A successive effort on performance comparison between public and private real estate equity investment

The research has a two-fold objective. Initially, the author compares the performance between public and private real estate equity investment represented by NAREIT Equity REIT Index and NCREIF Property Index from 1987 to 2005. Before comparison, the two return series are restated to eliminate their discrepancies in leverage, property-sector mix, and asset management fees. In addition to the 2.66% difference in mean returns between public and private markets over the 19-year research timeframe, the results indicate that the return restatement is able to reconcile the performance of the indices both by property sector (i.e. retail, apartment, office, and industrial) and at the aggregate level. Subsequently, the author compares MIT CRE's Transactions-Based Index (TBI) with NCREIF Property Index in order to confirm the advantage of transaction- over appraisal-based indices under some circumstances. After TBI goes through a similar restatement process, TBI and NCREIF Property Index are respectively benchmarked with NAREIT Equity REIT Index from 1995 to 2005. Although some conflicting results are found in the retail and apartment sectors, the research basically identifies TBI's relative proximity to the public market benchmark, which further supports the argument that transaction-based indices are better data sources for the analyses in which responsive reflections on private market conditions are necessary.

Department dc:contributor.department

Massachusetts Institute of Technology. Dept. of Urban Studies and Planning.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2007

Author dc:creator

• Tsai, Jengbin Patrick

Advisor dc:contributor.advisor

• Henry O. Pollakowski.

• Urban Studies and Planning.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/42016

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/42016