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Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index

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  • Geltner, David
  • Goetzmann, William

Abstract

This article documents 20 years of performance of commercial real estate in the United States using a portfolio of properties that comprise the widely followed NCREIF Property Index (NPI). We develop an extension of the repeated-measures regression (RMR) to produce an improved version of the NCREIF Index that eliminates the "stale appraisal" and seasonality problems. We use this RMR version of the index to examine the magnitude and duration of the of the crash in property values in the early 1990s. The RMR Index is also compared with the NAREIT Index, and property-type subindices are developed using a Bayesian estimator. Finally, it is also shown how the RMR can be used to estimate the average magnitude of random valuation error in commercial property valuation. Copyright 2000 by Kluwer Academic Publishers

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Bibliographic Info

Article provided by Springer in its journal Journal of Real Estate Finance & Economics.

Volume (Year): 21 (2000)
Issue (Month): 1 (July)
Pages: 5-21

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Handle: RePEc:kap:jrefec:v:21:y:2000:i:1:p:5-21

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Web page: http://www.springerlink.com/link.asp?id=102945

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Cited by:
  1. Jinliang Li & Robert M. Mooradian & Shiawee X. Yang, 2009. "The Information Content of the NCREIF Index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 93-116.
  2. Chihiro Shimizu & Walter Erwin Diewert & Kiyohiko G. Nishimura & Tsutomu Watanabe, 2012. "Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data," UTokyo Price Project Working Paper Series 004, University of Tokyo, Graduate School of Economics, revised Feb 2013.
  3. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February.
  4. Daniel P. McMillen, 2002. "The center restored: Chicago's residential price gradient reemerges," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 2-11.
  5. Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2004. "New International Evidence on Real Estate as a Portfolio Diversifier," Journal of Real Estate Research, American Real Estate Society, vol. 26(2), pages 161-206.
  6. Sampagnaro, Gabriele & Battaglia, Francesca, 2010. "Reliability and Heterogeneity of Real Estate Indexes and their Impact on the Predictability of Returns," MPRA Paper 23378, University Library of Munich, Germany.
  7. Jeff Fisher & David Geltner & Henry Pollakowski, 2007. "A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 5-33, January.
  8. Dean Gatzlaff & Cynthia Holmes, 2013. "Estimating Transaction-Based Price Indices of Local Commercial Real Estate Markets Using Public Assessment Data," The Journal of Real Estate Finance and Economics, Springer, vol. 46(2), pages 260-281, February.
  9. Peter Chinloy & William Hardin & Zhonghua Wu, 2013. "Transaction Frequency and Commercial Property," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 640-658, November.
  10. Walter Boudry & N. Coulson & Jarl Kallberg & Crocker Liu, 2013. "On Indexing Commercial Real Estate Properties and Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 617-639, November.
  11. David Geltner & Peiling Wei & David C. Ling, 2007. "Indices for Investment Benchmarking and Return Performance Analysis in Private Real Estate," International Real Estate Review, Asian Real Estate Society, vol. 10(1), pages 93-118.

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