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Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index
14 references·4 citing·42 second hop
Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index (2000)Two Decades of Commercial Property Return…Property valuation variation and the 'margin of error' in the UK (1998)Property valuation variation …A Longitudinal Examination of the Appraisal Smoothing Hypothesis (1998)A Longitudinal Examination of…Sample Selection Bias and Repeat-Sales Index Estimates (1997)Sample Selection Bias and Rep…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…The accuracy of real estate indices: Repeat sale estimators (1992)The accuracy of real estate i…Estimating Price Indices for Residential Property: A Comparison of Repeat Sales and Assessed Value Methods (1992)Estimating Price Indices for …Arithmetic Repeat Sales Price Estimators (1991)Arithmetic Repeat Sales Price…Arithmetic repeat sales price estimators (1991)Arithmetic repeat sales price…Forecasting Prices and Excess Returns in the Housing Market (1990)Forecasting Prices and Excess…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…Prices of Single Family Homes Since 1970: New Indexes for Four Cities (1987)Prices of Single Family Homes…A Regression Method for Real Estate Price Index Construction (1963)A Regression Method for Real …The Information Content of the NCREIF Index (2009)The Information Content of th…A Model of Time‐on‐Market and Real Estate Price Under Sequential Search with Recall (2008)A Model of Time‐on‐Market and…How Does Appraisal Smoothing Bias Real Estate Returns Measurement? (2006)How Does Appraisal Smoothing …The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks (2002)The Termination of Commercial…Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition (1974)Shadow Prices, Market Wages, and Labor Supply (1974)The Efficiency of the Market for Single-Family Homes (1988)Selling Time and Selling Price: The Influence of Seller Motivation (1998)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)A spatial Difference-in-Differences estimator to evaluate the effect of change in public mass transit systems on house prices (2014)Permanent and Temporary Components of Stock Prices (1988)Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Closed‐End Fund Puzzle (1991)Real estate is not normal: A fresh look at real estate return distributions (1995)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Are REITs real estate? Evidence from international sector level data (2012)The arbitrage theory of capital asset pricing (1976)The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)A simple alternative house price index method (2006)American Economic Review (2019)Pre-owned housing price index forecasts using Gaussian process regressions (2024)Asset returns and inflation (1977)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)The theory and practice of econometrics (1986)Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison (2005)The 1998-2005 Housing “Bubble” and the Current “Correction”: What’s Different This Time? (2008)Measuring the Value of Housing Quality (1970)3. Hedonic Price Indexes for Automobiles: An Econometric Analysis of Quality Change (1971)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)Hedonic Pricing Models: A Selective and Applied Review (2002)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Dividend yields and expected stock returns (1988)Bubbles in Metropolitan Housing Markets (1994)A Simple Error Correction Model of House Prices (1999)Money Illusion and Housing Frenzies (2007)The Behavior of Home Buyers in Boom and Post-Boom Markets (1988)Making Sense of the Subprime Crisis (2008)Recourse and Residential Mortgage Default: Evidence from US States (2011)Value indices of commercial real estate: A comparison of index construction methods (1994)Price Discovery in American and British Property Markets (1995)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)
this work references cited by second hop

References

  • 1963A Regression Method for Real Estate Price Index Construction1,064 cited
  • 1990Forecasting Prices and Excess Returns in the Housing Market582 cited
  • 1987Prices of Single Family Homes Since 1970: New Indexes for Four Cities551 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1997Sample Selection Bias and Repeat-Sales Index Estimates289 cited
  • 1990Equity Real Estate Investment Trusts and Real Estate Returns253 cited
  • 1992Estimating Price Indices for Residential Property: A Comparison of Repeat Sales and Assessed Value Methods249 cited
  • 1992The accuracy of real estate indices: Repeat sale estimators222 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 1991Arithmetic repeat sales price estimators198 cited
  • 1998A Longitudinal Examination of the Appraisal Smoothing Hypothesis148 cited
  • 1991Arithmetic Repeat Sales Price Estimators127 cited
  • 1998Property valuation variation and the 'margin of error' in the UK106 cited

Cited by

  • 2006

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How Does Appraisal Smoothing Bias Real Estate Returns Measurement?
86 cited
  • 2002The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks71 cited
  • 2008A Model of Time‐on‐Market and Real Estate Price Under Sequential Search with Recall69 cited
  • 2009The Information Content of the NCREIF Index42 cited