Commercial real estate volatility : a decomposition of historical market values
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2020
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| Online Access: | https://hdl.handle.net/1721.1/123594 |
| _version_ | 1826189611301339136 |
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| author | Whittier, Christopher J. |
| author2 | William Wheaton. |
| author_facet | William Wheaton. Whittier, Christopher J. |
| author_sort | Whittier, Christopher J. |
| collection | MIT |
| description | This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections. |
| first_indexed | 2024-09-23T08:18:22Z |
| format | Thesis |
| id | mit-1721.1/123594 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T08:18:22Z |
| publishDate | 2020 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/1235942020-03-24T04:08:09Z Commercial real estate volatility : a decomposition of historical market values Decomposition of historical market values Whittier, Christopher J. William Wheaton. Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development. Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development Center for Real Estate. Program in Real Estate Development. This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections. Thesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2019 Cataloged from PDF version of thesis. Includes bibliographical references (pages 26-27). Risk -- both its mitigation and its exploitation in pursuit of profits -- is likely the most important topic in the study of investment. Risk in private market commercial real estate, however, has been historically less well understood than other more liquid asset classes. To date, most of the research on risk in real estate investment has focused on how changes, cycles, or shocks in the underlying space or asset markets occur. This paper furthers the study of commercial real estate risk by decomposing historical asset volatility into its component space and asset market parts. We do this through the application of a variance decomposition framework on NCREIF NPI time-series data that has been de-trended of long-term secular market movements. In doing so, we are able to compare the relative contributions of space and asset market volatility to commercial real estate price volatility and, more importantly, demonstrate how the expectations of investors who sit at the intersection of those two markets may play an overlooked role in moderating or augmenting volatility. by Christopher J. Whittier. S.M. in Real Estate Development S.M.inRealEstateDevelopment Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate 2020-01-23T16:58:50Z 2020-01-23T16:58:50Z 2019 2019 Thesis https://hdl.handle.net/1721.1/123594 1135860743 eng MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission. http://dspace.mit.edu/handle/1721.1/7582 44 pages application/pdf Massachusetts Institute of Technology |
| spellingShingle | Center for Real Estate. Program in Real Estate Development. Whittier, Christopher J. Commercial real estate volatility : a decomposition of historical market values |
| title | Commercial real estate volatility : a decomposition of historical market values |
| title_full | Commercial real estate volatility : a decomposition of historical market values |
| title_fullStr | Commercial real estate volatility : a decomposition of historical market values |
| title_full_unstemmed | Commercial real estate volatility : a decomposition of historical market values |
| title_short | Commercial real estate volatility : a decomposition of historical market values |
| title_sort | commercial real estate volatility a decomposition of historical market values |
| topic | Center for Real Estate. Program in Real Estate Development. |
| url | https://hdl.handle.net/1721.1/123594 |
| work_keys_str_mv | AT whittierchristopherj commercialrealestatevolatilityadecompositionofhistoricalmarketvalues AT whittierchristopherj decompositionofhistoricalmarketvalues |