L Y L( ) Y0.15Y 0.03L 0.01L 6% L=(10.15)Y 108.5Y 6%1 Y y p L ( 19 ) [1990] [1988] 1

1. 1-1 00 001 9 J-REIT 1- MM CAPM 1-3 [001] [1997] [003] [001] [1999] [003] 1-4 0

. -1 18 1-1873 6 1896 L Y L( ) Y0.15Y 0.03L 0.01L 6% L=(10.15)Y 108.5Y 6%1 Y y p L 6 1986 ( 19 ) -3 17 3 18 44 1 [1990] [1988] 1

-4 1969 1964-5 1969 1985 1990 1 3 4-6 1990 1/10 00 DCF -7 50 Sein Sollen Sein Sein

Sollen 3 Sollen Sein 4 3. 3-1 J-REIT J-REIT GS 5 1 3 [1975 ] P18188 4 [197 ] P144146 5 001 8 9 P9~P10 3

3-10 5 J-REIT 3.1 6 81 REIT 7 3-3 6 H17 7 REIT 1.5 4

3-4 3-5 3-5-1 3 3-5- * * * * Z = E 0[ Z ] + E0[ Z ] + + E0[ Z ] ( Z = Z/ R ) 0 1 T V V = E[ m Z] ( m : Z : f 5

8 1 α UC ' t Ut () = Ct Mt+ 1 = 1 α UC ' 1 + 1 t C t+ 1 mt+ 1 = α log Ct Dt T 1 Pt = Dt exp( α s µ c) exp s( µ d + σd ασ c ) s= 1 3-5-3 11 3 3 8 [004] JAREFE004 6

3-5-4 β SML 9 4 µ CML µ SML µ C C B µ M M µ C µ µ = µ + β ( µ µ ) i f i M f B C µ A A µ A A µ f µ f σ σ β σ M A C σ A βc β 4. 5 9 Fama, French[199] The Cross-section of Expected Stock Returns NYSE 19411991 50 β 7

4-1 10 6 4-10 8

11 65 1-1 y = + 5 ln15.805 ln 9.796 β1 ln 0.035β t(4.553) (5.089) (3.6431) p(0.0000) (0.009) (0.0066) R R DW AIC = 0.858 = 0.88 =.055 = 15.76 y = β = β = 1 4-3 4-3-1 R Y R = Y g 11 [1991] [00] GWR 9

4-3- (A) (B) (C) (D) (E) DSCR (A)(D) (A) (B) (C) (C) Y g ε R 4-3-3 a V = R g R = g = a = 10

4-3-4 DCF DCF a RP a + + n k n+ 1 PV = + k n RP = ak k = 1 (1 r) (1 r) Rt r RP 1 7 4-3-5 DCF DCF DCF DDCF DCF DDCF ν 1- ( ) ( ) k CF t 1 ν RP CF t 1 ν V 0 = + RP = t k t= 1 1+ r + r 1+ r + r Rt ( ) f p f p ( ) 1 11

Crystal Ball 13 Var REIT 4-3-6 DCF β * V * ( ) Vland = V K V : β : * V 14 * β β > V K ( ) K NPV 1980 15 13 Decisioneering, Inc EXCEL 10 14 [004] 15 1

5. 5-1 8 R = Rm Wm + Re We 16 MM 17 18 LTV 16 [003] 17 [004] BBB 50 18 13

REIT 5- RETI NOI 1-3 5 y = 0.0513 1.793 β1+ 0.004β + 0.0009β3 t(30.9) (5.4) (7.3) (4.) p(0.00) (0.00) (0.00) (0001) R R DW AIC = 0.91 = 0.918 = 1.87 = 89.3 y = NOI β1 = β = NOI β = 3 5-3 14

1955 6 GDP 9 19 1986 GDP 1987 0 1998 1-4 5-4 q R r = i π g q= R/( r g) 10 19 1993 0 [1995] 15

1987 1 REIT 5-5 TOPIX 6 5 1 1 3 11 1 [004] PVR REPORT 005.1 3 [000] 3 1999 16

0.76 0.649 5-6 4 5-6-1 5-6- 5-6-3 5-6-4 4 [1990] 17

5-7 5-8 (A) (B) 6. 18

6-1 1 19 13 6-0 6-3 5 14 5 [1997] 19

6-4 15 4050 6 7 6-5 16 A g r ag 1 * ** Pt () = + C+ + + ( z z), z z Capzza & Sick r r ar r 8 1 ( z * z ) r r ag ( * )/ C e a z z r ar r ag ar g r A g a ( z * z )/ r e r r * ** z () t = z () t 6 [1976] 7 8 Capzza & Sick [1994] The Risk Structure of Land Markets JOUNAL OF URBAN ECONOMICS 35 0

A g r ag 1 * Pt () = + C+ + + ( z z) r r ar r A g = C = = r r r ag 1 * = ( z z ) = ar r * * a A g a( z z )/ r r ag a( z z )/ r P ( z) = + e + e r r ar 6-6 9 17 Cap rate R P i = D = ( R, Economy) = S D θ Z S P = ( ) f C C S = ( S = C δ S) δ 17 DiPasquale & Wheaton 9 [001] David Geltner Norman G. Miler [001] Commercial Real Estate Analysis and Investments P7P37. 1

4 i 30 31 REIT 7. 3 7-1 30 Pt = f( S) + F( Pt+ 1) ( : S f( S) F( Pt + 1) [001] P36. 31 [00] 8

