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首页> 外文期刊>Zeitschrift fuer Immobilienoekonomie >Risk measures for direct real estate investments with non-normal or unknown return distributions
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Risk measures for direct real estate investments with non-normal or unknown return distributions

机译：具有非正常或未知返回分配的直接房地产投资的风险措施

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The volatility of returns is probably the most widely used risk measure for real estate. This is rather surprising since a?number of studies have cast doubts on the view that volatility can capture the manifold risks attached to properties and corresponds to the risk attitude of investors. A?central issue in this discussion is the statistical properties of real estate returns—in contrast to neoclassical capital market theory they are mostly non-normal and often unknown, which render many statistical measures useless. Based on a?literature review and an analysis of data from Germany we provide evidence that volatility alone is inappropriate for measuring the risk of direct real estate.We use a?unique data sample by IPD, which includes the total returns of 939 properties across different usage types (56% office, 20% retail, 8% others and 16% residential properties) from 1996 to 2009, the German IPD Index, and the German Property Index. The analysis of the distributional characteristics shows that German real estate returns in this period were not normally distributed and that a?logistic distribution would have been a?better fit. This is in line with most of the current literature on this subject and leads to the question which indicators are more appropriate to measure real estate risks. We suggest that a?combination of quantitative and qualitative risk measures more adequately captures real estate risks and conforms better with investor attitudes to risk. Furthermore, we present criteria for the purpose of risk classification.
机译：回报的波动可能是最广泛使用的房地产风险措施。这是相当令人惊讶的，因为一个人的学习人数已经阐述了促使波动率可以捕捉到属性的流形风险并对应于投资者的风险态度。 a？核心问题在本讨论中是房地产回报的统计特性 - 与新古典资本市场理论相比，它们大多是非正常的，通常是未知的，这使得许多统计措施无用。基于a？文献综述和德国数据的分析，我们提供了仅仅是衡量直接房地产的风险的证据。我们使用IPD使用一个唯一的数据样本，其中包括跨越939个属性的总回报从1996年到2009年，德国IPD指数和德国财产指数的使用类型（56％办公室，20％零售，8％和16％的住宅物业）。分析特征的分析表明，这一时期的德国房地产回报通常不会分布，并且一个？物流分布将是一个更好的契合。这符合此主题的当前文献中的大多数文献，并导致该问题，指标更适合衡量房地产风险。我们建议，定量和定性风险措施的组合更充分地捕获房地产风险，并符合投资者对风险的态度更好。此外，我们呈现出风险分类目的的标准。

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