caa a22 4500 47712982X CHVBK 20180405111701.0 cr unu---uuuuu 170330e19970501xx s 000 0 eng 10.1023/A:1007754312084 doi (NATIONALLICENCE)springer-10.1023/A:1007754312084 Economic Risk Factors and Commercial Real Estate Returns [Elektronische Daten] [ANDY NARANJO, DAVID LING] A great deal of research has focused on the links between stock and bond market returns and macroeconomic events such as fluctuations in interest rates, inflation rates, and industrial production. Although the comovements of real estate and other asset prices suggests that these same systematic risk factors are likely to be priced in real estate markets, no study has formally addressed this issue. This study identifies the growth rate in real per capita consumption, the real T-bill rate, the term structure of interest rates, and unexpected inflation as fundamental drivers or "state variables” that systematically affect real estate returns. The finding of a consistently significant risk premium on consumption has important ramifications for the vast literature that has examined the (risk-adjusted) performance of real estate, for it suggests that prior findings of significant abnormal returns (either positive or negative) that have ignored consumption are potentially biased by an omitted variables problem. The results also have important implications for dynamic asset allocation strategies that involve the predictability of real estate returns using economic data. Kluwer Academic Publishers, 1997 real estate returns nationallicence asset pricing nationallicence economic risk factors nationallicence risk premiums nationallicence multibeta asset pricing model nationallicence systematic risk nationallicence NARANJO ANDY Department of Finance, Insurance and Real Estate, Graduate School of Business Administration, University of Florida, 32611-7160, Gainesville, FL aut LING DAVID Department of Finance, Insurance and Real Estate, Graduate School of Business Administration, University of Florida, 32611-7160, Gainesville, FL aut The Journal of Real Estate Finance and Economics Kluwer Academic Publishers 14/3(1997-05-01), 283-307 0895-5638 14:3<283 1997 14 11146 https://doi.org/10.1023/A:1007754312084 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1023/A:1007754312084 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- NARANJO ANDY Department of Finance, Insurance and Real Estate, Graduate School of Business Administration, University of Florida, 32611-7160, Gainesville, FL aut NATIONALLICENCE 700 1- LING DAVID Department of Finance, Insurance and Real Estate, Graduate School of Business Administration, University of Florida, 32611-7160, Gainesville, FL aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Kluwer Academic Publishers 14/3(1997-05-01), 283-307 0895-5638 14:3<283 1997 14 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer