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

Posted: 24 Aug 2000

See all articles by David M. Geltner

David M. Geltner

affiliation not provided to SSRN

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Abstract

This paper documents twenty years of performance of commercial real estate in the U.S. 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 crash in property values in the early 1990's. The RMR Index is also compared with the NAREIT Index, and property-type sub-indices 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.

JEL Classification: G12, R30

Suggested Citation

Geltner, David and Goetzmann, William N., Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the Ncreif Index. Journal of Real Estate Finance and Economics, Vol. 21, Issue 1. Available at SSRN: https://ssrn.com/abstract=237813

David Geltner (Contact Author)

affiliation not provided to SSRN

William N. Goetzmann

Yale School of Management - International Center for Finance ( email )

165 Whitney Ave.
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-436-9252 (Fax)

HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
1,235
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information