Commercial real estate represents a significant fraction of total U.S. wealth, but its risk and returns at the property level are largely unknown. This paper utilizes detailed cash flow information of 2,845 commercial properties acquired for about $89 billion by institutional investors of NCREIF...

This paper develops a novel empirical method that uses property level cash flow information to estimate the risk and return characteristics of private commercial real estate. Monte Carlo simulations suggest that this method is more accurate than the conventional index-based approach. Applying...

Performance indices for illiquid investments are known to suffer from returns smoothing, and the purpose of this paper is to investigate the presence and nature of such smoothing in the context of venture capital. We find that while the standard techniques may or may not indicate the presence of...

I compare the performance of the index-based time series approach and the cross-sectional approach in estimating factor loadings of non-traded assets, and show that the latter likely provides less biased and more efficient estimates. I then use the cross-sectional approach to estimate the...