Question 1

The traditional "complaint" about applying the CAPM to real estate is:

Accepted Answer

A)  Real estate's classical CAPM "beta" with respect to the stock market is nearly zero, yet real estate seems to command a significant ex ante return risk premium. 
B)  Real estate's classical CAPM "beta" with respect to the stock market is very high, yet real estate seems to provide a very low ex post return risk premium. 
C)  Real estate has a moderate "beta" and a moderate ex ante return risk premium, even though it should be a low risk asset class. 
D)  Real estate seems to perform differently than other small cap assets regarding the Fama-French factors. 
A)  Real estate's classical CAPM "beta" with respect to the stock market is nearly zero, yet real estate seems to command a significant ex ante return risk premium. 
B)  Real estate's classical CAPM "beta" with respect to the stock market is very high, yet real estate seems to provide a very low ex post return risk premium. 
C)  Real estate has a moderate "beta" and a moderate ex ante return risk premium, even though it should be a low risk asset class. 
D)  Real estate seems to perform differently than other small cap assets regarding the Fama-French factors.

Question 2

According to Portfolio Theory all the following statements are true when there is a riskless asset except:

Accepted Answer

A)  The optimal risky asset portfolio maximizes the Sharpe Measure. 
B)  The optimal risky asset portfolio minimizes the risk per unit of return risk premium. 
C)  The optimal risky asset portfolio should be bought even by investors who do not want to bear much risk. 
D)  The optimal risky asset portfolio should always be mixed with investments in riskless bonds. 
A)  The optimal risky asset portfolio maximizes the Sharpe Measure. 
B)  The optimal risky asset portfolio minimizes the risk per unit of return risk premium. 
C)  The optimal risky asset portfolio should be bought even by investors who do not want to bear much risk. 
D)  The optimal risky asset portfolio should always be mixed with investments in riskless bonds.

Question 3

What is the CAPM's basic treatment of idiosyncratic risk?

Accepted Answer

A)  It is the most important factor in the model 
B)  It is irrelevant because it can be diversified away 
C)  It is somewhat important, but not as important as systematic risk 
D)  It is a primary indicator of future returns 
A)  It is the most important factor in the model 
B)  It is irrelevant because it can be diversified away 
C)  It is somewhat important, but not as important as systematic risk 
D)  It is a primary indicator of future returns

Question 4

REITs use a metric similar to NOI for individual properties) of which they must distribute at least 90% as dividends to qualify as a REIT. What is this measure?

Accepted Answer

A)  FFO 
B)  FAD 
C)  GAGR 
D)  CPC 
A)  FFO 
B)  FAD 
C)  GAGR 
D)  CPC

Question 5

Regarding time-series second moments of periodic investment returns data, relevant to portfolio investment analysis:

Accepted Answer

A)  An asset's own return variance measures the asset's total risk and its covariance with a portfolio measures its potential contribution to the risk in that portfolio. 
B)  An asset's covariance with the investor's portfolio measures the asset's total risk and its own return variance measures its potential contribution to the risk in that portfolio. 
C)  An asset's own return variance represents the systematic component of risk that cannot be diversified away. 
D)  Investor's should not care about an asset's covariance because it represents the component of risk that cannot be diversified away. 
A)  An asset's own return variance measures the asset's total risk and its covariance with a portfolio measures its potential contribution to the risk in that portfolio. 
B)  An asset's covariance with the investor's portfolio measures the asset's total risk and its own return variance measures its potential contribution to the risk in that portfolio. 
C)  An asset's own return variance represents the systematic component of risk that cannot be diversified away. 
D)  Investor's should not care about an asset's covariance because it represents the component of risk that cannot be diversified away.

The traditional "complaint" about applying the CAPM to real estate is:

According to Portfolio Theory all the following statements are true when there is a riskless asset except:

What is the CAPM's basic treatment of idiosyncratic risk?

REITs use a metric similar to NOI for individual properties) of which they must distribute at least 90% as dividends to qualify as a REIT. What is this measure?

Regarding time-series second moments of periodic investment returns data, relevant to portfolio investment analysis:

Real Estate Space and Asset Markets

Real Estate System

Central Place Theory and the System of Cities

Inside the City I: Some Basic Urban Economics

Inside the City II: A Closer Look

Real Estate Market Analysis

Present Value Mathematics for Real Estate

Measuring Investment Performance: The Concept of Returns

The Basic Idea: DCF and NPV

Nuts and Bolts for Real Estate Valuation: Cash Flow Proformas and Discount Rates

Advanced Micro-Level Valuation

Filters

Exam 7: Real Estate as an Investment: Some Background Information

The traditional "complaint" about applying the CAPM to real estate is:

According to Portfolio Theory all the following statements are true when there is a riskless asset except:

What is the CAPM's basic treatment of idiosyncratic risk?

REITs use a metric similar to NOI for individual properties) of which they must distribute at least 90% as dividends to qualify as a REIT. What is this measure?

Regarding time-series second moments of periodic investment returns data, relevant to portfolio investment analysis:

Real Estate Space and Asset Markets

Real Estate System

Central Place Theory and the System of Cities

Inside the City I: Some Basic Urban Economics

Inside the City II: A Closer Look

Real Estate Market Analysis

Present Value Mathematics for Real Estate

Measuring Investment Performance: The Concept of Returns

The Basic Idea: DCF and NPV

Nuts and Bolts for Real Estate Valuation: Cash Flow Proformas and Discount Rates

Advanced Micro-Level Valuation

Filters