IDEAS home Printed from https://ideas.repec.org/a/taf/rjerxx/v27y2005i4p445-476.html

Investor Rationality: An Analysis of NCREIF Commercial Property Data

Author

Listed:
  • Patric Hendershott
  • Bryan MacGregor

Abstract

National Council of Real Estate Fiduciaries multiple listing service level cash flows and panels of capitalization rates or industrial, office and retail properties over the last two decades are examined in this study. Real NOI 5-year future growth is shown to be negatively related to deviations of current real NOI from trend. Given this trend reversion in real cash flows, investor rationality requires that income multipliers be low (capitalization rates be high) when real cash flows are above trend and visa versa. In the panel estimates, the opposite is seen to be the case. Whether this is due to questionable data or irrational behavior is uncertain.

Suggested Citation

  • Patric Hendershott & Bryan MacGregor, 2005. "Investor Rationality: An Analysis of NCREIF Commercial Property Data," Journal of Real Estate Research, Taylor & Francis Journals, vol. 27(4), pages 445-476, January.
    • Handle: RePEc:taf:rjerxx:v:27:y:2005:i:4:p:445-476
    DOI: 10.1080/10835547.2005.12091167
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2005.12091167
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2005.12091167?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jim Clayton & David Ling & Andy Naranjo, 2009. "Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 5-37, January.
    2. Mariya Letdin & G. Stacy Sirmans & Greg T. Smersh & Tingyu Zhou, 2025. "The Role of Tenant Characteristics in Retail Cap Rate Variation," The Journal of Real Estate Finance and Economics, Springer, vol. 70(3), pages 429-456, April.
    3. Alain Chaney & Martin Hoesli, 2015. "Transaction-Based and Appraisal-Based Capitalization Rate Determinants," International Real Estate Review, Global Social Science Institute, vol. 18(1), pages 1-43.
    4. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 183-206, February.
    5. Devaney, Steven & Livingstone, Nicola & McAllister, Pat & Nanda, Anupam, 2019. "Capitalization rates and transaction activity in international office markets: A global perspective," Global Finance Journal, Elsevier, vol. 42(C).
    6. Patric Hendershott & Maarten Jennen & Bryan MacGregor, 2013. "Modeling Space Market Dynamics: An Illustration Using Panel Data for US Retail," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 659-687, November.
    7. Steffen Heinig & Anupam Nanda & Sotiris Tsolacos, 2016. "Which Sentiment Indicators Matter? An Analysis of the European Commercial Real Estate Market," ICMA Centre Discussion Papers in Finance icma-dp2016-04, Henley Business School, University of Reading.
    8. Jinliang Li & Robert Mooradian & Shiawee Yang, 2009. "The Information Content of the NCREIF Index," Journal of Real Estate Research, Taylor & Francis Journals, vol. 31(1), pages 93-116, January.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:rjerxx:v:27:y:2005:i:4:p:445-476. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rjer20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.