Mastering the metropolis through research and thought leadership.
Working Papers

Real Estate Returns in Public and Private Markets

Working paper #470
Joseph Gyourko

The relationship between appraisal-based returns on the NCREIF Property Index and transactions-based returns on NAREIT’s Equity REIT Index is reexamined using new data from the modern REIT era. The lead-lag relationship first identified in Gyourko & Keim (1992) whereby current equity REIT returns predict future NCREIF returns is shown to still exist. Further analysis shows that it is the infrequent nature of the appraisal process that is behind this result. Moreover, one should not expect this relationship between private- and public-market returns to change unless appraisals became much more frequent. Finally, we examine the changing correlations of equity REIT returns with broader market indexes and conclude that the lower correlations with the S&P500 index and a small stock index reflect improved investor awareness of the true risk profile of a diversified portfolio of commercial real estate.

Download full paper · 1MB PDF


In This Section
Explore Topics

1010 Affordable Housing Amazon Amenitization Architecture Artificial Intelligence Asia Australia automation Autonomous Vehicles bonds Borrowing Constraints Brexit California Canada Capital Business China Co-Working Environment coastal markets cold storage Colombia Commercial Brokerage Commercial Real Estate commissions Congestion consumer bias covid-19 CRE credit card market Credit Default Swaps Credit Insurance Credit Risk Transfers Culture Data Analytics data centers Data Collection Technology Debt Market Demand Demographics Density Development Discrete Choice disruption Diversity drones e-Commerce Economic Corridors economic policy economics education election studies Equity Funds Equity Market Ethnic Factors Europe Fannie Mae financial asset management Foreclosures Foreign Policy France Freddie Mac general equilibrium Global global economy Global Financial Crisis Globalization great depression Great Recession healthy buildings Hedonic hospitality Housing & Residential housing boom Housing Disease housing prices Housing Supply Identity Income Inequality India inflation Inter-generational mobility interest rates Investing jobs labor market Lagging Regions land use regulation Language life sciences Macroeconomics malls Market Pricing megacities Microeconomics Migration Minimum Payments Mixed-Use Mobility moral hazard mortgage insurance mortgage market Mortgage Rates Mortgages Multi-family Nation Building Non-Traditional Mortgages Office Market office sector pension funds Placed Based Policies Political Risk Price Discovery Private Equity Business public health public policy Public Schools real estate brokerage Real Estate Investment Real Estate Investment Trusts Recession Rental Retail Retirement reverse mortgages Risk Adjustment risk management risk-shifting robotics single family housing Slums Sorting South America Spatial Regions spillover effect stimulus package Sub-Prime Mortgages Sustainability Technology telecommunications trade transportation unemployment United States Urban Urbanization Warehouse welfare work from home

arrow_drop_up