1、本科毕业论文（设计）外文翻译原文COMMERCIALREALESTATEVALUATIONFUNDAMENTALSVERSUSINVESTORSENTIMENTBACKGROUNDANDPREVIOUSLITERATUREBOTHSENTIMENTANDLIMITSTOARBITRAGEARENECESSARYCONDITIONSFORTHEEXISTENCEOFMISPRICINGMORESPECIFICALLY,INAMARKETCHARACTERIZEDBYHETEROGENEOUSINVESTORS,THEEXISTENCEOFSHORTSALECONSTRAINTSCANGENERA
2、TEDEVIATIONSINASSETPRICESFROMFUNDAMENTALVALUESOPTIMISTICINVESTORSTAKELONGPOSITIONS,WHILEPESSIMISTICINVESTORSWOULDLIKETOTAKESHORTPOSITIONSSHORTSALECONSTRAINTS,HOWEVER,MAYINHIBITTHEABILITYOFRATIONALINVESTORSTOELIMINATEOVERPRICING,EVENOVERSUSTAINEDTIMEPERIODSTHEREFORE,RATIONALINVESTORSMAYSITONTHESIDELI
3、NESWHENTHEYBELIEVEPRICESARETOOHIGHRELATIVETOFUNDAMENTALS,LEAVINGMARKETCLEARINGPRICESTOBEDETERMINED,ATTHEMARGIN,BYOVERLYOPTIMISTICINVESTORSASINBAKERANDSTEIN2004MOSTBEHAVIORALFINANCERESEARCHHASFOLLOWEDA“BOTTOMUP”MICROECONOMICAPPROACHTHATAPPEALSTOBIASESININDIVIDUALINVESTORPSYCHOLOGYTOEXPLAINHOWANDWHYIN
4、VESTORSMIGHTOVERREACTORUNDERREACTTOPASTRETURNSANDINFORMATIONABOUTMARKETFUNDAMENTALSBROWNANDCLIFF2004,2005ANDBAKERANDWURGLER2006,2007OFFERANEW“TOPDOWN”MACROECONOMICAPPROACH,THEFIRSTSTEPOFWHICHISTODERIVEMEASURESOFAGGREGATEINVESTORSENTIMENTFORSTOCKSBROWNANDCLIFF2004,2005EMPLOYBOTHSURVEYMEASURESOFINVEST
5、ORSENTIMENTASWELLASSENTIMENTMEASURESDERIVEDFROMAPRINCIPALCOMPONENTANALYSISOFASETOFPOTENTIALSENTIMENTPROXIESTHEYFINDTHATINVESTORSENTIMENTISHIGHLYCORRELATEDWITHCONTEMPORANEOUSSTOCKRETURNSBUTHASLITTLESHORTRUNPREDICTIVEPOWERBROWNANDCLIFF2004HOWEVER,TAKINGALONGERTERMPERSPECTIVE2TO3YEARS,PERIODSOFHIGHSENT
6、IMENTAREFOLLOWEDBYLOWRETURNSASTHEMARKETMEANREVERTSBROWNANDCLIFF2005BAKERANDWURGLER2006,2007ALSOEMPLOYPRINCIPALCOMPONENTANALYSISTOCONSTRUCTASENTIMENTMEASURE,ANDTHEYEXTENDTHELITERATUREBYQUANTIFYINGTHEDIFFERENTIALEFFECTOFSENTIMENTONTHECROSSSECTIONOFSTOCKRETURNSBYIDENTIFYINGWHICHSTOCKSARELIKELYTOBEMOREA
