Two Decades of Commercial Property Returns : A Repeated-Measures Regression-Based Version of the Ncreif Index

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 (RMR) to produce an improved version of the NCREIF Index, that eliminates the quot;stale appraisalquot; and seasonality problems. We use this RMR version of the index to examine the magnitude and duration of the crash in property values in the early 1990's. The RMR Index is also compared with the NAREIT Index, and property-type sub-indices are developed using a Bayesian estimator. Finally, it is also shown how the RMR can be used to estimate the average magnitude of random valuation error in commercial property valuation