Systematic Behavior in Real Estate Investment Risk: Performance Persistence in NCREIF Returns

1996 ◽  
Vol 12 (2) ◽  
pp. 369-381 ◽  
Author(s):  
Young Michael ◽  
Graff Richard
Keyword(s):  
Real Estate ◽  
Performance Persistence ◽  
Investment Risk ◽  
Real Estate Investment ◽  
Systematic Behavior

Undivided Real Estate Shares: Appraisal and Interactions with Capital Markets

2014 ◽  
Vol 584-586 ◽  
pp. 2522-2527 ◽  
Author(s):  
Vincenzo del Giudice ◽  
Pierfrancesco de Paola
Keyword(s):  
Real Estate ◽  
Capital Asset Pricing ◽  
Investment Risk ◽  
Capital Asset ◽  
Real Estate Investment ◽  
The Real Estate ◽  
Asset Pricing Model ◽  
Penalized Spline ◽  
Semiparametric Method ◽  
Risk Valuation

The appraisal of undivided and indivisible real estate shares represents a recurring and underestimated issue by professional appraisers. This problem requires a logical solution considering that the undivided real estate shares are more difficult to sell and, consequently, there is a decrease of their market value. It follows that issue can be referred, in theoretical and practical terms, to the real estate investment risk valuation and on how to convert this risk into an expected rate that can compensate it. In this paper theCapital Asset Pricing Modelhas been integrated withPenalized Spline Semiparametric Methodin order to obtain an algorithm that allows to rationalize the appraisal of undivided real estate shares using easily accessible data.

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