Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index
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
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2000)
Issue (Month): 1 (July)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/regional+science/journal/11146/PS2|
When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:21:y:2000:i:1:p:5-21. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.