RT Journal Article SR Electronic T1 Capital Markets Impact on Commercial Real Estate Cap Rates: A Practitioner’s View JF The Journal of Portfolio Management FD Institutional Investor Journals SP 38 OP 49 DO 10.3905/JPM.2009.35.5.038 VO 35 IS 5 A1 Martha S Peyton YR 2009 UL https://pm-research.com/content/35/5/38.abstract AB 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.TOPICS: Real estate, factor-based models, credit risk management