房地产投资风险与回报.pdf

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房地产投资风险与回报Risk and Return in Real Estate InvestmentLiu HongyuProfessor in Real Estate and ConstructionInstitute of Real Estate Studiesliuhy@一、房地产投资回报z投资的两个主要目的z增值（储蓄）：相对长期的目标（不是当前需要）z收益（当前现金流）：短期和运营中的现金需求1 一、房地产投资回报-主要约束和关心的问题-风险-流动性-时间周期-管理负担（房地产投资需要专业管理）-可用于投资的基金数量（投资规模）-资本约束一、房地产投资回报„回报的概念‡回报=“利润”或“报酬”‡回报=目标是最大化‡回报=你所得到的－你初始投入，是你初始投入的一个比例2 一、房地产投资回报„定量描述回报，必须: ‡量测过去的投资绩效，即历史回报;‡量测预期未来的投资绩效，即预期回报。一、房地产投资回报„根据数学计算方法的不同，回报的定义主要有如下两种:‡1) 周期回报PERIOD-BY-PERIOD RETURNS（静态）‡2) 多周期复合回报MULTIPERIOD RETURN MEASURES（动态）3 一、房地产投资回报„周期回报PERIOD-BY-PERIOD RETURNS‡是周期性的回报（PERIODIC RETURNS）„例如“持有期回报”（HOLDING PERIOD RETURN，HPR）„量测每个时间周期内投资增长情况„假设全部现金流都出现在该时间周期的开始或结束。‡逐期独立计算，例如日、月、季度、年等回报系列。‡可以通过一段时间内的各期回报，确定时间加权的多周期回报（“TIME-WEIGHTED”MULTI-PERIOD RETURN）‡注意：所选定的周期应该足够短，以满足期间无现金流入留出的假设。一、房地产投资回报„周期回报的优点（经过时间加权）‡帮助追踪一段时期内的投资绩效，以便识别不同时间段投资绩效的表现情况‡使得定量分析风险（VOLATILITY）和与其他投资或其他社会经济现象的相关性(CO-MOVEMENT)‡比较容易让投资基金（如退休基金）评判投资绩效，及时发现投资经理在现金流管理中存在的问题。4 一、房地产投资回报„周期回报的表现方式‡“总体回报" ("r"):r=(CF+V-V)/ V=((CF+V)/V) -1tttt-1t-1ttt-1式中: CF= 周期“t”的净现金流; V= “t”周期末的资产价值(不包括分tt红）‡“收益回报”(“y”, 又称“当前收益CURRENT YIELD”, 或简称“收益YIELD"):y= CF/ Vttt-1‡“增值回报”(“g”, 又称“资本利得CAPITAL GAIN”, 或“资本回报CAPITAL RETURN”, 或“增值GROWTH"):g= ( V-V) / V= V/ V-1ttt-1t-1tt-1‡注意: r= y+ gttt一、房地产投资回报„总体回报非常重要:‡将收益y 转换为增值g, 将现金流重新投资到资产中；‡将增值g转换为收益y, 卖掉资产中的部分权益。„注意:这种类型的转换，对大多数房地产投资来说，并不像投资股票和证券时那样容易。5 一、房地产投资回报„例如:‡物业在2004年末的价值为100,000元，该物业在2005年内的净租金收益为10,000元，物业在2005年末的价值为101,000元。那该物业在2005年的r、g、y分别是多少？„y= $10,000/$100,000= 10%1995„g= ($101,000 -$100,000)/$100,000 = 1%1995„r= 10% + 1% = 11%1995一、房地产投资回报„多期复合回报的量测MULTIPERIOD RETURN MEASURES‡在一个投资周期中（THE OVERALL LIFETIME OF THE INVESTMENT）仅初始和期末出现现金流是很少见的，此时如何计算回报呢？‡有许多量测指标，但最常用的是IRR6 一、房地产投资回报„多期复合回报指标的优点:‡不需要准确判断投资资产在投资过程中某一个时间点上的市场价值（对房地产投资来说，做到这一点很困难）；‡对投资经理的管理绩效能够给出更完整的评价和把握（房地产投资项目，尤其是房地产开发项目，其投资周期比较长，短期绩效难以衡量）。‡应该注意的是: 持有期回报率（HPRs）和内部收益率（IRRs）在投资分析中的应用都非常广泛。一、房地产投资回报„多期复合回报指标的类型:‡Time-WeightedAverage Return„如果已经知道某项投资在整个持有期间或该持有期间内每年的回报率，则可以通过算术平均法或几何法，计算持有期内的平均回报率：‡2002～2004年期间的算术平均回报率=(r+ r+ r)/3；020304‡2002～2004年期间的几何平均回报率= [(1+r (1/3))(1+r)(1+r)]–1929394‡Dollar-Weighted Average ReturnN(N−1)PV(1+IRR)−CF(1+IRR)−L−CF(1+IRR)=CF1N−1N平均HPR＝IRR?7 一、房地产投资回报„“NCREIF”周期性回报的计算公式‡美国应用最广泛的商用房地产投资周期性回报指数，是"NCREIF PROPERTY INDEX" (NPI).‡NCREIF是美国全国房地产投资受托人理事会"National Council of Real Estate Investment Fiduciaries”‡NPI是反映全部回报的季度指数，它基于物业层次和评估编制。一、房地产投资回报„NCREIF公式‡公式中的分母，是进行时间加权后的投资，假设：‡1/3的季度物业净经营收益（NOI）在每个日历月末发生。‡部分销售收入（PS）减去资本改良支出（Capital Improvement Expenditures，CI)在每个季度的中间时间点上发生。