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Risk and Returns of Income Producing Properties: Core versus Noncore
Author(s) -
Gang Jianhua,
Peng Liang,
Thibodeau Thomas G.
Publication year - 2017
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 - 10.1111/1540-6229.12208
Subject(s) - systematic risk , economics , sample (material) , real estate , equity (law) , econometrics , core (optical fiber) , financial economics , finance , computer science , chemistry , chromatography , political science , law , telecommunications
Abstract This article empirically analyzes whether core and noncore private income producing properties have different investment returns, using a large sample of about 5,000 individual properties during the 1997–2014 period. We use a holding‐period factor model to control for both systematic risk, including loadings of both public equity factors and a real estate factor, and nonsystematic risk. We find that core properties have lower systematic risk but higher returns than noncore properties before and after adjusting for both systematic and nonsystematic risk.