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Article

Capital Markets Impact on Commercial Real Estate Cap Rates: A Practitioner’s View

Martha S Peyton
The Journal of Portfolio Management Special Real Estate Issue 2009, 35 (5) 38-49; DOI: https://doi.org/10.3905/JPM.2009.35.5.038
Martha S Peyton
is a managing director in Global Real Estate at TIAA-CREF in New York, NY.
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  • For correspondence: mpeyton@tiaa-cref.org
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Abstract

The capital markets turmoil that exploded credit spreads in mid-2007 had no discernible impact on commercial real estate pricing until a year later when capitalization rates associated with NCREIF-NPI property sales began to widen from all time lows. The model developed in this article identifies “signal variables” that could have been used to inform commercial real estate investor expectations in the interim. The model’s results demonstrate that over short periods of time, cap rates can be predicted by macroeconomic and financial market conditions combined with commercial real estate market fundamentals. The effectiveness of these variables validates the integration of commercial real estate into the larger capital markets.

  • © 2009 Institutional Investor, Inc.
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The Journal of Portfolio Management: 35 (5)
The Journal of Portfolio Management
Vol. 35, Issue 5
Special Real Estate Issue 2009
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Capital Markets Impact on Commercial Real Estate Cap Rates: A Practitioner’s View
Martha S Peyton
The Journal of Portfolio Management Sep 2009, 35 (5) 38-49; DOI: 10.3905/JPM.2009.35.5.038

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Capital Markets Impact on Commercial Real Estate Cap Rates: A Practitioner’s View
Martha S Peyton
The Journal of Portfolio Management Sep 2009, 35 (5) 38-49; DOI: 10.3905/JPM.2009.35.5.038
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  • Article
    • Abstract
    • BACKGROUND
    • PREVIOUS RESEARCH
    • EXTENSION TO COMMERCIAL REAL ESTATE CAP RATES: MODEL SPECIFICATION
    • MACROECONOMIC AND INTEREST RATE FACTORS
    • CREDIT PRICING FACTORS
    • DATA SPECIFICATIONS
    • EMPIRICAL RESULTS: LONG-TERM MODELS
    • EMPIRICAL RESULTS: SHORT-TERM MODELS
    • A PRACTICAL APPLICATION OF THE MODEL
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

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