EndVal−BegVal+(PS−CI)+NOIr=NPIBegVal−(12)(PS−CI)−(13)NOI8 9 National Association of Real Estate Investment Trusts 1Investment Performance of Publicly Traded Real Estate(Percentage changes, except where noted, as of February 28, 2006)1Composite REIT IndexReal Estate 50 Index™ Equity REIT IndexMortgage REIT IndexHybrid REIT IndexReturn ComponentsDividendReturn ComponentsDividendReturn ComponentsDividendReturn ComponentsDividendReturn ComponentsDividend22222PeriodTotalPriceIncomeYieldTotalPriceIncomeYieldTotalPriceIncomeYieldTotalPriceIncomeYieldTotalPriceIncomeYieldAnnual (including current year to date) (including current quarter to date)2005: : Association of Real Estate Investment Trusts 10 二、房地产投资绩效量测指标回顾„财务杠杆和运营比率类指标Leverage and Operating Ratios‡毛租金收入乘数Gross Rent Multiplier „Purchase Price over Gross Rent„The lower the better„A very simple comparison number insufficient for anything but general screening二、房地产投资绩效量测指标回顾„财务杠杆和运营比率类指标Leverage and Operating Ratios‡贷款价值比率Loan to Value Ratio „Measures real estate financial risk„Default risk rises proportionally with the LTV ratio„Typical LTV in the industry is 75%„LTV= Mortgage Loan Balance/ Purchase Price11 二、房地产投资绩效量测指标回顾„财务杠杆和运营比率类指标Leverage and Operating Ratios‡债务覆盖率Debt Coverage Ratio „Must exceed in order for the property to make the mortgage payment„Most lenders require a debt coverage ratio of around to „DCR=NOI/Debt Service二、房地产投资绩效量测指标回顾„财务杠杆和运营比率类指标Leverage and Operating Ratios‡平衡点Breakeven Point „Percentage of occupancy that a building must achieve in order to be able to pay all of it’s cash expenses and carry the assumed financing„Normally in the 65% to 95% range„BP=(Operating Expenses + Mortgage Payments)/ Gross Rent12 二、房地产投资绩效量测指标回顾„财务杠杆和运营比率类指标Leverage and Operating Ratios‡费用比率Expense Ratio „Used in comparison with other property -alone it tells very little„Should be sufficiently high to keep up the property while not wasting capital on uncontrolled expenses, such as energy costs„ER=Operating Expenses/ Effective Gross Income二、房地产投资绩效量测指标回顾„静态盈利指标Single Period or “Static”Profitability Measures‡现金回报率Cash on Cash „Measures initial profitability„The higher the better„Typical first year cash on cash return range from 4 to 10 percent„For REITs, the funds from operation (运营现金流，FFO) is a similar measure„Cash on Cash Return= Before Tax Cash Flow/ Cash Equity13 二、房地产投资绩效量测指标回顾„静态盈利指标Single Period or “Static”Profitability Measures‡税后权益报酬率After Tax Return on Equity„Similar to cash on cash„Takes into account tax shelter„Typically range from 5% to 12% in the first year„ATR=After Tax Cash Flow/ Cash EquityE‡资产报酬率Return on Asset„“Cap Rate”„How much debt a property can carry„Overall returns„The higher the return