Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique
|
NBER Working Paper No. 11329
Issued in May 2005
NBER Program(s): AP PE
Periodic sharp sustained increases and then reversals in asset prices lead many to posit irrational price bubbles. The general case for irrationality is that real asset prices simply have moved too much given the future real cash flows the assets are reasonably likely to produce. A corollary for property is that observed mean reversion in real cash flows is not reflected in investor valuations, resulting in asset values being too high when real cash flows are high and vice versa. In this paper we interpret, critique and extend existing analyses of movements in real commercial property prices during the late 1980s and early 1990s.
Published: Hendershott, Patric H., Robert J. Hendershott and Bryan D. MacGregor. "Evidence On Rationality In Commercial Property Markets: An Interpretation and Critique," Journal of Real Estate Literature, 2006, v14(2), 149-172.
This paper is available as PDF (324 K) or via email.
Machine-readable bibliographic record -
MARC,
RIS,
BibTeX
|
|
|
About
Support
The research activities of the NBER are funded by grants from federal research agencies, by private foundations, and by generous donations from our corporate associates and from private individuals. The NBER is a non-profit, 501(c)(3) organization. For information on supporting the NBER, please contact:
Mr. Denis Healy, Director of Development
NBER
1050 Massachusetts Avenue
Cambridge, MA 02138-5398
ph: 617-868-3900
email: dhealy@nber.org
Close