7、FFECTEDBYSENTIMENTCONSISTENTWITHMODELPREDICTIONS,THEIRRESULTSSUGGESTTHATWHENBEGINNINGOFPERIODPROXIESFORINVESTORSENTIMENTAREHIGHLOW,SUBSEQUENTRETURNSARERELATIVELYLOWHIGHFORSTOCKSTHATAREEITHERMORESPECULATIVEINNATUREORFORWHICHARBITRAGETENDSTOBEPARTICULARLYRISKYREALESTATEINVESTORSMONITORMARKETSENTIMENTI
8、NSEVERALWAYSFIRST,THEYMAYSUBSCRIBETODATASERVICESTHATPROVIDEREGULARSURVEYBASEDINFORMATIONABOUTINVESTMENTSENTIMENTSUCHASTHEQUARTERLYRERCREALESTATEREPORTUSEDINTHISPAPERMANYINVESTORSALSOMONITORVARIABLESRELATEDTO“CAPITALFLOWS”INTOTHEREALESTATESECTORFOREXAMPLE,THEYMAYTRACKDATAONMORTGAGEFLOWS,THEDOLLARVOLU
9、MEANDNUMBEROFPROPERTIESSOLD,ANDCAPITALFLOWINGINTOREALESTATEINVESTMENTVEHICLESEG,COMMINGLEDFUNDSFORINSTITUTIONALANDHIGHNETWORTHINVESTORSUNDERTHEBELIEFTHATTHEREISACOMMONSENTIMENTCOMPONENTEMBEDDEDINTHESEINVESTORACTIVITYVARIABLESALTHOUGHREGARDEDASIMPORTANTBYPRACTITIONERS,THEREHASBEENRELATIVELYLITTLEACAD
10、EMICWORKAIMEDATUNDERSTANDINGTHEROLEOFFUNDAMENTALSVERSUSINVESTORSENTIMENTANDCAPITALFLOWSINREALESTATEPRICINGDYNAMICSACONTEMPORANEOUSCORRELATIONBETWEENCAPITALFLOWSANDCAPRATESDOESNOTBYITSELFIMPLYCAUSATIONCAPITALFLOWSANDPROPERTYPRICESANDHENCECAPRATESMIGHTBOTHRESPONDINASIMILARFASHIONTOFUNDAMENTALECONOMICV
11、ARIABLESANDRISKFACTORS,SUCHASUNEXPECTEDINFLATION,CHANGESINREALINTERESTRATES,ORREVISIONSINRISKPREMIUMSFOREXAMPLE,IFBOTHCAPITALFLOWSANDPROPERTYPRICESINCREASEWHENPOSITIVEECONOMICNEWSISRELEASED,THENANEGATIVECONTEMPORANEOUSCORRELATIONBETWEENCAPITALFLOWSANDCAPRATESDOESNOTPROVETHATCAPITALFLOWSCAUSEORPREDIC
12、TCAPRATESTHELACKOFRESEARCHEXAMININGTHEROLEOFFUNDAMENTALSVERSUSSENTIMENTANDCAPITALFLOWSINREALESTATEMARKETSISPARTLYDUETODATALIMITATIONSLINGANDNARANJO2003,2006EXAMINETHEDYNAMICSOFCOMMERCIALREALESTATECAPITALFLOWSANDRETURNSTHEIRWORKPROVIDESEVIDENCETHATCAPITALFLOWSINTOPUBLICIE,SECURITIZEDREALESTATEMARKETS
13、DONOTPREDICTSUBSEQUENTRETURNS,BUTTHATRETURNSDOAFFECTSUBSEQUENTCAPITALFLOWSINTOTHESESECURITIZEDREALESTATEMARKETSFISHERETAL2007EXTENDTHEWORKOFLINGANDNARANJO2003,2006BYINVESTIGATINGTHESHORTANDLONGRUNDYNAMICSAMONGINSTITUTIONALCAPITALFLOWSANDPROPERTYRETURNSINTHELARGESTUSMETROPOLITANAREASTHEAUTHORSFINDSOM
