In this paper we simulate the performance of real estate portfolios using cash flows from commercial properties over the period 1977 Q4 through 2004 Q2. Our methodology differs from analyses that rely upon historical time-weighted rates of return on property. We relax implicit rebalancing and...

This article reviews the empirical risk and return statistics from physical real estate and financial real estate investments made in the U.S. over the period 1972-1999. It includes income, capital appreciation, and total returns from business, residential, and farm real estate, as well as REIT...

Real estate is regarded as an inflation hedge, however the autocorrelation of property return indices and the autocorrelation of changes in the CPI pose serious problems of inference. In this paper we address these problems in two ways. First, we use robust methods to test of changes in the...