Investor Rationality: An Analysis of NCREIF Commercial Property Data

Patric Henry Hendershott, Bryan Duncan MacGregor

    Research output: Contribution to journalArticlepeer-review

    29 Citations (Scopus)


    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.

    Original languageEnglish
    Pages (from-to)445-475
    Number of pages30
    JournalJournal of Real Estate Research
    Issue number4
    Publication statusPublished - 2005


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