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Post by Sapphire Capital on Jul 22, 2008 21:39:18 GMT 4
Real Estate Returns and Risk with Heterogeneous Investors ZHENGUO LIN Federal National Mortgage Association (Fannie Mae) YINGCHUN LIU Federal National Mortgage Association (Fannie Mae) -------------------------------------------------------------------------------- Real Estate Economics, Forthcoming Abstract: This paper develops a theoretical framework and formulates a unified risk metric that integrates both real estate price risk and uncertainty of time-on-market (TOM). We show that real estate return and risk are investor-specific, varying over investors with different financial circumstances and holding periods. We find that the traditional valuation of real estate return and risk, which is based solely on the return distribution of a successful sale, underestimates real estate risk and exaggerates real estate return. papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1148875_code90038.pdf?abstractid=1148875&mirid=3
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