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The Information Content of the NCREIF Index

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Author Info

  • Jinliang Li

    ()
    (Tsinghua University School of Economics and Management, Beijing 100084, CHINA)

  • Robert M. Mooradian

    ()
    (Northeastern University College of Business Administration, 360 Huntington Avenue, Boston, MA 02115)

  • Shiawee X. Yang

    ()
    (Northeastern University College of Business Administration, 360 Huntington Avenue, Boston, MA 02115)

Abstract

This paper examines the dynamic behavior of the NCREIF index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroskedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the NAREIT index returns Granger cause the returns of the NCREIF indexes. In our ARCH information transmission analysis, the NCREIF indexes are observed to incorporate information spillover from the NAREIT indexes in both the mean and variance of the index returns. The ARCH dynamics between the NCREIF and NAREIT indexes suggest a nonlinear relation between the two indexes.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol31n01/05.93_116.pdf
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Bibliographic Info

Article provided by American Real Estate Society in its journal journal of Real Estate Research.

Volume (Year): 31 (2009)
Issue (Month): 1 ()
Pages: 93-116

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Handle: RePEc:jre:issued:v:31:n:1:2009:p:93-116

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Web page: http://www.aresnet.org/

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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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  1. Bera, Anil K. & Jarque, Carlos M., 1982. "Model specification tests : A simultaneous approach," Journal of Econometrics, Elsevier, vol. 20(1), pages 59-82, October.
  2. William Bertin & Paul Kofman & Professor David Michayluk & Laurie Prather, 2005. "Intraday REIT Liquidity," Journal of Real Estate Research, American Real Estate Society, vol. 27(2), pages 155-176.
  3. Geltner, David & Goetzmann, William, 2000. "Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index," The Journal of Real Estate Finance and Economics, Springer, vol. 21(1), pages 5-21, July.
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  14. S. Michael Giliberto, 1990. "Equity Real Estate Investment Trusts and Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 5(2), pages 259-264.
  15. Chan, Su Han & Erickson, John & Wang, Ko, 2002. "Real Estate Investment Trusts: Structure: Structure, Performance, and Investment Opportunities," OUP Catalogue, Oxford University Press, number 9780195155341.
  16. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
  17. Quan, Daniel C & Quigley, John M, 1991. "Price Formation and the Appraisal Function in Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 4(2), pages 127-46, June.
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  19. Geltner, David Michael, 1991. "Smoothing in Appraisal-Based Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 4(3), pages 327-45, September.
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Cited by:
  1. Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.

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