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Journal of Real Estate Portfolio Management Volume 18, 2012 - Issue 3
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Research Articles

Understanding Commercial Real Estate Indices

Junjie SunOffice of the Comptroller of the Currency, Washington, DC 20219
,
Xiaolong YangOffice of the Comptroller of the Currency, Washington, DC 20219
&
Xinlei ZhaoOffice of the Comptroller of the Currency, Washington, DC 20219
Pages 289-303 | Published online: 18 Jun 2020

  • Ambrose, B. and A. Sanders. Commercial Mortgage-Backed Securities: Prepayment and Default. Journal of Real Estate Finance and Economics, 2003, 26:2-3, 179-96. Commercial Mortgage-Backed Securities: Prepayment and Default Journal of Real Estate Finance and Economics 26 179 96
  • An, X., Y. Deng, and A. Sanders. Default Risk of CMBS Loans: What Explains the Regional Variations? Working paper, San Diego State University, 2010.
  • Black, L., C.S. Chu, A. Cohen, and J.B. Nichols. Differences across Originators in CMBS Loan Underwriting. Board of Governors of the Federal Reserve System. Finance and Economics Discussion Series: 2011-05, 2011.
  • Cannon, S.E. and R.A. Cole. How Accurate Are Commercial Real Estate Appraisals? Evidence from 25 Years of NCREIF Sales Data. Working paper, DePaul University, 2011.
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  • Cho, H., Y. Kawaguchi, and J.D. Shilling. Unsmoothing Commercial Property Returns: A Revision to Fisher-Geltner-Webb's Unsmoothing Methodology. Journal of Real Estate Finance and Economics, 2003, 27, 393-405. Unsmoothing Commercial Property Returns: A Revision to Fisher-Geltner-Webb's Unsmoothing Methodology Journal of Real Estate Finance and Economics 27 393 405
  • Colby, C.C. Centrifugal and Centripetal Forces in Urban Geography. Annuals, Association of American Geographers, 1933, 23, 1-20. Centrifugal and Centripetal Forces in Urban Geography Annuals, Association of American Geographers 23 1 20
  • CoStar Inc. CoStar Commercial Repeat-Sale Indices Methodology. 2010.
  • Fisher, J. and D. Geltner. De-lagging the NCREIF Index: Transaction Prices and Reverse Engineering. Real Estate Finance, 2000, 17:1, 7-22. De-lagging the NCREIF Index: Transaction Prices and Reverse Engineering Real Estate Finance 17 7 22
  • Fisher, J., D. Gatzlaff, D. Geltner, and D. Haurin. Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices. Real Estate Economics, 2003, 31:2, 269-303. Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices Real Estate Economics 31 269 303
  • Fisher, J., D. Geltner, and R.B. Webb. Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods. Journal of Real Estate Finance & Economics, 1994, 9:2, 137-64. Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods Journal of Real Estate Finance & Economics 9 137 64
  • Florance, A.C., N.G. Miller, R. Peng, and J. Spivey. Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Effect Market. Journal of Real Estate Portfolio Management, 2010, 16:2, 101-18. Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Effect Market Journal of Real Estate Portfolio Management 16 101 18
  • Fu, Y. Estimating the Lagging Error in Real Estate Price Indices. Real Estate Economics, 2003, 31:1, 75-98. Estimating the Lagging Error in Real Estate Price Indices Real Estate Economics 31 75 98
  • Geltner, D. and B. Kluger. REIT-based Pure Play Portfolios: The Case of Property Types. Real Estate Economics, 1998, 26:4, 581-612. REIT-based Pure Play Portfolios: The Case of Property Types Real Estate Economics 26 581 612
  • Geltner, D. and W. Goetzmann. Two Decades of Commercial Property Returns: A Repeated-measures Regression-based Version of the NCREIF Index. Journal of Real Estate Finance and Economics, 2000, 21:1, 5-21. Two Decades of Commercial Property Returns: A Repeated-measures Regression-based Version of the NCREIF Index Journal of Real Estate Finance and Economics 21 5 21
  • Geltner, D. and D. Ling. Ideal Research and Benchmark Indexes in Private Real Estate: Some Conclusions from the RERI/PREA Technical Report. Real Estate Finance, 2001, 17:4, 17-28. Ideal Research and Benchmark Indexes in Private Real Estate: Some Conclusions from the RERI/PREA Technical Report Real Estate Finance 17 17 28
  • Geltner, D. Considerations in the Design and Construction of Investment Real Estate Research Indices. Journal of Real Estate Research, 2006, 28:4, 411-44. Considerations in the Design and Construction of Investment Real Estate Research Indices Journal of Real Estate Research 28 411 44
  • Geltner, D. Indices for Investment Benchmarking and Return Performance Analysis in Private Real Estate. International Real Estate Review, 2007, 10:1, 93-118. Indices for Investment Benchmarking and Return Performance Analysis in Private Real Estate International Real Estate Review 10 93 118
  • Glaeser, E. and J. Gyourko. Housing Dynamics. NBER Working Paper 12787, revised February 2008.
  • Glascock, J., C. Lu, and R. So. Further Evidence on the Integration of REIT, Bond, and Stock Returns. Journal of Real Estate Finance and Economics, 2000, 20:2, 177-94. Further Evidence on the Integration of REIT, Bond, and Stock Returns Journal of Real Estate Finance and Economics 20 177 94
