Two Decades of Commercial Property Returns: A Ncreif Index Using Independent Appraisals

Abstract

This paper documents twenty years of performance of commercial real estate in the U.S. using a portfolio of properties that comprise the widely followed NCREIF Property Index (NPI). We develop an extension of the repeated-measures regression to examine the magnitude and duration of the of the crash in property values in the early 1990's. We find that total returns based upon income and capital were -15% over a three year period beginning in 1990.

JEL Classification: G1, G2