Risk and Returns of Income Producing Properties

Core versus Noncore

Jianhua Gang, Liang Peng, Thomas G. Thibodeau

Research output: Contribution to journalArticle

1 Citation (Scopus)

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.

Original languageEnglish (US)
JournalReal Estate Economics
DOIs
StateAccepted/In press - Jan 1 2017

Fingerprint

Income
Risk and return
Factors
Systematic risk
Real estate
Equity

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

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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.",
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Risk and Returns of Income Producing Properties : Core versus Noncore. / Gang, Jianhua; Peng, Liang; Thibodeau, Thomas G.

In: Real Estate Economics, 01.01.2017.

Research output: Contribution to journalArticle

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