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The Composition of the Market Portfolio and Real Estate Investment Performance

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dc.contributor.authorLiu, Crocker H.
dc.contributor.authorHartzell, David J.
dc.contributor.authorGrissom, Terry V.
dc.contributor.authorGreig, Wylie
dc.date.accessioned2020-09-12T21:03:19Z
dc.date.available2020-09-12T21:03:19Z
dc.date.issued1990-01-01
dc.description.abstractThis study investigates whether the composition of the market portfolio leads to different inferences on real estate performance. As a point of departure, this paper first explores whether the omission of assets in a market proxy leads to a biased measurement of investment performance. The study finds that ranking investment performance is not meaningless even though investment performance is inaccurately measured. Furthermore, the composition of the market proxy does not necessarily lead to different inferences on real estate investment performance although superior real estate investment performance arises from the omitted asset phenomenon and also from smoothing bias in general.
dc.description.legacydownloadsLiu35_The_composition_of_the_market_portfolio__1_.pdf: 1036 downloads, before Aug. 1, 2020.
dc.identifier.other6037129
dc.identifier.urihttps://hdl.handle.net/1813/71541
dc.language.isoen_US
dc.relation.doihttps://doi.org/10.1111/1540-6229.00509
dc.rightsRequired Publisher Statement: © Wiley. Final version published as: Liu, C. H., Hartzell, D. J., Grissom, T. V., & Greig, W. (1990). The composition of the market portfolio and real estate investment performance. Real Estate Economics, 18(1), 49-75. DOI: 10.1111/1540-6229.00509. Reprinted with permission. All rights reserved.
dc.subjectcomposition
dc.subjectmarket portfolio
dc.subjectreal estate investment
dc.titleThe Composition of the Market Portfolio and Real Estate Investment Performance
dc.typearticle
local.authorAffiliationLiu, Crocker H.: chl62@cornell.edu Cornell University
local.authorAffiliationHartzell, David J.: University of North Carolina at Chapel Hill
local.authorAffiliationGrissom, Terry V.: Texas A&M University
local.authorAffiliationGreig, Wylie: The RREEF Funds

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