14、EEVIDENCETHATLAGGEDINSTITUTIONALCAPITALFLOWSINFLUENCECURRENTRETURNSATTHEAGGREGATELEVEL,BUTTHEEVIDENCEISLESSCONVINCINGWHENDISAGGREGATEDBYMETROPOLITANAREAANDPROPERTYTYPETHESEPAPERSPROVIDEUSEFULEMPIRICALCHARACTERIZATIONSOFTHEDYNAMICSOFREALESTATECAPITALFLOWSANDPRICING,ANDTHEREFOREPROVIDEASOLIDFOUNDATION
15、ONWHICHADDITIONALRESEARCHCANBUILDHOWEVER,THEIRRESULTSDONOTDIRECTLYADDRESSTHEROLESENTIMENTPLAYSINREALESTATEMARKETS,ASTHEYDONOTEXPLICITLYRELATECAPITALFLOWSTOINVESTORSENTIMENTWITHINAMODELOFPROPERTYPRICINGSHILLINGANDSING2007EXAMINETHERATIONALITYOFINVESTORSEXPECTEDINCOMEGROWTHRATESANDTOTALRETURNFORECASTS
16、INPRIVATECOMMERCIALREALESTATEMARKETSTHEIRFINDINGSARECONSISTENTWITHMODELSOFINVESTORIRRATIONALITYFURTHERMORE,SHILLINGANDSINGFINDEVIDENCETHATINVESTORSACTOVERLYOPTIMISTICANDTHATTHEYGENERALLYANCHORTHEIREXPECTATIONSTOTHEPREVIOUSPERIODFINALLY,LING2005PROVIDESPRELIMINARYUNVARIEDEVIDENCECONSISTENTWITHREALEST
17、ATEPRICINGBEINGDRIVENATTIMESBYINVESTORSENTIMENTMODELINGPRICESANDCAPRATESARCHERANDLING1997ARGUETHATTHREE“MARKETS”PLAYAROLEINDETERMININGCOMMERCIALREALESTATEPRICESSPACEMARKETS,CAPITALMARKETS,ANDPROPERTYMARKETSLOCALMARKETRENTSAREDETERMINEDINTHESPACEMARKETIE,THEMARKETFORLEASABLESPACEREQUIREDRISKPREMIUMSF
18、ORASSETSWITHVARYINGPROFILESOFCASHFLOWRISKAREDETERMINEDINTHECAPITALMARKETFINALLY,PROPERTYMARKETSAREWHEREASSETSPECIFICDISCOUNTRATES,PROPERTYVALUES,ANDCAPRATESAREDETERMINEDITISIMPORTANTTONOTETHATTHELEVELOFNOIHASNOIMPACTONTHECAPRATERATHER,ITISTHEEXCEPTEDCHANGEINNOITHATAFFECTSTHEPRICEINVESTORSAREWILLINGT
19、OPAYPERDOLLAROFFIRSTYEARNOIOFCOURSE,ITISUNLIKELYTHATNOIGROWTHRATESANDFUTUREDISCOUNTRATESAREEXPECTEDTOBECONSTANTFOREVERNEVERTHELESS,EQISANAPPROXIMATIONTHATMOTIVATESOUREMPIRICALCAPRATESPECIFICATIONANDISCONSISTENTWITHAMOREGENERALPRESENTVALUEMODELTHATALLOWSFORTIMEVARIATIONINNOIGROWTHANDTHEDISCOUNTRATETO
