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Jacob S Sagi Kenan-Flagler Business School , UNC Chapel Hill Please send correspondence by email to sagi@unc.edu. Search for other works by this author on: Oxford Academic
The Review of Financial Studies, Volume 34, Issue 8, August 2021, Pages 3647–3694, https://doi.org/10.1093/rfs/hhaa122
Published:
27 October 2020
Article history
Received:
16 March 2017
Published:
27 October 2020
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Jacob S Sagi, Asset-Level Risk and Return in Real Estate Investments, The Review of Financial Studies, Volume 34, Issue 8, August 2021, Pages 3647–3694, https://doi.org/10.1093/rfs/hhaa122
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Abstract
In stark contrast with liquid asset returns, commercial real estate idiosyncratic return means and variances do not scale with the holding period, even after accounting for all cash flow-relevant events. This puzzling phenomenon survives controlling for vintage effects, systematic risk heterogeneity, and a host of other explanations. To explain the findings, I derive an equilibrium search-based asset-pricing model that, when calibrated, provides an excellent fit to transactions data. A structural model of transaction risk seems crucial to understanding real estate price dynamics. These insights extend to other highly illiquid asset classes, such as private equity and residential real estate.
© The Author(s) 2020. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.
This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model (https://academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model)
JEL
D40 - General G12 - Asset Pricing; Trading volume; Bond Interest Rates R30 - General
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Editor: Stijn Van Nieuwerburgh Stijn Van Nieuwerburgh Editor Search for other works by this author on: Oxford Academic
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