Investor Rationality: An Analysis of Ncreif Commercial Property Data

32 Pages Posted: 27 Dec 2006

See all articles by Patric H. Hendershott

Patric H. Hendershott

University of Aberdeen - Centre for Property Research; National Bureau of Economic Research (NBER)

Bryan MacGregor

University of Aberdeen - Centre for Property Research

Abstract

National Council of Real Estate Fiduciaries multiple listing service level cash flows and panels of capitalization rates for industrial, office and retail properties over the last two decades are examined in this study. Real NOI 5-year future growth is shown to be negatively related to deviations of current real NOI from trend. Given this trend reversion in real cash flows, investor rationality requires that income multipliers be low (capitalization rates be high) when real cash flows are above trend and visa versa. In the panel estimates, the opposite is seen to be the case. Whether this is due to questionable data or irrational behavior is uncertain.

Keywords: NCREIF, multiple listing service, cash flow, capitalization rate, NOI

JEL Classification: C12, C22, C23, C32, C41, C42, C52, C53

Suggested Citation

Hendershott, Patric H. and MacGregor, Bryan D., Investor Rationality: An Analysis of Ncreif Commercial Property Data. Journal of Real Estate Research, Vol. 27, No. 4, 2006, Available at SSRN: https://ssrn.com/abstract=953790

Patric H. Hendershott (Contact Author)

University of Aberdeen - Centre for Property Research ( email )

Aberdeen AB24 2UF
Scotland

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Bryan D. MacGregor

University of Aberdeen - Centre for Property Research ( email )

Aberdeen AB24 2UF
Scotland
44-1224-272-356 (Phone)
44-1224-273-487 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
161
Abstract Views
1,063
rank
223,158
PlumX Metrics