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作者

来源

REAL ESTATE ECONOMICS,Vol.47,Issue1SI,P.18-65

语言

英文

关键字

PRIVATE; RISK; RETURNS; PREDICTABILITY; MOMENTUM

作者单位

[Van Nieuwerburgh, Stijn] NYU, Stern Sch Business, Dept Finance, 44 W 4th St, New York, NY 10012 USA. Van Nieuwerburgh, S (reprint author), NYU, Stern Sch Business, Dept Finance, 44 W 4th St, New York, NY 10012 USA. E-Mail: svnieuwe@stern.nyu.edu

摘要

Over the last several years, the price of listed real estate stocks has been unusually high relative to dividends. I find that neither low interest rates nor low risk premia can account for the high valuation ratios. Lower interest rates have been offset by rising risk premia to keep expected returns close to average. Instead, the market has priced in future income growth on commercial properties far above the growth rates seen in the data. High implied growth rates are less extreme for nontraditional REIT sectors. Income growth expectations are also less extreme for international listed real estate.