This paper uses a hedonic pricing model and National Council of Real Estate Investment Fiduciaries data to estimate economic depreciation for multi-family real estate. The findings indicate that investment grade multi-family housing depreciates approximately 2.7% per year in real terms based on...

This paper examines the investment performance of two commingled real estate investment funds (CREFs) over the past twenty years. Results indicate that these funds: (1) offered very good portfolio diversification potential by reducing risk and increasing return; and (2) provided a good hedge...

This study develops a valuation procedure and a model for estimating the impact of the presence of asbestos-containing materials (ACMs) on real estate income property. A key aspect of the valuation procedure is that the value of a property with asbestos, and hence the value adjustment for the...

This paper discusses the economic basis for the existence of business enterprise value in a shopping mall. The existence of business enterprise value in a mall is then tested by examining the rent paid by existing tenants on a lease renewal vs. that paid by new tenants for otherwise identical...

This paper compares alternative methods for taking spatial dependence into account in house price prediction. We select hedonic methods that have been reported in the literature to perform relatively well in terms of ex-sample prediction accuracy. Because differences in performance may be due to...

Returns for commercial real estate are determined by the interaction between the market for space or "space market" and the market for capital or "capital market." In the space market, tenants lease space and short run rental rates are determined by the supply and demand for space. Discount and...

Comparing a fund or any portfolio's performance to a benchmark usually involves risk analysis and attribution analysis. Risk analysis considers measures such as beta and Jensen's alpha to determine if the portfolio is riskier than the benchmark. Attribution analysis decomposes the spread between...

Based on the quarterly actual rental income of over 9,000 NCREIF commercial properties during 2001Q2-2010Q2, we construct a commercial real estate rental index using a dynamic panel data model. The rental index we construct captures the market-wide fluctuations in rental income, and our model...

Much attention has been paid to capitalization rates or cap rates defined as the net operating income over transaction price, also known as a going-in current yield on commercial real estate when calculated at the time of purchase. There are a number of global factors that drive capital markets...