Risk and Returns of Income Producing Properties: Core versus Noncore

Jianhua Gang, Liang Peng, Thomas G. Thibodeau

Research output: Contribution to journalArticle

1 Scopus citations

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)
Pages (from-to)476-503
Number of pages28
JournalReal Estate Economics
Volume48
Issue number2
DOIs
StatePublished - Jun 1 2020

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

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