3 7-1-1 7-1- 33 34 7-1-3 3536 3 [00] 33 S594.17 34 Cole, R., D.Guilkey, and M Miles. Toward an Assessment of the Reliability of Commercial Appraisals The Appraisal Journal, Vol. LIV, July 35 1980 1990 36 Sein Sollen 3

7-1-4 7-7--1 Geltner 37 7-- 38 7...1 n n n LnP = α + β x + β dx + δ d + ε t it it it it t t t i= 1 i= 1 i= 1 βit dxit : dt : δ : ε : t t 37 David Geltner [1989] Estimating Real Estate s Systematic Risk From Aggregate Level Appraisal-Based Returns AREUEA Journal, Vol.17.NO4, 38 [001] 4

7... t t P BP ν P = BP+ ν P 39 T T FP [ 1, P] = α0 + α1p T EPP [ ] E[ ( P+ ν ) P] EP [ ] α1 = = =, α 0 = 0 T EP [ ] EP [ + ν] EP [ ] + E[ ν ] 7...3 40 Geltner * r ω t r * t = ω0rt + ω1rt 1+ ωrt +, CCAPM * COV[ rt, It] = ω0cov[ rt, It] + ω1cov[ rt 1, It] +, COV [ rt k, It] = 0, ( all k > 0) * COV[ rt, It] = ω0cov [ rt, It] CAPM ( β i) β () i 1 β * () i = * β () i ω i 0 7--3 REIT 1 39 David Geltner 40 HOON CHO[003] Fisher-Geltner-Webb IKOMA-MTB 300% 5

1 8. REIT 8-1 41 8- Gerald R. Brown 4 UK Office, Retail, Industry 41 Alastair Adair, Mary Lou Downnie [1998] EUROPEAN VALUATION PRACTICE THEORY AND TECHNIQUES 4 Gerald R. Brown & George A.Matysiak [000] Real Estate Investment A Capital Market Approach 6

8-3 Gerald R. Brown r = α + β r + ε x i i i m i Er [ ] xα xβ r n n n p i i i j ij i= 1 i= 1 j= 1 i j Var[ r ] = x σ + x x σ n p i i i i m i= 1 i= 1 n = i n n n n 1 1 1 1 n 1 n = i + jk = + jk j= 1 n j= 1 k= 1 n n n n k j σ σ σ σ σ σ n σ σ n RR n = β σ σ σ m e R = 1 R = n βσm 1 σ e = 1 n ρ R 1 n = 1 (1 R ) ρ 8-4 Gerald R. Brown 5 50 70 18 σ σ n 7

18 IPD (19 ) 19 8-5 Marvin L Wolverton [1998] 8

19861996 Brown 8-6 REIT 0 REIT 11.5% 0 9. 9-1 9-1-1 9-1- IT 9

9-1-3 REIT REIT REIT 9-1-4 9-1-5 9-9--1 9-- 43 REIT 9--3 REIT REIT 43 Ko Wang and Marvin L. Wolverton[00] 30

REIT 9--4 9--5 9-3 9-3-1 NOI NCF 44 9-3- MAI 9-3-3 9-3-4 44 David C. Ling[1999] REIT 1990 31

9-3-5 9-3-6 45 10. 45 EXCEL EXCEL E-views EXCEL 3

11. [000] [004] JAREFE004 [000] [1964] [003] 003 [00] NO44. [1997] [003] [005 ] [001] [001] [004] Vol.56 NO6 [1969] [1990] [00] [004] Evaluation NO1 [1966] [001] [005] H13 6 H14 6 [003] [004]J-REIT puzzle Evaluation NO1 [004] [004] NO.04-J-7 [004] [1964] [001] 33

[1991] [001] [003] [1995] [000] [1998] [1995] [1973] [004] NO.04-J-15 [00] [1995] [1990] [000] [1990] [1995]80 [003] [00] Evaluation NO7 [003] JAREFE Vol.1 [003] [1994] [1999] [199] [1995] [000] [000] [197] [1976] 34

[199] [1995] Appraisal Institute [001] The Appraisal of Real Estate 1edition Cole,R., D.Guilkey, and M Miles. [1986] Toward an Assessment of the Reliability of Commercial Appraisals The Appraisal Journal, Vol. LIV, July Dennis R.Cappoza [1994] The Risk Structure of Land Market Journal of Urban Economics 35 97-319 David Geltner Norman G. Miler [001] Commercial Real Estate Analysis and Investments P43P13 P751P770 David Geltner [1989] Estimating Real Estate s Systematic Risk from Aggregate Level Appraisal-Based Returns AREUEA journal Vol.17, NO4 David C. Ling and Andy Naranjo [1999] The Integration of Commercial Real Estate Markets and Stock Markets REAL ESTATE ECONOMICS V7,3 Gerald R. Brown & George A.Matysiak[000] Real Estate Investment A Capital Market Approach P09370ISBN 013000638 HOON CHO YUICHIRO KAWAGUCHI JAMES D.SHILLING [003] Unsmoothing Commercial Real Property Returns: A Revision to Fisher-Geltner-Webb s Unsmoothing Methodology Journal of Real Estate Finance and Economics NO003;7,3 Ko Wang and Marvin L. Wolverton[00] REAL ESTATE VALUATION THEORY Appraisal Institute American Real Estate Society ISBN07936633 Marvin L Wolverton Ping Cheng [1998] Real Estate Portfolio Risk Reduction through Intracity Diversification journal of real estate portfolio management 1998;4,1 35

1. 1-1 36

1- DDCF k CF ( ) t 1 ν RP CF t ( 1 ν) V 0 = + RP = t t ( ) t= 1 1+ rf + rp ( 1+ rf + r ) R p t 37

1-3 38

1-4 39