One of Morgan's colleagues, Amy Li, covers commercial real estate for Pinnacle. She has developed a simple model for valuing commercial real estate investments. As part of Chan’s training, he meets with Li to learn more about her model, which incorporates the following features:
- Cash flows based on rents with additional redevelopment values as leases expire
- A risk premium that is closer to equities than fixed income
- A risk premium that has a relatively low correlation with corporate bonds
- A liquidity premium
Q. Which aspect of Li’s model is least likely accurate?
- The correlation of the risk premium
- The inclusion of redevelopment values in cash flows
- The relative size of the risk premium
Solution
A is correct. When valuing commercial real estate, cash flows received from rent payments should include potential redevelopment value when the lease expires. The risk premium for commercial real estate is closer to equity investments than fixed-income investments. Commercial real estate is sensitive to changes in the economic cycle, and so the risk premium is highly correlated with equities and corporate bonds. Therefore, the low correlation in Li’s model is inaccurate.
首先一般说来另类投资与股票和债券关联度应该是低的，所以我认为1没有错，权益投资风险溢价高于债券，房地产相比权益又多了流动性溢价，但是这三者之间哪二者更接近，似乎教材上并没有过明确说法啊？
