PT  - JOURNAL ARTICLE
AU  - Holly Horrigan
AU  - Brad Case
AU  - David Geltner
AU  - Henry Pollakowski
TI  - REIT-Based Property Return Indices: <em>A New Way to Track and Trade Commercial Real Estate</em>
AID  - 10.3905/JPM.2009.35.5.080
DP  - 2009 Sep 30
TA  - The Journal of Portfolio Management
PG  - 80--91
VI  - 35
IP  - 5
4099  - https://pm-research.com/content/35/5/80.short
4100  - https://pm-research.com/content/35/5/80.full
AB  - Using REIT return data, bond data, and property holding data, the authors construct property market segment-specific indices of asset returns. The authors show that these pure-play indices can be employed to make pure, targeted investments in the commercial real estate market while retaining the liquidity, transparency, and pricing efficiency benefits of the well-developed public market in REITs. These pure-play indices compare favorably with existing property market return indices, displaying volatilities similar to transaction-based indices, such as the Moody’s/REAL Commercial Property Price Index, but tending to lead the private market in time. The pure-play indices can be generated at a daily frequency without significant noise and at various levels of market segment granularity and, notably, have led the transactions-based direct property market indices during the recent market downturn. The authors’ findings suggest that the REIT-based pure-play indices may provide a unique, new information source about the commercial property market, as well as a unique capability to facilitate targeted investments, construct hedges, and potentially support derivatives trading.TOPICS: In markets, real estate, options