Value indices of commercial real estate: A comparison of index construction methods

摘要: The purpose of this paper is to shed light on the history commercial property values over past decade, and compare different methods constructing value indices returns series. We examine three types indices: (i) Indices that attempt reconstructproperty market by “unsmoothing” appraisal-based Russell-NCREIF Index; (ii) trace average ex posttransaction prices time; (iii) an index based onunlevering REIT share prices. By comparing historical pictures result from various construction methodologies, one gains insight into nature price valuation behavior. REIT-based lead other in time but display greater short-run volatility. transactions-based lag behind series time, are consistent with idea institutional investors hold onto properties until they can sell them for a at least equal current appraised value, effect trading off liquidity reduced