20、IMPACTCOMMERCIALPROPERTYVALUATIONANDHENCETHECAPRATETHERISKADJUSTEDDISCOUNTRATEHASTWOCOMPONENTSRFT,THERATEOFRETURNAVAILABLEONARISKFREETREASURYBONDWITHAMATURITYEQUALTOTHEEXPECTEDHOLDINGPERIODOFTHEPROPERTYANDRFT,THEREQUIREDRISKPREMIUM,WHICHISPROPERTY,MARKET,ANDTIMEDEPENDENTCLEARLY,RFT,ISDETERMINEDOUTSI
21、DELOCALSPACEANDPROPERTYMARKETS,ASYIELDSONTREASURYSECURITIESAREDETERMINEDBYTHEBIDANDASKPRICESOFTREASURYMARKETINVESTORSFROMAROUNDTHEWORLDWHATABOUTTHEDETERMINANTSOFRFTINTHECAPITALMARKETS,COMMERCIALREALESTATECOMPETESWITHALLOTHERASSETSFORAPLACEININVESTORSPORTFOLIOSACCORDINGTOCLASSICALPORTFOLIOTHEORY,INVE
22、STORSWILLSELECTAMIXOFINVESTMENTSBASEDONTHEVARIANCESANDCOVARIANCESOFTHERETURNSAMONGTHEPOSSIBLEASSETSASINVESTORSBIDFORTHEIROPTIMALPORTFOLIOMIX,THEIRBIDDINGSIMULTANEOUSLYDETERMINESTHEREQUIREDRISKPREMIUMSFORTHEUNIVERSEOFINVESTMENTSACCORDINGTOTHEIRRISKVARIANCEANDCOVARIANCEPROFILESTHUS,THEPRICINGOFRISKDEP
23、ENDSONRISKPREFERENCESARTICULATEDINTHEBROADERCAPITALASWELLASTHESPECIFICRISKPROFILEOFTHEINVESTMENT,WHICHISDETERMINEDBYCURRENTANDEXPECTEDFUTURECONDITIONSINTHESPACEMARKETINWHICHTHEPROPERTYISLOCATEDTHEDYNAMICNATUREOFREALESTATEPRICINGANDCAPRATESINHIGHLYLIQUIDPUBLICSECURITIESMARKETS,ASSETPRICESAREBELIEVEDT
24、OADJUSTQUICKLYTOCHANGESINMARKETFUNDAMENTALSSUCHASINTERESTRATES,INFLATIONEXPECTATIONS,ANDNATIONALANDLOCALMARKETCONDITIONSHOWEVER,INPRIVATE,COMMERCIALREALESTATEMARKETS,OBSERVEDCAPRATESMAYADJUSTMOREGRADUALLYTOTHEARRIVALOFNEWINFORMATIONBECAUSEOFNUMEROUSPROPERTYMARKETINEFFICIENCIES,SUCHASHIGHTRANSACTIONC
25、OSTS,LENGTHYDECISIONMAKINGPROCESSESANDDUEDILIGENCEPERIODS,ANDINFORMATIONALINEFFICIENCIESANUMBEROFAUTHORSHAVEESTIMATEDSTRUCTURALMODELSDERIVEDFROMTHEORETICALCAPRATEMODELSTOINVESTIGATEPROPERTYPRICEDYNAMICSSIVITANIDESETAL2001HENDERSHOTTANDMACGREGOR2005A,BCHENETAL2004PLAZZIETAL2004,CHICHERNEAETAL2008SIVI
