The purpose of this study is to re-evaluate the existing research on superior real estate investment performance and to suggest alternative explanations for previous findings. A portion of this analysis draws on data from the empirical studies reviewed to the extent possible with appraisal data as well as transaction data based on properties sold by the National Council of Real Estate Investment Fiduciaries (NCREIF) members used for studies which do not report their data. Evidence is presented which links superior real estate investment performance to positive excess skewness in the return distribution. The study also shows that there is a greater likelihood that the return distributions having positive excess skewness are associated with returns computed on the basis of appraised values as opposed to transaction prices. In addition to this, the study finds that inflation and the omission of assets from the market proxy also accounts in part for superior real estate investment performance.
Liu, C. L., Hartzell, D., Grissom, T. V., & Grieg, W. (1990) Alternative rationales for superior real estate investment performance: An empirical reinterpretation of prior research [Electronic version]. Retrieved [insert date], from Cornell University, School of Hotel Administration site: http://scholarship.sha.cornell.edu/articles/951