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

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Abstract

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.

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Authors and Affiliations

  1. College of Business Administration, University of Cincinnati, Cincinnati, OH

    David Geltner

  2. School of Management, Yale University, New Haven, CT

    William Goetzmann

Authors
  1. David Geltner
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  2. William Goetzmann
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Geltner, D., Goetzmann, W. Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index. The Journal of Real Estate Finance and Economics 21, 5–21 (2000). https://doi.org/10.1023/A:1007811702150

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  • DOI: https://doi.org/10.1023/A:1007811702150

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