26、TANIDOUANDSIVITANIDES1999TOCAPTUREBOTHLONGRUNANDSHORTRUNCAPRATEDYNAMICS,WEEMPLOYANERRORCORRECTIONMODELECMSIMILARTOHENDERSHOTTANDMACGREGOR2005ATHISFRAMEWORKALLOWSUSTOMODELCAPRATESASANADJUSTMENTPROCESSAROUNDEQUILIBRIUMVALUESERRORCORRECTIONMODELSAREBASEDONTHEIDEATHATTWOORMORETIMESERIESEXHIBITALONGRUNTI
27、MEVARYINGEQUILIBRIUMTOWHICHTHESYSTEMTENDSTOCONVERGETHELONGRUNINFLUENCEINTHEERRORCORRECTIONMODELISACHIEVEDTHROUGHNEGATIVEFEEDBACKANDERRORCORRECTION,ANDTHISINFLUENCEMEASURESTHEDEGREETOWHICHLONGRUNEQUILIBRIUMFORCESDRIVESHORTRUNPRICEDYNAMICSSEE,FOREXAMPLE,ENGLEANDGRANGER1987ANDHAMILTON1994DATAOURPRIMARY
28、DATASOURCEISTHEREALESTATERESEARCHCORPORATIONRERCFOUNDEDIN1931INCHICAGO,RERCISNATIONALLYKNOWNFORITSRESEARCH,ANALYSIS,ANDINVESTMENTCRITERIAPUBLISHEDQUARTERLYINTHEREALESTATEREPORT,THERERCREALESTATEINVESTMENTSURVEYSUMMARIZESINFORMATIONONCURRENTINVESTMENTCRITERIASUCHASGOINGINACQUISITIONCAPRATES,TERMINALC
29、APRATES,UNLEVEREDREQUIREDRATESOFRETURNONEQUITY,EXPECTEDRENTALGROWTHRATES,ANDINVESTMENTCONDITIONSPROVIDEDBYASAMPLEOFINSTITUTIONALINVESTORSANDMANAGERSTHROUGHOUTTHEUSA9ACCORDINGTORERC,THESURVEYRESULTSAREUSEDBYINVESTORS,DEVELOPERS,APPRAISERS,ANDFINANCIALINSTITUTIONSTO“MONITORCHANGINGMARKETCONDITIONSANDT
30、OFORECASTFINANCIALPERFORMANCE”ASAROBUSTNESSCHECK,WEALSOEMPLOYSURVEYDATAFROMKORPACZPRICEWATERHOUSECOOPERSIDEALLY,OURCAPRATEDATAWOULDBEBASEDONALARGENUMBEROFCONSTANTQUALITYINCLUDINGLOCATIONPROPERTIESWITHIDENTICALLEASETERMSSUCHDATADONOTEXISTTHERERCDATA,HOWEVER,REPRESENTTHECAPRATESRESPONDENTSARECURRENTLY
31、OBSERVINGINTHEMARKETFORNOTIONALINVESTMENTGRADEPROPERTIESOFCONSTANTQUALITYTHUS,THESEDATAAREWELLSUITEDTOOURTASK,EXCEPTTHEYARENOTBASEDONACTUALTRANSACTIONSRECALLFROMEQTHATEQUILIBRIUMGOINGINCAPRATESRETAREAFUNCTIONOFUNLEVEREDDISCOUNTRATESRTANDEXPECTEDGROWTHRATESINNETRENTALINCOMEGTHOWEVER,RTANDGTCANNOTBEDI
