581-612.
  10. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
  11. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  12. F.C. Neil Myer & James R. Webb, 1994. "Retail Stocks, Retail REITs, and Retail Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 9(1), pages 65-84.
  13. Geltner, David Michael, 1991. "Smoothing in Appraisal-Based Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 4(3), pages 327-45, September.
  14. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2011. "The Long-Run Dynamics between Direct and Securitized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 33(1), pages 73-104.
  15. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515.
  16. Harrison Hong & José Scheinkman & Wei Xiong, 2006. "Asset Float and Speculative Bubbles," Journal of Finance, American Finance Association, vol. 61(3), pages 1073-1117, 06.
  17. Kevin Chiang, 2009. "Discovering REIT Price Discovery: A New Data Setting," The Journal of Real Estate Finance and Economics, Springer, vol. 39(1), pages 74-91, July.
  18. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  19. Ross, Stephen A & Zisler, Randall C, 1991. "Risk and Return in Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 4(2), pages 175-90, June.
  20. Joseph Gyourko & Donald B. Keim, 1992. "What Does the Stock Market Tell Us About Real Estate Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 457-485.
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