rates, the more debt a property can support„Typical cap rates run from 8% to 12%„Return on Asset= Net Operating Income/ Purchase Price or Value二、房地产投资绩效量测指标回顾„动态盈利指标Multiple Period or “Dynamic”Return Measures‡内部收益率Internal Rate of Return„The most frequently used measurement of projected holding period overall returns„Delivers in one number an investment return that integrates rental growth rates and property value appreciation„Should be compared to the required rate of return„Typical IRRsrange from 12% to 15%„Can reach over 20% for new, speculative investments14 二、房地产投资绩效量测指标回顾CFCFCFProjected Resale CF12TTEquity = PV= --------+ --------+ ... + --------+ -------------------------E2TT1+irr (1+irr)(1+irr)(1+irr)An IRR can be Before or After Tax using before or after tax cashflows.二、房地产投资绩效量测指标回顾„动态盈利指标Multiple Period or “Dynamic”Return Measures‡转售价格计算Resale Price Calculation„Where R is the “going out”cap rate on the property„From the expected resale price, it is important to deduct reasonable selling costs„Tax considerations need to be noted„Resale Price= Net Operating Income Projected for the Next Year/R‡在转售或再融资时要考虑物业增值Consider Appreciation Through Resale Price or Refinancing15 三、几个重要概念的区别„收入Revenue、收益Income、回报Return„报酬率Rate of Return、收益率Yield or Yield Rate、资本化率Capitalization Rate、内部收益率Internal Rate of Return„通货膨胀率Inflation Rate、租金上涨率Rent Increase Rate、资产增值率Growth Rate、折旧率Depreciation Rate三、几个重要概念的区别„收益回报（Income Return）有许多种表现形式‡收益（Yield）‡当前收益(Current Yield)‡股利收益（红利收益，Dividend Yield）‡资本化率(C, CAP RATE)R‡内部收益率（IRR）16 三、几个重要概念的区别„区分这些概念的要点‡各指标的计算，是基于现金流、还是基于“应计收益（责权发生制下的收益，ACCRUAL INCOME ）”，即：„是否扣除了未来资本支出的预提部分；„是全部收益还是部分收益。‡典型的年资本投资支出预提（CI），通常为资产价值的1～2% ；‡例如: V=1000, NOI=100, CI=10:„y= (100-10)/1000 = 9%, C= 100/1000 = 10%tR三、几个重要概念的区别„收益（Yield）‡可以是当前收益（Current Yield）即部分收益；‡也可以是“全部收益TOTAL YIELD”、“到期收益YIELD TO MATURITY（对债券而言）"„IRRs是全部收益的量测指标，包括了当前收益和增值或资本利得。„资本化率（C, CAP RATE）通常也是R指全部收益。17 三、几个重要概念的区别„名义回报与实际回报‡名义回报：是按当前货币价值计算的回报。是可以看到或实证量测到的“经常性”回报。除非特殊说明，大家平时看到的回报数据，都是名义回报。‡实际回报：是扣除通货膨胀后的回报。是基于用恒定购买力的货币价值计算出来的。三、几个重要概念的区别„示例‡假设2003年的通货膨胀率为5% (即2003年需要用元购买2002年1元钱能买到的商品。所以，2003年的1元，相当于2002年的 = 元。‡如果：r= 第t年的名义总体回报；i=第t年的通tt货膨胀率；R= 第t年的实际总体回报。t‡则: R= (1+r)/(1+i) -1 = r-(i+ iR) ≈tttttttr-i,tt‡因此:名义回报=实际回报+通货膨胀补偿率‡通货膨胀补偿率= i+ iR≈Itttt18 三、几个重要概念的区别„在计算当前收益的情况下‡(实际y)=(名义y)/(1+i) ≈(名义y)tttt三、几个重要概念的区别„示例‡2004年物业价值100,000元，2005年净租金收益10,000元、物业价值101,000元、通货膨胀率为5％。那么，该投资在2005年的实际r、y、g分别是多少？