RT Journal Article SR Electronic T1 REIT-Based Property Return Indices: A New Way to Track and Trade Commercial Real Estate JF The Journal of Portfolio Management FD Institutional Investor Journals SP 80 OP 91 DO 10.3905/JPM.2009.35.5.080 VO 35 IS 5 A1 Holly Horrigan A1 Brad Case A1 David Geltner A1 Henry Pollakowski YR 2009 UL https://pm-research.com/content/35/5/80.abstract 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