Searching for a Common Factor in Public and Private Real Estate Returns

Higher-Frequency Analysis of Low-Frequency Data

“…Illiquid investments, though unique in their funding and reporting characteristics, are nevertheless often related to other liquid investments through shared exposures to common factors. A private equity portfolio shares a relatively common set of factors with public equities, and even an illiquid real estate portfolio is likely to be indirectly related to REITs (Ang et al [2013b]). The two methodologies presented in this section rely on the observable low-frequency relationship between the low-frequency return series and the higher-frequency proxy series to infer the low-frequency series' underlying high-frequency behavior, while also ensuring that the estimated series matches the actual low-frequency series over the appropriate time intervals.…”

REIT-Specific and Macroeconomic Determinants of REIT Returns: Evidence from Singapore

“…changes to attract small investors. REITs are considered to have a high liquid asset compared to the real estate market, and it is a growing force in the emerging markets and is becoming an investment vehicle for the small-scale investors in order to expose them to the real estate market (Ang et al, 2013;Elliott and Timmermann, 2013).…”

The Shadow Costs of Illiquidity

“…2 Finally, opposing indirect evidence also exists for real estate investments. Qian and Liu (2012) find a somewhat higher expected return for direct compared to indirect real estate, while Ang, Nabar, and Wald (2013) find comparable performance for direct and indirect real estate investments. Although our model implied shadow costs are not directly comparable to the empirically estimated liquidity premiums that are the result of general equilibrium outcomes, our model gives perspective on the order of magnitude of shadow costs that investors require for the illiquid asset to become liquid in these four asset classes.…”