1{2 "indexed": {3 "date-parts": [4 [5 2026,6 10,7 178 ]9 ],10 "date-time": "2026-10-17T10:44:39Z",11 "timestamp": 1792233879483,12 "version": "4.4.0"13 },14 "reference-count": 50,15 "publisher": "Oxford University Press (OUP)",16 "issue": "8",17 "license": [18 {19 "start": {20 "date-parts": [21 [22 2020,23 10,24 2725 ]26 ],27 "date-time": "2020-10-27T00:00:00Z",28 "timestamp": 160375680000029 },30 "content-version": "vor",31 "delay-in-days": 0,32 "URL": "https://academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model"33 }34 ],35 "content-domain": {36 "domain": [],37 "crossmark-restriction": false38 },39 "short-container-title": [],40 "published-print": {41 "date-parts": [42 [43 2021,44 7,45 1646 ]47 ]48 },49 "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>",50 "DOI": "10.1093/rfs/hhaa122",51 "type": "journal-article",52 "created": {53 "date-parts": [54 [55 2020,56 10,57 258 ]59 ],60 "date-time": "2020-10-02T11:08:51Z",61 "timestamp": 160163693100062 },63 "page": "3647-3694",64 "source": "Crossref",65 "is-referenced-by-count": 79,66 "title": [67 "Asset-Level Risk and Return in Real Estate Investments"68 ],69 "prefix": "10.1093",70 "volume": "34",71 "author": [72 {73 "given": "Jacob S",74 "family": "Sagi",75 "sequence": "first",76 "affiliation": [77 {78 "name": "Kenan-Flagler Business School, UNC Chapel Hill"79 }80 ],81 "role": [82 {83 "vocabulary": "crossref",84 "role": "author"85 }86 ]87 }88 ],89 "member": "286",90 "published-online": {91 "date-parts": [92 [93 2020,94 10,95 2796 ]97 ]98 },99 "reference": [100 {101 "key": "2021071619293536400_B1",102 "doi-asserted-by": "crossref",103 "first-page": "333",104 "DOI": 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