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The Composition of the Market Portfolio and Real Estate Investment Performance
Author(s) -
Liu Crocker H.,
Hartzell David J.,
Grissom Terry V.,
Greig Wylie
Publication year - 1990
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00509
Subject(s) - real estate , economics , portfolio , capitalization rate , proxy (statistics) , investment performance , financial economics , investment (military) , econometrics , real estate investment trust , monetary economics , microeconomics , return on investment , finance , mathematics , production (economics) , statistics , politics , political science , law
This study investigates whether the composition of the market portfolio leads to different inferences on real estate performance. As a point of departure, this paper first explores whether the omission of assets in a market proxy leads to a biased measurement of investment performance. The study finds that ranking investment performance is not meaningless even though investment performance is inaccurately measured. Furthermore, the composition of the market proxy does not necessarily lead to different inferences on real estate investment performance although superior real estate investment performance arises from the omitted asset phenomenon and also from smoothing bias in general.