Paper: "Market Risk of Real Estate"

From a new paper, "Market Risk of Real Estate",

"Direct real estate is the largest asset class without readily available prices. The market capitalization is comparable to that of equities and fixed income [but] because of the missing price information, it is difficult to estimate the market risk of direct real estate. [...] We find that the existing direct indices understate real estate market risk. Indeed, using data from the UK, the volatility of the real estate asset class that our model entails is almost three times that of appraisal-based indices, and two times that of transaction-based ones. In addition, the correlations to other asset classes are materially different and higher, which is important in a portfolio context."

Yet real estate seems less risky because you don't have to hear about prices as often. Ignorance is bliss.