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The Influence Of Publicly-Traded Reits And Market-Based Inflation Expectations On Daily-Priced Private Commercial Real Estate Returns, Tiffany Burns Gherlone
The Influence Of Publicly-Traded Reits And Market-Based Inflation Expectations On Daily-Priced Private Commercial Real Estate Returns, Tiffany Burns Gherlone
Doctoral Dissertations (DBA)
Investors requiring daily Net Asset Values (NAV) represent a large and growing source of capital for the private institutional real estate asset class. Defined contribution and other daily-valued vehicles are increasing their investments into private, direct commercial real estate through funds that estimate changes to income and values in order to mark a daily NAV. Utilizing nine years of daily data from the NCREIF Fund Index – Daily Priced, we optimize a generalized autoregressive conditional heteroskedasticity model with generalized error distribution parameterization (GARCH-GED) to better understand the influence of publicly-traded real estate securities and changes in market-implied inflation expectations on …