TY - JOUR
T1 - Investor Rationality: An Analysis of NCREIF Commercial Property Data
AU - Hendershott, Patric Henry
AU - MacGregor, Bryan Duncan
PY - 2005
Y1 - 2005
N2 - National Council of Real Estate Fiduciaries multiple listing service level cash flows and panels of capitalization rates or 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.
AB - National Council of Real Estate Fiduciaries multiple listing service level cash flows and panels of capitalization rates or 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.
U2 - 10.1080/10835547.2005.12091167
DO - 10.1080/10835547.2005.12091167
M3 - Article
SN - 0896-5803
VL - 27
SP - 445
EP - 475
JO - Journal of Real Estate Research
JF - Journal of Real Estate Research
IS - 4
ER -