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Real estate and the arbitrage pricing theory
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Journal Article
Real estate and the arbitrage pricing theory
1997
Overview
Two empirical models are used to implement the arbitrage pricing theory: the factor loading model (FLM) and the macrovariable model (MVM). The ability of these models is compared to explain real estate returns using equity REIT returns as a proxy. Two tests are performed. The results show that while the 2 models perform equally well during the 1974-1979 period, the MVM outperforms the FLM over the periods 1980-1985 and 1986-1991. Both models suggest superior financial performance for EREITs relative to other investments in the market during the period 1980-1985.
