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...

This paper examines the effects of walkability on property values and investment returns. Walkability is the degree to which an area within walking distance of a property encourages walking for recreational or functional purposes. We used data from the National Council of Real Estate Investment...

Using the actual quarterly rental income generated in the years between 2001 and 2010 by over 9,000 NCREIF commercial properties, we construct a commercial real estate rental index and estimate the time series properties (e.g., mean-reversion speed and volatility) of market-wide rental growth...

Using a unique dataset of building operating statements from Fannie Mae, we develop repeated measures regression (RMR) indices for NOI, EGI and PGI to track the cash flow performance of Fannie Mae-financed multifamily real estate. Our three-stage RMR estimate shows an average NOI growth of about...

Using a unique dataset of building operating statements from Fannie Mae, we develop repeated measures regression (RMR) indices for NOI, EGI and PGI to track the cash flow performance of Fannie Mae-financed multifamily real estate. Our three-stage RMR estimate show an average NOI growth of about...

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...

This article presents a methodology for producing a quarterly transactions-based index (TBI) of property-level investment performance for U.S. institutional real estate. Indices are presented for investment periodic total returns and capital appreciation (or price-changes) for the major property...

In this paper we simulate the performance of real estate portfolios using cash flows from commercial properties over the period 1977 Q4 through 2004 Q2. Our methodology differs from analyses that rely upon historical time-weighted rates of return on property. We relax implicit rebalancing and...