32、RECTLYOBSERVEDTHUS,INPRIORCAPRATESTUDIES,PROXIESFORTHESEVARIABLES,ORTHEIRCOMPONENTPARTS,WEREESTIMATEDONEATTRACTIONOFTHERERCDATAISTHATEXPECTEDRENTALGROWTHRATESANDREQUIREDEQUITYRETURNSARETWOOFTHESURVEYQUESTIONSINADDITION,SURVEYRESPONDENTSAREASKEDTORANKTHE“INVESTMENTCONDITIONS”OFVARIOUSPROPERTYTYPESAND
33、MARKETSTHESERANKINGOFINVESTMENTCONDITIONSDIRECTLYMEASUREINVESTORSENTIMENTWEFOCUSFIRSTONTHEGOINGINCAPITALIZATIONRATESREPORTEDBYRERCFORNINEPROPERTYTYPESAPARTMENT,HOTEL,INDUSTRIALRESEARCHANDDEVELOPMENT,INDUSTRIALWAREHOUSE,CENTRALBUSINESSDISTRICTCBDOFFICE,SUBURBANOFFICE,NEIGHBORHOODRETAIL,POWERSHOPPINGC
34、ENTERS,ANDREGIONALMALLSSURVEYCAPRATESFORTHENINEPROPERTYTYPESAREDISPLAYEDINFIGDURINGTHEFIRSTHALFOFTHE1996Q12007Q2SAMPLEPERIOD,CAPRATESREMAINEDRELATIVELYSTABLEHOWEVER,BEGINNINGIN2002,CAPRATESONALLPROPERTYTYPESBEGANTODECLINEFOREXAMPLE,APARTMENTCAPRATESSTOODAT87IN2002Q1BY2007Q2THEYHADDECLINED300BASISPOI
35、NTSTO57TOADDRESSPOTENTIALCONCERNSABOUTTHESURVEYBASEDNATUREOFOURCAPRATEDATA,WECOMPARERERCCAPRATES,BYPROPERTYTYPE,TOCAPRATESOBTAINEDFROMTWOOTHERSOURCES,THENATIONALCOUNCILOFREALESTATEINVESTMENTFIDUCIARIESNCREIFANDREALCAPITALANALYTICSRCANCREIFCAPRATESREPRESENTAVERAGESDERIVEDFROMVALUATIONSOFINSTITUTIONAL
36、CLASSPROPERTIESHELDBYFIRMSTHATARECONTRIBUTINGMEMBERSTOTHENCREIFPROPERTYINDEXNPIRCACAPRATESAREAVERAGESDERIVEDFROMAMUCHLARGER,BUTMOREHETEROGENEOUS,POPULATION,COMINGFROMTHESALESOFALLPROPERTIESOF5MILLIONORMORENCREIFCAPRATESAREAPPRAISALBASED,ANDHENCEPOTENTIALLYBACKWARDLOOKINGRCACAPRATESARETRANSACTIONBASE
37、DBUTPOTENTIALLYNOISYBECAUSETHEYARENOTCONSTANTQUALITYNCREIFDATAEXTENDBACKTO1990,WHEREASRCADATABEGININ2001CORRELATIONSBETWEENRERCANDNCREIFCAPRATELEVELSOVERTHE19961TO20072PERIOD,ANDRERCANDRCACAPRATESOVERTHE20011TO20072PERIOD,EXCEED90FORALLNINEPROPERTYTYPESMOREOVER,REGRESSIONSOFRERCCAPRATESONNCREIFRCACA
