Search for a Common Factor in Public and Private Real Estate Returns
---- Acknowledgements -----
Views expressed are those of the authors and not necessarily those of the authors’ employers or the National Bureau of Economic Research. We are grateful to Greg MacKinnon (the editor), Jim Clayton (referee), and another anonymous referee for excellent comments. We also thank Walter Boudry, Kevin Chiang, Rebel Cole, David Geltner, Roger Ibbotson, David Ling, Chris Mayer, Andy Naranjo, Elias Oikarinen, Eivind Øy, Joe Pagliari, Randi Næs, William Skagemo, and Lynne Sagalyn for helpful discussions and comments. Ang acknowledges funding from Netspar and the Program for Financial Studies.