1{2 "indexed": {3 "date-parts": [4 [5 2026,6 3,7 238 ]9 ],10 "date-time": "2026-03-23T04:13:33Z",11 "timestamp": 1774239213347,12 "version": "3.50.1"13 },14 "reference-count": 26,15 "publisher": "Wiley",16 "issue": "4",17 "license": [18 {19 "start": {20 "date-parts": [21 [22 2008,23 11,24 2825 ]26 ],27 "date-time": "2008-11-28T00:00:00Z",28 "timestamp": 122783040000029 },30 "content-version": "vor",31 "delay-in-days": 0,32 "URL": "http://onlinelibrary.wiley.com/termsAndConditions#vor"33 }34 ],35 "content-domain": {36 "domain": [],37 "crossmark-restriction": false38 },39 "short-container-title": [40 "Real Estate Economics"41 ],42 "published-print": {43 "date-parts": [44 [45 2008,46 1247 ]48 ]49 },50 "abstract": "<jats:p>This article develops a theoretical framework and formulates a unified risk metric that integrates both real estate price risk and uncertainty of time on market (TOM). We demonstrate that real estate sellers with different degrees of financial distress face not only different marketing period risks, but also receive different return distributions upon successful sales. The major findings of this article can be summarized as follows. First, we show that real estate return and risk, which account for both price and TOM risk, are investor specific, varying over investors with different financial circumstances and holding periods. Second, the traditional valuation of real estate return and risk, which is based solely on the return distribution of a successful sale without considering the uncertainty of TOM and the investor's financial circumstances, underestimates real estate risk and exaggerates real estate return. Third, our empirical applications in both residential and commercial real estate markets show that the Sharpe ratio estimated by the traditional approach is seriously overstated—to the largest extent for investors with high financial distress. In addition, we find that, given the typical 5‐ to 7‐year holding period for real estate, the Sharpe ratios estimated by integrating both price and TOM risk are much in line with the performance of financial assets. These findings can help to explain the apparent “risk‐premium puzzle” in real estate.</jats:p>",51 "DOI": "10.1111/j.1540-6229.2008.00229.x",52 "type": "journal-article",53 "created": {54 "date-parts": [55 [56 2008,57 11,58 2859 ]60 ],61 "date-time": "2008-11-28T09:32:44Z",62 "timestamp": 122786476400063 },64 "page": "753-776",65 "source": "Crossref",66 "is-referenced-by-count": 50,67 "title": [68 "Real Estate Returns and Risk with Heterogeneous Investors"69 ],70 "prefix": "10.1111",71 "volume": "36",72 "author": [73 {74 "given": "Zhenguo",75 "family": "Lin",76 "sequence": "first",77 "affiliation": [],78 "role": [79 {80 "role": "author",81 "vocabulary": "crossref"82 }83 ]84 },85 {86 "given": "Yingchun",87 "family": "Liu",88 "sequence": "additional",89 "affiliation": [],90 "role": [91 {92 "role": "author",93 "vocabulary": "crossref"94 }95 ]96 }97 ],98 "member": "311",99 "published-online": {100 "date-parts": [101 [102 2008,103 11,104 28105 ]106 ]107 },108 "reference": [109 {110 "key": "e_1_2_10_2_1",111 "doi-asserted-by": "publisher",112 "DOI": "10.1023/A:1021526332732"113 },114 {115 "key": "e_1_2_10_3_1",116 "unstructured": "Anglin P.andR.Wiebe.2003.Pricing in an Illiquid Real Estate Market. Working Paper.University of Guelph: Ottawa ."117 },118 {119 "key": "e_1_2_10_4_1",120 "doi-asserted-by": "publisher",121 "DOI": "10.1111/1540-6229.00780"122 },123 {124 "key": "e_1_2_10_5_1",125 "doi-asserted-by": "publisher",126 "DOI": "10.1007/s11146-007-9022-1"127 },128 {129 "key": "e_1_2_10_6_1",130 "doi-asserted-by": "crossref",131 "first-page": "93",132 "DOI": "10.1080/10835547.2005.12089716",133 "article-title": "Private Investor Holding Period",134 "volume": "11",135 "author": "Brown R.",136 "year": "2005",137 "journal-title": "Journal of Real Estate Portfolio Management"138 },139 {140 "key": "e_1_2_10_7_1",141 "first-page": "125",142 "article-title": "The Efficiency of the Market for Single‐Family Homes",143 "volume": "79",144 "author": "Case K.",145 "year": "1989",146 "journal-title": "American Economic Review"147 },148 {149 "key": "e_1_2_10_8_1",150 "doi-asserted-by": "publisher",151 "DOI": "10.1023/A:1013990523388"152 },153 {154 "key": "e_1_2_10_9_1",155 "unstructured": "Cheng P. Z.LinandY.Liu.2007a.Pricing Illiquid Real Estate Assets When Returns Are Not I. I. D. Working Paper. Florida Atlantic University ."156 },157 {158 "key": "e_1_2_10_10_1",159 "doi-asserted-by": "crossref",160 "unstructured": "Cheng P. Z.LinandY.Liu.2007b.Illiquidity Risk of Real Estate Portfolio: Theory and Application. Working Paper.Florida Atlantic University.",161 "DOI": "10.2139/ssrn.970643"162 },163 {164 "key": "e_1_2_10_11_1",165 "doi-asserted-by": "publisher",166 "DOI": "10.1111/j.1540-6229.2008.00231.x"167 },168 {169 "key": "e_1_2_10_12_1",170 "unstructured": ">Cheng P. Z.Lin Y.LiuandY.Zhang.2008.Serial Persistence and Holding Period Dependence of Real Estate Risk. Working Paper Florida Atlantic University ."171 },172 {173 "key": "e_1_2_10_13_1",174 "doi-asserted-by": "publisher",175 "DOI": "10.1111/1540-6229.00063"176 },177 {178 "key": "e_1_2_10_14_1",179 "volume-title": "Optimal Statistical Decisions",180 "author": "DeGroot M.",181 "year": "1970"182 },183 {184 "key": "e_1_2_10_15_1",185 "doi-asserted-by": "publisher",186 "DOI": "10.1006/jhec.1999.0250"187 },188 {189 "key": "e_1_2_10_16_1",190 "first-page": "27",191 "article-title": "Holding Periods for Institutional Real Estate in the NCREIF Database",192 "volume": "17",193 "author": "Fisher J.",194 "year": "2000",195 "journal-title": "Real Estate Finance"196 },197 {198 "key": "e_1_2_10_17_1",199 "doi-asserted-by": "crossref",200 "unstructured": "Getmansky M. A.LoandI.Makarov.2003.An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns.MIT Sloan School of Management Working Paper4288‐03: Boston .",201 "DOI": "10.3386/w9571"202 },203 {204 "key": "e_1_2_10_18_1",205 "doi-asserted-by": "publisher",206 "DOI": "10.1111/1540-6229.00763"207 },208 {209 "key": "e_1_2_10_19_1",210 "first-page": "105",211 "article-title": "Liquidity Shocks and Equilibrium Liquidity Premia",212 "author": "Huang M.",213 "year": "2003",214 "journal-title": "Journal of Economic Theory"215 },216 {217 "key": "e_1_2_10_20_1",218 "unstructured": "Lin Z.2004.Liquidity and Pricing Biases in the Real Estate Market.Unpublished Ph.D. Dissertation.University of Wisconsin‐Madison Real Estate and Urban Land Economics."219 },220 {221 "key": "e_1_2_10_21_1",222 "article-title": "Marketing Period Risk in a Portfolio Context: Comment and Extension",223 "volume": "38",224 "author": "Lin Z.",225 "journal-title": "The Journal of Real Estate Finance and Economics"226 },227 {228 "key": "e_1_2_10_22_1",229 "doi-asserted-by": "publisher",230 "DOI": "10.1111/j.1540-6229.2007.00191.x"231 },232 {233 "key": "e_1_2_10_23_1",234 "doi-asserted-by": "publisher",235 "DOI": "10.1111/j.1465-7295.1976.tb00386.x"236 },237 {238 "key": "e_1_2_10_24_1",239 "first-page": "43",240 "article-title": "An Operational Measure of Liquidity",241 "volume": "76",242 "author": "Lippman S.",243 "year": "1986",244 "journal-title": "American Economic Review"245 },246 {247 "key": "e_1_2_10_25_1",248 "doi-asserted-by": "publisher",249 "DOI": "10.1111/1540-6229.00491"250 },251 {252 "key": "e_1_2_10_26_1",253 "doi-asserted-by": "publisher",254 "DOI": "10.1111/1540-6229.00174"255 },256 {257 "key": "e_1_2_10_27_1",258 "volume-title": "A First Course in Probability",259 "author": "Ross S.",260 "year": "2002"261 }262 ],263 "container-title": [264 "Real Estate Economics"265 ],266 "language": "en",267 "link": [268 {269 "URL": "https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2Fj.1540-6229.2008.00229.x",270 "content-type": "unspecified",271 "content-version": "vor",272 "intended-application": "text-mining"273 },274 {275 "URL": "https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6229.2008.00229.x",276 "content-type": "unspecified",277 "content-version": "vor",278 "intended-application": "similarity-checking"279 }280 ],281 "deposited": {282 "date-parts": [283 [284 2023,285 10,286 12287 ]288 ],289 "date-time": "2023-10-12T18:33:44Z",290 "timestamp": 1697135624000291 },292 "score": 96.56653,293 "resource": {294 "primary": {295 "URL": "https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6229.2008.00229.x"296 }297 },298 "issued": {299 "date-parts": [300 [301 2008,302 11,303 28304 ]305 ]306 },307 "references-count": 26,308 "journal-issue": {309 "issue": "4",310 "published-print": {311 "date-parts": [312 [313 2008,314 12315 ]316 ]317 }318 },319 "alternative-id": [320 "10.1111/j.1540-6229.2008.00229.x"321 ],322 "URL": "https://doi.org/10.1111/j.1540-6229.2008.00229.x",323 "archive": [324 "Portico"325 ],326 "ISSN": [327 "1080-8620",328 "1540-6229"329 ],330 "issn-type": [331 {332 "value": "1080-8620",333 "type": "print"334 },335 {336 "value": "1540-6229",337 "type": "electronic"338 }339 ],340 "published": {341 "date-parts": [342 [343 2008,344 11,345 28346 ]347 ]348 }349}