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A much robust and updated evidences of the alternative real-estate based asset pricing

机译：基于替代房地产的资产定价的稳健和更新证据

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摘要

To response Harvey, Liu and Zhu's and Gospodinov, Kan and Robotti's criticism for an empirical study, we develop an alternative real-estate based model in asset pricing for an updated robustness. We make an innovation for the perspective of practitioners: the real-estate pricing factor is an alternative excess return of real estate portfolio. The results suggest that an updated and much robust role of the real-estate based asset pricing model: for example, the t-statistic of the real-estate pricing factor is higher than 3.00, suggesting that one is not derived from a data mining strategy. Moreover, we examine the performance of our alternative real-estate based model in a series of various portfolios (sorted in some vital anomalies); eventually, the results statistically support the real-estate based model.
机译：为了应对哈维，刘和朱和古代透明度，Kan和Robotti对一个实证研究的批评，我们在资产定价中开发了一个更新的鲁棒性的替代房地产模型。我们为从业者的角度做出创新：房地产定价因素是房地产投资组合的替代过度回报。结果表明，基于房地产的资产定价模型的更新和强大的作用：例如，房地产定价因子的T型统计量高于3.00，表明一个不是从数据挖掘策略中得出的。此外，我们在一系列各种投资组合中审视我们替代房地产基于的模型的表现（在一些重要的异常中排序）;最终，结果统计支持基于房地产的模型。

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