Commercial real estate volatility : a decomposition of historical market values
Name
1135860743-MIT.pdf
Size
2.4 MB
Format
Adobe PDF
Checksum (MD5)
99e82de2e4795b75d4ff91f817774aaf
Author(s)
Whittier, Christopher J.
Advisor(s)
William Wheaton.
Alternative Title
Decomposition of historical market values
Date Issued
2019
Publisher
Massachusetts Institute of Technology
Abstract
Risk -- both its mitigation and its exploitation in pursuit of profits -- is likely the most important topic in the study of investment. Risk in private market commercial real estate, however, has been historically less well understood than other more liquid asset classes. To date, most of the research on risk in real estate investment has focused on how changes, cycles, or shocks in the underlying space or asset markets occur. This paper furthers the study of commercial real estate risk by decomposing historical asset volatility into its component space and asset market parts. We do this through the application of a variance decomposition framework on NCREIF NPI time-series data that has been de-trended of long-term secular market movements. In doing so, we are able to compare the relative contributions of space and asset market volatility to commercial real estate price volatility and, more importantly, demonstrate how the expectations of investors who sit at the intersection of those two markets may play an overlooked role in moderating or augmenting volatility.
Description
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Thesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2019
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 26-27).
Subjects
Center for Real Estate. Program in Real Estate Development.
MIT Department
Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development
Massachusetts Institute of Technology. Center for Real Estate
Terms of Use
MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.
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