38、PRATESYIELDHIGHLYSIGNIFICANTSLOPECOEFFICIENTSOF080090ANDABOVEANDR2SOF8590ANDABOVEINFACT,REGRESSIONSOFRERCCAPRATESONBOTHNCREIFANDRCACAPRATESTOGETHERRESULTINADJUSTEDR2SABOVE95INALMOSTALLNINECASESTHETIGHTCONNECTIONBETWEENRERCCAPRATESANDTHESETWOALTERNATIVESERIESINDICATESTHATOURSURVEYBASEDCAPRATESARETRAC
39、KINGPRICINGDYNAMICSINCOMMERCIALREALESTATEMARKETSVERYWELLTABLE1CONTAINSSUMMARYSTATISTICS,BYPROPERTYTYPE,FOROURKEYRERCREGRESSIONVARIABLESTHETOPPANELCONTAINSMEANS,STANDARDDEVIATIONS,MINIMUMS,MAXIMUMS,ANDSERIALCORRELATIONSOFLEVELSANDCHANGESFORCAPITALIZATIONRATES,EXPECTEDRENTALGROWTHRATES,REQUIREDEQUITYR
40、ETURNS,ANDINVESTMENTCONDITIONSMEANEXPECTEDRENTGROWTHRANGESFROM23ANNUALLYFORPOWERCENTERSTO29FORAPARTMENTSTHELEVELSOFEXPECTEDRENTGROWTHDISPLAYSUBSTANTIALPOSITIVESERIALCORRELATIONACROSSQUARTERSHOWEVER,CHANGESINEXPECTEDRENTALGROWTHRATESDISPLAYSIGNIFICANTNEGATIVESERIALCORRELATION,WITHTHEEXCEPTIONOFAPARTM
41、ENTSANDHOTELSSOURCEJIMCLAYTON,DAVIDCLING,ANDYNARANJO,2008“COMMERCIALREALESTATEVALUATIONFUNDAMENTALSVERSUSINVESTORSENTIMENT”SPRINGERSCIENCE,VOL17,JULY,PP537译文商业房地产评估基础投资者情感对战研究背景和文献这两种情绪和套利限制是为表示定价而存在的必要条件。具体而言，在投资者的异质性为特征的市场，卖空限制的存在可以产生从资产价格偏离得基本价值。乐观的投资者采取多头头寸，而悲观的投资者想借淡仓。但是卖空限制可能会抑制理性投资者能够消除甚至超过过高
42、的持续时间期间。因此，理性的投资者认为相对于基本面价格太高时，可能会坐在场边时，使市场清算价格确定，在过分乐观的投资者保证金（贝克和斯坦，2004）。行为金融学的研究大多遵循“自下而上”的微观经济的方法，对个别投资者的心理偏差需要解释，为什么投资者可能反应过度或不足的反应，过去的回报和对市场基础，（布朗和克里夫，2004，2005）和（贝克和伍格儿，2006，2007）提供了一个宏观的方法，第一步就是要“自上而下”获得总的股票投资者情绪的新措施。（布朗和克里夫，2004，2005）的投资者情绪对聘请调查措施以及信心的措施，从一个潜在的情绪代理设置为分析所得。他们发现，投资者的情绪高度相关，但短
43、期的预测能力与同期股票收益不大，（布朗和克里夫，2004）。但是，考虑较长远的角度（2至3年），高情绪时期之后是低收益的市场平均恢复水平（布朗和克里夫，2005）。（贝克和伍格儿，2006，2007）也采用主成分分析方法，以构建一个信心指数，他们通过延长量化，确定哪些股票可能会更受对股票收益的不同影响的情绪。与模型预测相一致，其结果表明，投资者情绪开始时，对周期代理高（低），报酬率是不是更多的股票，往往是风险投机性质或为其相对较低（高）套利。房地产投资者留意市场的情绪在几个方面首先，他们可以订阅数据服务，以提供关于投资情绪定期调查为基础的（如每季房地产报道）的信息。许多投资者还监测到房地产相关
44、部门对“资本流动”的变量。例如，它们可以跟踪按揭流，美元出售物业的数量和人数的数据，进入房地产和资本流动的投资工具（例如，机构和高净值投资者混合基金）的理念下，有一个共同的情感因素嵌入这些投资者活动之中的联系点。虽然作为重要的从业人员，我认为出现了相对较小的学术著作在了解了与投资者情绪和房地产价格的动态资本流动的基本因素的作用，资本流动和资本回报率同期相关性并不意味着因果关系本身。资本流动和房地产价格（就资本回报率而言）可能都以同样的方式作出反应，就基本的经济变数和意想不到的危险因素，如通货膨胀，实际利率的变化，或者风险溢价的调整。例如，如果两个资本流动和房地产价格上升正面经济消息公布后，则负