  • Gyourko, J. Understanding Commercial Real Estate: How Different from Housing Is It? Journal of Portfolio Management, 2009, 35:5, 23-37. Understanding Commercial Real Estate: How Different from Housing Is It? Journal of Portfolio Management 35 23 37
  • Hardin, W.G. III and J. Carr. Disaggregating Neighborhood and Community Center Property Types. Journal of Real Estate Research, 2006, 28:2, 167-92. Disaggregating Neighborhood and Community Center Property Types Journal of Real Estate Research 28 167 92
  • Hess, R. and Y. Liang. A Sector View of Public Market Ownership of Commercial Real Estate in the United States. Journal of Real Estate Portfolio Management, 2002, 8:3, 271-84. A Sector View of Public Market Ownership of Commercial Real Estate in the United States Journal of Real Estate Portfolio Management 8 271 84
  • Horrigan, H., B. Case, D. Geltner, and H. Pollakowski. REITBased Property Return Indices: A New Way to Track and Trade Commercial Real Estate. Journal of Portfolio Management, 2009, 35:5, 80-91. REITBased Property Return Indices: A New Way to Track and Trade Commercial Real Estate Journal of Portfolio Management 35 80 91
  • Hung, K., Z. Onayev, and C. Tu. Time-varying Diversification Effect of Real Estate in Institutional Portfolios: When Alternative Assets are Considered. Journal of Real Estate Portfolio Management, 2008, 14:4, 241-61. Time-varying Diversification Effect of Real Estate in Institutional Portfolios: When Alternative Assets are Considered Journal of Real Estate Portfolio Management 14 241 61
  • Kallberg, J.G., C.L. Liu, and C. Trzcinka. The Value Added from Investment Managers: An Examination of Funds of REITs. Journal of Financial and Quantitative Analysis, 2000, 35:3, 387-408. The Value Added from Investment Managers: An Examination of Funds of REITs Journal of Financial and Quantitative Analysis 35 387 408
  • Lamont, Owen, and Jeremy Stein, 1999, Leverage and House Price Dynamics in U.S. Cities, Rand Journal of Economics 30(3), 498-514. Leverage and House Price Dynamics in U.S. Cities Rand Journal of Economics 30 498 514
  • Lee, S. The Changing Benefit of REITs to the Mixed-asset Portfolio. Journal of Real Estate Portfolio Management, 2010, 16:3, 201-15. The Changing Benefit of REITs to the Mixed-asset Portfolio Journal of Real Estate Portfolio Management 16 201 15
  • Malizia, E.E. Forecasting Demand for Commercial Real Estate Based on the Economic Fundamentals of U.S. Metro Areas. Journal of Real Estate Literature, 1991, 6:3, 251-66. Forecasting Demand for Commercial Real Estate Based on the Economic Fundamentals of U.S. Metro Areas Journal of Real Estate Literature 6 251 66
  • Miles, M., D. Guilkey, and J. Fisher. Commercial Real Estate Equity Returns. Real Estate Finance, 2000, 17:2, 57-65. Commercial Real Estate Equity Returns Real Estate Finance 17 57 65
  • Morrell, G.D. Value-weighting and the Variability of Real Estate Returns: Implications for Portfolio Construction and Performance Evaluation. Journal of Property Research, 1993, 10:3, 167-83. Value-weighting and the Variability of Real Estate Returns: Implications for Portfolio Construction and Performance Evaluation Journal of Property Research 10 167 83
  • Oikarinen, E., M. Hoesli, and C. Serrano. The Long-run Dynamics between Direct and Securitized Real Estate. Journal of Real Estate Research, 2011, 33:1, 73-103. The Long-run Dynamics between Direct and Securitized Real Estate Journal of Real Estate Research 33 73 103
  • Ownbey, K.L., K. Davis, and H.H. Sundel. The Effect of Location Variables on the Gross Rents of Neighborhood Shopping Centers. Journal of Real Estate Research, 1994, 9:1, 111-24. The Effect of Location Variables on the Gross Rents of Neighborhood Shopping Centers Journal of Real Estate Research 9 111 24
  • Pagliari, J.L. Jr., F. Lieblich, M. Schaner, and J.R. Webb. Twenty Years of the NCREIF Property Index. Real Estate Economics, 2001, 29:1, 1-27. Twenty Years of the NCREIF Property Index Real Estate Economics 29 1 27
  • Roback, J. Wages, Rents, and Quality of Life. Journal of Political Economy, 1982, 90:4, 1257-78. Wages, Rents, and Quality of Life Journal of Political Economy 90 1257 78
  • Rosen, S. Wage-based Indexes of Urban Quality of Life. In: Current Issues in Urban Economics. P. Mieszkowski and M. Straszheim (eds.), Baltimore, MD: Johns Hopkins University Press, 1979. Current Issues in Urban Economics
  • Urban Land Institute. Emerging Trends in Real Estate 2011. 2011.
  • Yildirim, Y. Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring. Journal of Real Estate Finance and Economics, 2008, 37:2, 93-111. Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring Journal of Real Estate Finance and Economics 37 93 111
  • Young, M. Making Sense of the NCREIF Property Index: A New Formulation Revisited. Journal of Real Estate Portfolio Management, 2005, 11:3, 211-23. Making Sense of the NCREIF Property Index: A New Formulation Revisited Journal of Real Estate Portfolio Management 11 211 23

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