‡实际g = (101,000/)/100,000-1= % ≈-4% (相对于名义g=+1%)‡实际y = (10,000/)/100,000 = +% ≈10% (相对于名义y=10% exactly)‡实际r = (111,000/)/100,000-1=+% ≈6% (相对于名义r = 11%)= g + y =+%+(%) ≈10% -4%19 三、几个重要概念的区别CFCFCF12N0 = + + + . . . + CF02N(1 + IRR)(1 + IRR)(1 + IRR)N⎡⎤⎡⎤NOINOI1NOItIRR⇔YP==1−=⎢⎥∑⎢⎥NtCY(1+Y)(1+Y)t=1R⎣⎦⎣t⎦N⎡⎤NOINOI1±eNOI⎛⎞C≈Y−eRP==1−=⎜⎟⎢⎥CYme1+YYme⎝⎠R⎢⎥⎣⎦三、几个重要概念的区别„重要概念的中英文对照‡收入Revenue，费用Expense，收益Income，亏损Loss‡负债Liability，业主权益Owner’s Equity‡权责发生制AccrualBasis，现金收付制Cash Basis‡股利收益率Dividend yield ratio，资本报酬率Return on investment ，总资产报酬率Return on total asset，债券收益率Yield rate on bonds，优先股收益率Yield rate on preferred stock20 四、风险与房地产投资风险„风险定义‡获取预期投资收益的可能性大小。r≠E[r]tt-jt„当实际收益超出预期收益时，我们就称投资有增加收益的潜力；„而实际收益低于预期收益时，我们就称投资面临着风险损失;„较预期收益增加的部分通常被称为“风险补偿金”。‡常用标准方差来描述分散的各种可能收益与均值偏离的程度。„标准方差越小，各种可能收益的分布就越集中，投资风险也就越小；„标准方差越大，各种可能收益的分布就越分散，风险就越大。用投资回报概率分布的标准方差或范围，来度量风险的大小100%A75%50%B25%C0%-10%-5%0%5%10%15%20%25%30%ReturnsFigure 1CRISKER THAN B. RISKIER THAN A. A 四、风险与房地产投资风险„风险分析的目的‡预期收益率是多少，出现的可能性有多大？‡相对于目标收益/融资成本/机会投资收益来说，产生损失或超过目标收益的可能性有多大？‡预期收益的变动性和离散性如何？四、风险与房地产投资风险„系统风险‡通货膨胀风险/市场供求风险‡周期风险/变现风险‡利率风险/政策风险‡或然损失风险等。„个别风险‡收益现金流风险/未来经营费用的风险‡资本价值风险/比较风险‡时间风险/持有期风险22 四、风险与房地产投资风险„回报风险定量量测的示例‡假设有两个未来回报的可能性：回报是＋20％的可能性是50％；回报是－10％的可能性是50％。则：„预期回报＝(50%)(+20%) + (50%)(-10%)＝+5%；2„回报风险的标准方差=SQRT{()(20-5)+ ()(-210-5)}= "15%四、风险与房地产投资风险„房地产投资风险的案例‡物业1:写字楼项目„2002年末价值为1000万元„2003年末价值50%的可能性为1100万元,50%的可能性为900万元;„2003年价值标准方差=10%‡物业2:保龄球场项目„2002年末价值为1000万元„2003年末价值50%的可能性为1200万元,50%的可能性为800万元;„2003年价值标准方差=20%‡物业2的投资风险大于物业1的投资风险23 四、风险与房地产投资风险„投资者对待风险的态度ExpectedReturnRP：风险报酬率rfRisk未来风险＝预测的不确定性未来风险≠预测中的波动水平历史波动预测的不确定性TIME24NOI 项目投资决策中收益与风险的权衡C收益水平％YesBNo (risk)投资者的无差异曲线ANo (risk & return)O风险水平（达到希望收益率的概率）四、风险与房地产投资风险„全部回报=无风险回报＋风险报酬r= r+RPtf,tt„无风险回报(r)f,t‡等于对时间因素的补偿‡等于资金的时间价值‡≈政府长期债券的回报率(房地产投资通常是长期投资）25 四、风险与房地产投资风险„风险报酬率(RP):t‡已知: E[RP]=E[r]-r=风险补偿ttf,t‡因此: RP＝r-r＝现实风险（通过掷骰子确ttf,t定？）‡RP与具体的投资类型相关t四、风险与房地产投资风险„房地产投资的预期回报＝无风险回报＋风险报酬‡E(rj) = r＋β[E(rm)－r]。式中，fjf„E(rj) = 在某一时间段内，资产j应有的预期回报；„r= 在同一时间段内，无风险资产的回报；f„E(rm) = 在同一时间段内，市场的整体平均回报；„β= 资产j的系统性市场风险系数；j26 美国不同类型房地产的收益率(%)商场货仓写字楼公寓商业房地产投资风险的相对水平FuturesArtWarrants and OptionsCoins and StampsCommercial Real EstateForeign StockUS Common StockUS BondsT BillsRisk271985Return1986198719881989199019911992199319941995199619971999 Exhibit 7-5: Stereotypical characterization of major investment asset classes... INVESTMENT REAL LONG TERM CASH CONCERN: STOCKS ESTATE* BONDS** (T-BILLS) LOWEST RISK HIGH MOD. to LOW*** MOD. to LOW*** TOTAL RETURN HIGH MODERATE MODERATE LOWEST CURRENT LOW HIGH HIGHEST MODERATE YIELD GROWTH HIGH LOW NONE NONE**** INFLATION BEST PROTECTION . GOOD GOOD BAD (IF REINV) *Unlevered institutional quality commercial property (fully operational). **Investment grade corporate or Government bonds. ***Low risk for investors with long-term horizons and deep pockets, so they can hold the assets to maturity or until prices are favorable. Moderate risk for investors fully exposed to asset market price volatility. ****Unless the investment is rolled over (reinvested), in which case there is no current yield. 