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Commercial Real Estate Returns

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  • Mike Miles
  • Tom McCue

Abstract

In the commercial real estate market, which is perceived to be relatively inefficient, investors have comparative advantages; hence there are significant costs to diversification. This paper presents for the first time a series of market (or quasi‐market) returns for a large data base. This data base is believed to be the most complete commercial real estate data base yet constructed. The paper empirically evaluates the benefits of diversification along various dimensions within the commercial real estate opportunity set. The analysis confirms certain aspects of prior work concerning inflation protection and diversification opportunities while concluding that even investment grade real estate investments are heterogeneous assets.

Suggested Citation

  • Mike Miles & Tom McCue, 1984. "Commercial Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 355-377, September.
    • Handle: RePEc:bla:reesec:v:12:y:1984:i:3:p:355-377
    DOI: 10.1111/1540-6229.00327
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    References listed on IDEAS

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    1. Martin, John D & Klemkosky, Robert C, 1976. "The Effect of Homogeneous Stock Groupings on Portfolio Risk," The Journal of Business, University of Chicago Press, vol. 49(3), pages 339-349, July.
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    6. Mike Miles & Tom Mc Cue, 1982. "Historic Returns and Institutional Real Estate Portfolios," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 10(2), pages 184-199, June.
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    Citations

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    Cited by:

    1. Michael Devaney & William Rayburn, 1988. "When a House Is More Than a Home: Performance of the Household Portfolio," Journal of Real Estate Research, American Real Estate Society, vol. 3(1), pages 75-85.
    2. Stuart Fletcher, 1993. "Portfolio Considerations in Commingled Real Estate Funds," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 171-188.
    3. James R. Webb & Jack H. Rubens, 1987. "Tax Rates and Implicit Rates of Return on Owner-Occupied Single-Family Housing," Journal of Real Estate Research, American Real Estate Society, vol. 2(2), pages 11-28.
    4. Jun Han & Youguo Liang, 1995. "The Historical Performance of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 235-262.
    5. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
    6. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 1997. "The Spatial Dimensions of the Investment Performance of UK Commercial Property," Urban Studies, Urban Studies Journal Limited, vol. 34(9), pages 1475-1494, August.
    7. John Glascock & Lynne Kelly, 2007. "The Relative Effect of Property Type and Country Factors in Reduction of Risk of Internationally Diversified Real Estate Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 369-384, April.
    8. Wen‐Shwo Fang & Kuan‐Min Wang & Thanh‐Binh T. Nguyen, 2008. "Is Real Estate Really an Inflation Hedge? Evidence from Taiwan," Asian Economic Journal, East Asian Economic Association, vol. 22(2), pages 209-224, June.
    9. Kuan-Min, Wang & Yuan-Ming, Lee & T.T.Binh, Nguyen, 2008. "Asymmetric Inflation Hedge of Housing Return: A Non-linear Vector Error Correction Approach," International Real Estate Review, Global Social Science Institute, vol. 11(1), pages 65-82.
    10. David Geltner, 1989. "Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(4), pages 463-481, December.
    11. William C. Wheaton & Raymond G. Torto, 1989. "Income and Appraised Values: A Reexamination of the FRC Returns Data," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(4), pages 439-449, December.
    12. Tarbert, Heather, 1998. "The long-run diversification benefits available from investing across geographical regions and property type: evidence from cointegration tests1," Economic Modelling, Elsevier, vol. 15(1), pages 49-65, January.
    13. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February.
    14. Maurizio d'Amato, 2001. "Within Real Estate Portfolio. Diversification through Rough Set Theory," ERES eres2001_141, European Real Estate Society (ERES).
    15. Geoffrey Keogh & Eamonn D'Arcy, 1999. "Property Market Efficiency: An Institutional Economics Perspective," Urban Studies, Urban Studies Journal Limited, vol. 36(13), pages 2401-2414, December.
    16. Colin Lizieri & Charles Ward, 2000. "Commercial Real Estate Return Distributions: A Review Of Literature And Empirical Evidence," Real Estate & Planning Working Papers rep-wp2000-01, Henley Business School, University of Reading.
    17. James L. Kuhle & Carl H. Walther & Charles H. Wurtzebach, 1986. "The Financial Performance of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 1(1), pages 67-75.
    18. Carsten Lausberg & Stephen Lee & Moritz Müller & Cay Oertel & Tobias Schultheiß, 2020. "Risk measures for direct real estate investments with non-normal or unknown return distributions," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 3-27, April.
    19. Catherine Jackson, 2002. "Classifying Local Retail Property Markets on the Basis of Rental Growth Rates," Urban Studies, Urban Studies Journal Limited, vol. 39(8), pages 1417-1438, July.

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