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 "abstract": "<jats:title>Abstract</jats:title>\n               <jats:p>In stark contrast with liquid asset returns, commercial real estate idiosyncratic return means and variances do not scale with the holding period, even after accounting for all cash flow-relevant events. This puzzling phenomenon survives controlling for vintage effects, systematic risk heterogeneity, and a host of other explanations. To explain the findings, I derive an equilibrium search-based asset-pricing model that, when calibrated, provides an excellent fit to transactions data. A structural model of transaction risk seems crucial to understanding real estate price dynamics. These insights extend to other highly illiquid asset classes, such as private equity and residential real estate.</jats:p>",
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    2021,
    8,
    1
   ]
  ]
 },
 "published": {
  "date-parts": [
   [
    2020,
    10,
    27
   ]
  ]
 }
}