45、的资本流动和资本回报率并不能证明当时资本流动引起或预测资本回报率的相关性。研究缺乏审视与情绪和房地产市场的资本流动的作用，部分原因是受基本面数据的限制。（凌和纳兰霍，2003，2006）研究商业地产的资本流动和返回的动态。他们的工作提供的证据表明，到公共（即证券化）房地产市场的资本流动不能预测随后的回报，但回报影响到这些证券化房地产市场随后的资本流动情况。（费舍尔等人，2007），（凌和纳兰霍，2003，2006）的工作，通过调查机构之间的资本流动和在美国最大的都市地区财产收益的短期和长期动态。作者发现一些证据表明，资本流动的体制滞后于目前总体水平的回报影响，但缺乏说服力的证据时都会涉及物业类
46、型分类。因此这些文件提供的房地产资本流动的动态和有益经验定价特征提供了坚实的基础，可以建立更多的研究。然而，不直接处理在房地产市场情绪的角色的结果，是因为他们没有明确的财产及资本流动的定价模式对投资者的情绪。（师凌和斯音，2007）研究了投资者的预期收入增长率和总回报的预测在私人商业房地产市场的合理性。他们的研究结果与非理性投资的模型一致。此外，先令和星发现的证据表明，投资者过于乐观，前一段时间他们一般高估他们的期望。最后，（凌，2005）初步提供的证据表明单因素与房地产价格是由投资者的情绪在时间上是一致的。建模价格和资本回报率（阿彻和凌，1997）认为，三个“市场”决定发挥了商业房地产价格的
47、作用航天市场，资本市场和房地产市场。当地市场的租金确定由市场空间决定（即对可出租的空间市场）。对资产要求的风险与现金流量风险溢价不的同剖面中确定了资本市场。最后，房地产市场具有特定资产折现率，属性值和资本回报率。值得注意的是，信息传递的水平没有受到上限率的影响。相反，NOI水平的例外是投资者每愿意支付一美元的价格变化的影响。当然，NOI的增长速度和未来的折现率持续下去是不可能的。然而，情商是貌似比一般的现值模型更激励着我们的实证资本化率规格。对时间而言，以信息传递的增长和贴现率变化的影响商业物业估值上限，以取得一致的上限利率。风险调整贴现率有两个组成部分一次通过率，无风险回报可用率。财政部的到
48、期物业预期持有期债券所需的风险溢价等于房地产的市场和时间依赖性的一次通过率。显然，一次通过率取决于外部空间和房地产市场，由于国库券收益率是由来自世界各地的投资者对国债市场的买入价和卖出价格有关。关于一次通过率的决定因素是什么在资本市场，是商业地产争夺和投资者的投资组合的场所及所有的其他资产。根据经典投资组合理论，投资者将选择一对差异和资产回报在可能协方差为基础的投资组合。由于投资者对他们的最佳产品组合的出价同时决定了整个市场的投资所需要的风险溢价（方差和协方差）概况。因此，风险的定价取决于更广泛的资本以及投资，这是当前和未来预期市场的空间，其中包括财产所在地确定的特定风险条件阐述的风险偏好。我
49、国房地产价格和资本回报率的动态性质在高度流动性的公共证券市场，资产价格被认为是迅速适应市场变化的基本能力，如利率，通货膨胀预期，以及国家和当地的市场情况。然而，在个人商业房地产市场上，对更多的资本回报率的观察可能会得到逐步调整的新信息，因为许多房地产市场的低效率，如交易成本高，决策过程到达的缓慢和信息的低效率。一些作者曾经从上限利率模型的理论上估计得出物业价格动态（西文坦尼斯，2001年结构模型等；罕德少特和马基高，2005；陈等，2004；普莱斯等，2004；赤彻尼尔等，2008；维坦尼都和斯维坦尼德斯，1999）。利用误差修正模型，我们既要抓住长期和短期的上限利率动态，（罕德少特和马基高，2005）。这个框架使我们有了一个均衡值围绕资本回报率的模型。在差修正模型的础上，有两个或更多的时间序列的主张表现了长期运行系统的平衡点趋于收敛的。误差修正模型的长远影响是通过负反馈和纠错实现的，而且这种影响的措施在何种程度上是长期均衡对短期价格动态的力量驱动（恩格尔和格兰杰，1987；汉密尔顿，1994）。数据我们的主要的数据来源是房地产研究公司。1931年成立于芝加哥的研究公司，有全国闻名的研究、分析和投资标准。它发布的房地产季度报告是房地产当前的投资标准，比如（收购）资本回报率，终端资本回报率，无杠杆所需的股本回报率，预期租金增长率，并以机构投资者和管理者提供的示例为根据的投资环境