1993-2002 年以美元计算的年平均回报率London real estate+16%Russian stocks+14%UK Gilts+11%NYC real estate+ 9%S&P 500+ 9%US Treasuries+ 8%UK stocks+ 7%French stocks+ 7%German stocks+ 5%Czech stocks+ 3%Art (paintings)+ 3%South Korean stocks+ 3%Gold+ 1%Japanese stocks–3%Argentinean stocks–5%Thai stocks–12% Chinese stocks–17%Source: The Economist, January 4, 200328 不同类型资产的绩效5 and 10 yr returns to Sept %%%%%%%%%%%%%%%Risk5yr10yr5 year returns10 year returnsSource: Jones Lang LaSalle Research, PCA, ASX, CBA, JB -9a: Return (1970-2001)14%12%10%8%6%4%2%0%T BillsG BondsReal EstateStocksIncomeGrowth29Return 房地产组合投资①时间④房地产投资形式③地域②物业类型预期回报在给定的风险水在给定回报条平上增加回报.件下降低风险投资组合风险标准差30 投资组合使风险降低风险Portfoliodiversifiable, unique risk,Variance可分散的非系统风险或非市场风险systematic, portfolio, market risk系统风险或市场风险投资项目的投资组合使风险降低数量小结„可将总回报用三种方法分成两个部分‡全部回报＝当前收益＋增值„r = y + g‡全部回报＝无风险回报＋风险报酬„r = r+ RPf‡全部回报＝实际回报＋通货膨胀补偿„r = R + (i+iR) ≈R + I31 Step 1: Identify investor’s objectives, goals, and constraintsWealthRisk-return preferencesStep 2: Analyze investment climate and market conditionsMarket analysisLegal environmentSociopolitical analysisStep 3: Develop financial analysisOperating decisionsFinancing decisionsReversion decisionsIncome taxationTax planingWealth taxationStep 3: Develop financial analysisOperating decisionsFinancing decisionsReversion decisionsIncome taxationTax planingWealth taxationStep 4: Apply decision –making criteriaRules of thumb techniquesDiscounted cash flow Traditional appraisal techniquesmethodsStep 5: Investment decision32 五、房地产投资决策方法„投资者对待风险的态度„决策方法‡决策表（报酬表）‡最大最小值法（悲观准则，将最小的收益最大化，市场不看好）‡最大最大值法（乐观准则，在最好的结果中选择收益最大的方案，市场看好）‡最小后悔值法‡决策树法33 决策目标不同，策略也不同Private Equity Real Estate FundsPublic REITsCoreValue-AddedOpportunisticIncome vs. Appreciation80:2060:4020:8070:30Low VolatilityCorrelation BenefitsHigh Risk-Adjusted ReturnsLiquidityInflation ProtectionLong-Term Expected Returns 8-1111-1515-25+10-13(%)**Leverage (%)0-3535-7070+40-60Least FavorableGenerally PositiveBestSource: Commonfund Realty, Inc.六、房地产投资与回报的相关研究„201 Real Estate Investment Risk Management System Checklist„202 Commercial Real Estate Return Performance: A Cross-County Analysis„203 On Measuring RE Risk a reply REF2002W„205 Evaluating RE Risks REF2002W„206 Examining Real Estate Risk and Return in an Equilibrium APT Model„207 Time Varying Expected Returns and Information in Home Prices„208 The Risks of Investing in the Real Estate Markets of the