SMU SOE Online Seminar (Sept 23, 2020, 10am-11.30am): How Different Is Real Estate? A Story of Factors

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ABSTRACT How different is real estate from stocks and bonds? This paper sheds light on this question with new data and new methods. Analyzing 10,848 commercial properties from 1977 to 2017, we find that properties’ risk premiums contain systematic components that are orthogonal to a comprehensive list of stock and bond factors. We call these components real estate factors. We also find that properties in each region and property type have their own factors. The real estate factors have substantial incremental explanatory power for individual properties’ risk premiums, and properties’ attributes are related to their loadings of the real estate factors. Keywords: Real estate, risk premium, factors. JEL Codes: G12, R33. Click here to view the paper. Click here to view the CV.		This seminar will be held via Zoom. A confirmation email with the Zoom details will be sent to the registered email by 22 September 2020.
		PRESENTER Liang Peng Pennsylvania State University
		RESEARCH FIELDS Commercial Real Estate Housing as Assets
		DATE: 23 September 2020 (Wednesday)
		TIME: 10.00am - 11.30am