2026-09-20T23:14:13Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/771232026-06-06T01:05:35Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
David M. Geltner.
Jones, Ryan Hunter
Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development.
Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development.
Massachusetts Institute of Technology. Center for Real Estate
2013-02-15T14:41:08Z
2013-02-15T14:41:08Z
2012
http://hdl.handle.net/1721.1/77123
825113597
Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Program in Real Estate Development in Conjunction with the Center for Real Estate, 2012.
"September 2012." Cataloged from department-submitted PDF version of thesis. This electronic version was submitted and approved by the author's academic department as part of an electronic thesis pilot project. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (p. 82-84).
Commercial Real Estate is a large asset class, increasingly owned by professional investment managers. Investment managers need a thorough understanding of the risk return relationship and tools to adequate implement sound investing, portfolio management and risk management strategies. Equilibrium asset pricing models are tools that identify and quantify the risk factors priced by the capital market and establish risk adjusted LONG RUN expected returns. This thesis creates portfolios of properties by property type, geographic location and asset size. Total return indices are created for each portfolio to test single factor and multifactor asset pricing models cross sectionally within the commercial real estate asset class. Historical total return data is used from three sources including: NCREIF; the stock market-based FTSE NAREIT Pure-Property Index Series; and a novel "synthetic" total return index created by the researcher from the repeat sale transaction-based Moody's/RCA CPPI Indices. The asset pricing model test results for the NCREIF and PureProperty indices show that a substantial amount of the variation in LONG RUN total return can be explained by a portfolio's beta with respect to a market index and property specific variables such as property type, location and asset size. The asset pricing model test results for the RCA indices were poor and failed to explain the cross-section of commercial real estate returns. Thus, it appears that certain parts of the commercial real estate market may be operating without a systematic relationship of risk and return.
by Ryan Hunter Jones.
S.M. in Real Estate Development
106 p.
eng
Massachusetts Institute of Technology
M.I.T. theses are protected by
copyright. They may be viewed from this source for any purpose, but
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http://dspace.mit.edu/handle/1721.1/7582
Center for Real Estate. Program in Real Estate Development.
Risk and return in institutional commercial real estate : a fresh look with new data
Thesis
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Publication
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<Abstract>Commercial Real Estate is a large asset class, increasingly owned by professional investment managers. Investment managers need a thorough understanding of the risk return relationship and tools to adequate implement sound investing, portfolio management and risk management strategies. Equilibrium asset pricing models are tools that identify and quantify the risk factors priced by the capital market and establish risk adjusted LONG RUN expected returns. This thesis creates portfolios of properties by property type, geographic location and asset size. Total return indices are created for each portfolio to test single factor and multifactor asset pricing models cross sectionally within the commercial real estate asset class. Historical total return data is used from three sources including: NCREIF; the stock market-based FTSE NAREIT Pure-Property Index Series; and a novel "synthetic" total return index created by the researcher from the repeat sale transaction-based Moody's/RCA CPPI Indices. The asset pricing model test results for the NCREIF and PureProperty indices show that a substantial amount of the variation in LONG RUN total return can be explained by a portfolio's beta with respect to a market index and property specific variables such as property type, location and asset size. The asset pricing model test results for the RCA indices were poor and failed to explain the cross-section of commercial real estate returns. Thus, it appears that certain parts of the commercial real estate market may be operating without a systematic relationship of risk and return.</Abstract>
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