Asian„209 Evaluating Real Estate Risk: Debt Applications„210 Evaluating Risk of Real Estate in Whole Loans TWR„211 Evaluating Risk in Real Estate TWR„212 Evaluating RE Risks: Equity Applications„213 Real Estate Risk: A Forward Looking Approach„214 On Measuring RE Risk REF2002W„215 Real Estate Risk and Return Expectations„216 Systematic Behavior in Real Estate Investment Risk: Performance Persistence in NCREIF Returns„217 Privately Versus Publicly Held Asset Investment Performance JREE 33_1_2005„218 What Factors Determine International Real Estate Security Returns REE 2004_32_334 六、房地产投资与回报的相关研究I.通货膨胀对房地产投资的影响 Risk in Real Estate -TortoWheaton Research (TWR) Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying? Real Estate Return Performance: A Cross-Country Real Estate Risk and Return in an Equilibrium APT ModelVI.公寓式住宅的市场结构与风险Real Estate Capital Markets: EquityReal Estate Return Performance18%%16%%14%%%12%9-11%%%10%7-9%%%%8%6%4%2%0%19951996199719981999200020012002200320042005Source: NCREIF, LaSalle Investment Management Research35 Falling Cap Rates?Avg. Cap %%%%%retailoffice - %office - %%Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4'02'03'04Source: Real Capital AnalyticsTWR “Market Portfolio”Total Return(Office, Industrial, Multi-Housing, Retail; NCREIF Weighted)5 Year Average, %-25 Year History5 Year ForcastTotal ReturnYieldNOI Rate ContributionSource: TWR Investment Database36 I. 通货膨胀对房地产投资的影响„影响投资者对未来投资收益的预测和适当收入或收益率的选择。„在通货膨胀的情况下，现金的购买力肯定会下降，因此投资者往往提高对名义投资回报率的预期，以补偿购买力的损失。„通货膨胀使资本化率降低，因为资本化率仅是用来将当前的收益转换成价值，而实际情况是未来的收益水平会随着通货膨胀的影响而提高。„在实际投资分析工作中，考虑到通货膨胀的可能影响，在估计未来现金流收益时，可以允许其随着通货膨胀而有所增加，这样就可以消除通货膨胀因素对分析结果准确性的部分影响，使分析结果更加接近真实。如果在收益现金流中没有考虑通货膨胀的影响，则可在折现率选择时适当考虑（适当调低折现率估计）。有关术语的定义„Inflation hedging 有效抵御通胀影响–the real return of an asset is independent of the rate of inflation‡An asset is a complete hedge against inflation, if and only if the nominal return of the asset changes in a one-to-one relationship with both expected & unexpected inflation „Nominal return名义回报: ‡R= Log (P/ P) jtjtjt-1„Inflation rate 通胀率‡∆= [CPI–CPI]/CPIttt-1t-1„Expected Inflation预期通胀‡E(∆|φ) = Quarterly lagged T-bill ratett-1„Unexpected Inflation 非预期通胀= actual inflation –Expected Inflation: ‡U= ∆-E(∆|φ) jtttt-137 国际上进行相关研究的情况Country-studies on Inflation Hedging „美国对该问题研究最深入；„主要是研究房地产与其他资产抵消通货膨胀影响的差异；„在美国，REITs被用来做为房地产投资的代表„研究方法是使用传统的现金流量表和Schwert(1977)提出的模式；„模型中主要考察房地产、其他资产与通胀率的序列相关关系；„总体来说，研究成果表明，房地产能有效抵消通胀影响。国外研究成果(1) –房地产投资„在美国，房地产能有效抵消预期通胀影响，但写字楼和工业物业不能有效抵御非预期通胀的影响；„在英国，房地产投资能有效抵御通胀影响，但写字楼和零售商业物业不能有效抵御非预期通胀的影响；„资本回报（Capital returns）不受非预期通胀的影响；„瑞士、加拿大、新西兰以及香港的相关研究结果也类似。