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Twenty Years of the NCREIF Property Index

50 Pages Posted: 8 Sep 1998  

Joseph L. Pagliari

University of Chicago - Booth School of Business

Frederich Lieblich

State Street Research Realty Advisors, Inc.

Mark S. Schaner

State Street Research Realty Advisors, Inc.

James R. Webb

Cleveland State University

Date Written: July 1, 1998

Abstract

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

Pagliari, Joseph L. and Lieblich, Frederich and Schaner, Mark S. and Webb, James R., Twenty Years of the NCREIF Property Index (July 1, 1998). Available at SSRN: https://ssrn.com/abstract=124325 or http://dx.doi.org/10.2139/ssrn.124325

Joseph L. Pagliari (Contact Author)

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

Frederich Lieblich

State Street Research Realty Advisors, Inc. ( email )

One North Broadway
Suite 500
White Plains, NY 10601
United States
914-422-6878 (Phone)
914-421-5178 (Fax)

Mark S. Schaner

State Street Research Realty Advisors, Inc. ( email )

One North Broadway
Suite 500
White Plains, NY 10601
United States
914-422-6811 (Phone)
914-422-6811 (Fax)

James R. Webb

Cleveland State University ( email )

1860 E. 18th St., BU 327E
Cleveland, OH 44115
United States
216-687-4716 (Phone)
216-687-4716 (Fax)

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