Real Estate Risk and Return Expectations: Recent Survey Results

Investment and portfolio studies generally use ex post risk and return data, although expected risk and return data is what should be used. This is probably due to the dearth of such data or the difficulty and/or cost of obtaining it on a current basis. This study reports the results of a survey of major real estate investors and researchers, i.e., large life insurance companies, real estate advisors, large pension funds, and selected academics. The survey examined investment horizon, expectations about inflation, total returns on real estate, distribution between income and appreciation returns, the volatility of real estate returns, and the correlation of real estate returns with stocks returns, bond returns, and inflation. In addition, the study contains results for the above before and after the October 19, 1987, stock market crash.

Refining the Analysis of Regional Diversification for Income-Producing Real Estate

The few studies that have looked at regional diversification of real estate portfolios have segmented the United States into four regions without regard to the underlying economic activity in those four regions. In this study, results are presented which analyze the regional diversification issue by segmenting the country into eight regions based on similar underlying economic fundamentals. The results differ from previous studies in showing that eight-region diversification provides benefits that cannot be achieved from four-region diversification, hence indicating that location does play an important role in real estate portfolio management.

An Updated Look at the Size of the U.S. Real Estate Market Portfolio

Using 1989 data on aggregate real estate values for a sample of counties, this paper develops estimates of the total value of real estate by property type in the United States. The values for commercial and residential property are also reported by region and for the forty-four largest MSAs. The estimated total value of commercial real estate is compared with the value of other investment asset classes, and implications are drawn for investment portfolios.

Rupture process of the 1987 Superstition Hills earthquake from the inversion of strong-motion data

A pair of significant earthquakes occurred on conjugate faults in the western Imperial Valley involving the through-going Superstition Hills fault and the Elmore Ranch cross fault. The first event was located on the Elmore Ranch fault, M_s = 6.2, and the larger event on the Superstition Hills fault, M_s = 6.6. The latter event is seen as a doublet teleseismically with the amplitudes in the ratio of 1:2 and delayed by about 8 sec. This 8-sec delay is also seen in about a dozen strong-motion records. These strong-motion records are used in a constrained least-squares inversion scheme to determine the distribution of slip on a 2-D fault. Upon closer examination, the first of the doublets was found to be itself complex requiring two episodes of slip. Thus, the rupture model was allowed to have three separate subevents, treated as separate ruptures, with independent locations and start times. The best fits were obtained when all three events initiated at the northwestern end of the fault near the intersection of the cross-fault. Their respective delays are 2.1 and 8.6 sec relative to the first subevent, and their moments are 0.4, 0.9, and 3.5 × 10^(25) dyne-cm, which is about half of that seen teleseismically. This slip distribution suggests multi-rupturing of a single asperity with stress drops of 60, 200, and 15 bars, respectively. The first two subevents were confined to a small area around the epicenter while the third propagated 18 km southwestward, compatible with the teleseismic and afterslip observations

Superior Real Estate Investment Performance: Enigma or Illusion? A Critical Review of the Literature

[Excerpt] The purpose of this paper is to critique the existing empirical evidence on the investment performance of real estate relative to alternative asset categories. The key issue which guides this review of the investment performance literature is whether abnormal real estate returns are merely an illusion which arises from the shortcomings associated with various real estate performance studies or are the result of an omission of more fundamental factors. We suggest that any superior return is a short-run phenomenon, because, according to capital market theory, all assets should exhibit similar risk and return characteristics in the long run. If real estate continues to possess superior performance in the long run, then this implies that fundamental factors have been omitted from the real estate pricing model. Moreover, we will propose that a world in which the capital asset pricing model holds might be compatible with the existing evidence, because most of the prior studies have focused on total risk rather than on systematic risk. l Consequently, all assets can plot on the security market line in equilibrium, given a CAPM world, regardless of whether one asset (portfolio) such as real estate dominates another asset (portfolio) such as stocks from a mean-variance perspective

Reply to Arthur Frankel's "Comment on 'Rupture process of the 1987 Superstition Hills earthquake from the inversion of strong-motion data'"

We thank Art Frankel for his continuing interest in unraveling the details of the complicated source process of the 1987 Superstition Hills earthquake. His insightful comments and subsequent modeling on our part has helped to resolve some of the differences between the rupture model presented in Wald et al. (1990), hereafter referred to as WEA, and that published by Frankel and Wennerberg (1989), hereafter F&W

Protein-losing enteropathy after the Fontan operation

AbstractPatients were observed after the Fontan operation to determine the frequency and severity of protein-losing enteropathy. A total of 427 patients who survived for 30 days after the Fontan operation, performed between 1973 and January 1987, were analyzed and, thus far, protein-losing enteropathy has developed in 47 of 427. The cumulative risk for the development of protein-losing enteropathy by 10 years was 13.4% among 30-day survivors, and 5-year survival after the diagnosis was 46%. Hemodynamic studies done coincident with the diagnosis of protein-losing enteropathy have shown increased systemic venous pressure, decreased cardiac index, increased pulmonary vascular resistance, and increased ventricular end-diastolic pressure. Medical management of protein-losing enteropathy was only partially successful. Statistical analysis has shown that factors related to protein-losing enteropathy were ventricular anatomy, increased preoperative ventricular end-diastolic pressure, longer operative bypass time, increased length of hospital stay, and postoperative renal failure. This study suggests that scrupulous selection of cases for the Fontan operation is mandatory and that certain perioperative factors may predispose to this serious complication of the Fontan procedure. (J THORAC CARDIOVASC SURG 1996;112:672-80