38 国外研究成果(2) –股票„在美国和英国，研究表明股票不能有效抵御通胀影响；„在英国，当回报分为资本回报（capital returns）和收入回报（income returns）时，收入回报部分不能有效抵御通胀影响；„瑞典股票市场也不能有效抵御通胀影响；„在新西兰和香港，当通胀发生时，股票市场受到的冲击更大；„美国、英国和澳大利亚的REITs股票对通胀没有抵御作用。国外研究成果(3) –债券„在美国、英国、新西兰和澳大利亚，债券对通胀没有抵御作用；„总之，房地产能有效抵御预期通胀（expected inflation）的影响，但对非预期通胀（unexpected inflation）无能为力；„大多数国家的研究表明，股票、房地产股票(REITs)和债券对通胀的抵御能力很弱。39 房地产投资是否能有效抵抑通货膨胀的影响?„房地产一直被广泛的认为能有效抵消通货膨胀的影响，尤其是相对于其他金融资产来说。„新加坡大学房地产系程天富博士就房地产与其他金融资产的投资回报与通货膨胀的关系进行了实证研究。„研究的主要问题包括:‡Real Estate by sectors: residential, shop, industry, and office‡Type of inflation: actual, expected and unexpected‡Over different sample periods‡Different inflation regimes‡Compared with different financial assetsEmpirical Results (1) Expected InflationActual Entire Sub-Low Vs. Asset Type+InflationSample periodHigh #PeriodInflationReal Estate222IV222ResidentialIV222OfficeI9922Shop99IndustrialIHigh222StocksIVReal Estate 222IVStocks40 Empirical Results (2)Unexpected Inflation+Entire Sample Sub-periodLow Vs. High Asset Type#PeriodInflationReal Estate2IV2Residential2IVLowOffice2II2Shop222Industrial9IHighStocks2IV2Real Estate Stocks2IV2II. Evaluating Risk in Real Estate -TortoWheaton Research (TWR)„Defining Real Estate Risk: Future Uncertainty„Measuring Real Estate Risk: Historic or Forecast Return Variability„Measuring Real Estate Risk: Forecast Return Uncertainty41 Los Angeles: High Economic, Low Supply RiskWashington .: Low Economic, High Supply RiskReal Estate Risk: A Forward Looking Approach„Real estate is a predictable asset class (unlike stocks and bonds} and propose a forward-looking methodology for evaluating real estate market risk. „Using a modern time-series modeling approach, VAR(Vector Auto Regressive models), we argue that it is possible to quantify such risk, as the standard error of the forecast for each variable in a real estate model. „Subsequently, we outline an approach for assessing income and value risk in commercial real estate, based on the premise that the most important source of such risk is the market’s fundamentals. „Finally we demonstrate the application of this approach in generating confidence bands for NOI and property values for specific Measuring Real Estate Risk: Market Variability vs. Future Uncertainty„Risk is the uncertainty of future outcomes. The historical variability is the most often used in measuring investment risk.„In publicly traded securities markets, analysts frequently look at the historical variability of investment returns as one principal measure of risk.„This is usually measured by the standard deviation of historicalreturns.