Twenty Years of the Ncreif Property Index
50 Pages Posted: 8 Sep 1998
Date Written: July 1, 1998
This study overviews the performance of the NCREIF Property Index, by property type, over its initial twenty-year period. As a precursor to more exact analytical methods, the study displays the path of earnings, cash flow and property values over this twenty-year period. More exactly, the performance is analyzed from the perspective of the "fundamental" sources of return: initial earnings yield, "dividend" pay-out ratios, earnings growth, shifts in capitalization rates and other (less significant) effects. (While this approach has been applied to private real estate equities, nothing precludes its application to variety of other investment classes.) Our results indicate the fundamental sources that have contributed to the Index's considerable cross-sectional variation as well as its time-series variation. As such, this study should be viewed as a useful historical account for those interested in understanding the ex post return-generating process of the Index and its property-type components as well as those who wish to model the ex ante return-generating process for a variety of applications in both the equity and debt markets, regardless of whether the securities are publicly or privately traded.
JEL Classification: M41, R32
Suggested Citation: Suggested Citation