@techreport{oai:ipsj.ixsq.nii.ac.jp:00083739,
 author = {石島博 and 前田章 and 谷山智彦},
 issue = {17},
 month = {Sep},
 note = {金融資産と不動産それぞれの市場は互いに密接に関連して動くようになっている．そうしたなかで，両者を同じ計量手法や比較可能な指標で，分析・評価することが，投資家にとっての大きなニーズとなっている．本研究は，そうしたニーズに鑑み，不動産投資収益性を算定する方法を提示するものである．すなわち，特定の不動産投資に対してリアルタイムで発生していると推測される収益 「インプライド・キャピタルリターン」 について，その時系列データを推計する方法論を提示した．これを用いれば，同様にリアルタイムのデータの揃っている株式・債券などの金融資産と比較可能な形で，不動産投資の収益性やリスクを分析・評価できることになる．, As financial and real properties markets are getting correlated with each other more and more in these days, there is a strong need for us to have a theoretical foundation for evaluation of investments in real estate. This fact motivates us to develop an asset market evaluation methodology that allows us to appraise values of less-marketed real properties in the form comparable to financial market investment. We first developed four statistical models that estimate log-prices of pieces of real estate. Two of them have the feature of so-called mixed effects models while the rest do not. Also, another two of them are intended for analysis conducted across strata while the rest are for analysis conducted across time. Second, we elaborated the generation of implied capital returns on real estate investments. Thirdly, we demonstrated empirical analyses on the Japanese housing apartment market. The result confirmed that the mixed effects model feature facilitates the likelihood of model fitness. The methodology for generating implied capital returns on real estate investment is useful because it would allow investors to make further analysis for investment evaluations on the same ground of financial investment analysis. In particular, with a complete set of return series, standard techniques in finance including the mean-variance analysis, the capital asset pricing model (CAPM), etc. become applicable. Although the discussion here is focused only on real estate markets, the methodology can be applied to any less-marketed assets.},
 title = {個々の不動産に対する投資リターンの時系列の推定モデル},
 year = {2012}
}