„Historical variability can be decomposed into two components: a predictable part and a non-predictable or “intrinsic”variability. ‡The predictable component is displayed in the historical return series when there are autoregressive or other distinct statistical patterns. ‡The unpredictable component is evidenced in time series that have more of a random Variability vs. Future Uncertainty„Our argument is that since there are predicable components to real estate returns„these returns and the risks can and should be forecast forward„rather than simply developing a measure reflecting their historical III. The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?44 IV. Commercial Real Estate Return Performance: A Cross-Country Analysis Research Methodology: CAPM ApproachCommercial Real Estate Return Performance: A Cross-Country Analysis45 Commercial Real Estate Return Performance: A Cross-Country AnalysisExamining Real Estate Risk and Return in an Equilibrium APT Model套利定价理论arbitrage pricing theory，APT46 V. Examining Real Estate Risk and Return in an Equilibrium APT Model„Real estate assets are lumpy and investors typically do not hold a well-diversified real estate portfolio.„In addition, real estate markets are thin due to the heterogeneity of assets and the high costs of both information and trading. „Are real estate investors able to diversify the asset specific risks?„In other words, are the expected returns determined by a small number of pervasive risk factors? „We begin to answer these questions by estimating the restrictions on real estate returns by an equilibrium version of Ross’arbitrage(套利交易) pricing theory (APT). Examining Real Estate Risk and Return in an Equilibrium APT Model„We estimate the pervasive factors using the asymptotic principalcomponents technique proposed in Connor and Korajczyk(1988). „Our real estate sample consists of NCREIF property subindexesby property types and regions (divisions) in . „We report the findings of the APT pricing for both the reported NCREIF return series and the de-lagged series generated by the Kalman-filter method proposed in Fu (2003). „The results indicate that 10 pervasive risk factors influence the cross-section of excess returns in the past two decades in the . commercial real estate market. „Moreover, the expected return of a well-diversified real estate portfolio, like the NCREIF Property Index, is influenced by onlyone pervasive factor. 47 VI: 公寓式住宅的市场结构与风险宏观经济状况:国内生产总值GDP 货币供应开发规划与控制/ 汇率/外汇储备政府开发项目宏观经济政策股票市场变动预期和非预期通货膨胀融资税率/ 制度期限结构变化空间需求:住房需求:商业扩张人口家庭变化开发商财富与可支配收入家庭工业产值增长企业股票价格上升资产价格增值低利率股票市场投资其他住房存量与预期住房供应:其他利润资本资产投资与持有:建造成本风险报酬与分散土地成本投资组合优化资金成本居住物业居住物业空间市场资本市场工程建设抵押融资/新竣工证券化现有供应与空置存款金融机构相互作用和市场均衡48 Thank you ！Any Questions?49