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1、AppliedFinancialEconomics,2010,20,1133–1143TheQtheoryofinvestment,thecapitalassetpricingmodelandthecapitalizationrateinrealestatevaluationyJohnF.McDonaldWalterE.HellerCollegeofBusinessAdministration,RooseveltUniversity,Chicago,IL60605,USAE-mail:jmcdo
2、nald@roosevelt.eduThisarticlecombinesTobin’sQtheoryofrealinvestmentwiththeCapitalAssetPricingModel(CAPM)toproduceamodelofthecapitalizationrateusedinthevaluationofrealestateassetsusingtheincomeapproach.Anempiricalstudyofcapitalizationratesforofficebui
3、ldingsindowntownChicagoisincluded.I.Introductionstudyofrealestateinvestmentwouldappeartobeagoodmatchoftheoryandapplication.ThereareThepurposeofthisarticleistocombinethereceivedseparaterealestatedevelopmentfirmsthatspecializeeconomictheoryofrealinvest
4、mentandthestandardinthetaskofplanning,buildingandsellingrealestatefinancialmodelofassetpricingtogenerateamethodtopermanentowners.Theirbasiccalculationisforthevaluationofrealassets.ThisarticleisaworkwhetherQisgreaterthan1.0.ofsynthesis,andintentionall
5、yusesrelativelysimpleThetheoreticalsectionsarefollowedbyanempir-versionsofthesetwotheoriestolinkeconomics,icalstudyofthecapitalizationratesfor130officefinanceandvaluation.Anempiricalstudyofcapital-buildingsindowntownChicagothatweresoldizationratesfor
6、officebuildingsindowntownbetween1997and2007.SellersofcommercialrealChicagoprovidesatestofthemodel.estateordinarilyprovideinformationonNOI,sotheThisarticlebeginswithanintroductiontothemoredifficultprobleminassetvaluationistheTobin(1969)Qtheoryofinvest
7、mentandwithabriefselectionofthecapitalizationrate.TheempiricalstatementoftheCapitalAssetPricingModelstudyshowsthatthecapitalizationratesarerelatedto(CAPM).Thesesectionsarefollowedbyapresenta-theCAPMinterestrateandriskvariables,buildingtionofthe‘funda
8、mentals’approachtoassetvalua-characteristicsandrecentchangesinlocalmarkettionthatcombinesthesetwomodels.Theconditions.TheempiricalstudyalsoincludestwopresentationmakesuseofmaterialinTobinandalternativeestimatesofarealpriceindexforofficeGolub(1998),bu
