Date of Award
4-2019
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. Lucjan Orlowski
Committee Member
Dr. John Glascock
Committee Member
Dr. Michael Gorman
Abstract
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 daily private real estate returns. Bai-Perron and Markov Switching regressions are used to compare periods of shifting influences on private real estate volatility in the aftermath of the Global Financial Crisis.
JEL Classification
R30, R33, G11
Recommended Citation
Gherlone, T. B. (2019). The influence of publicly-traded REITs and market-based inflation expectations on daily-priced private commercial real estate returns Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Included in
Business Administration, Management, and Operations Commons, Finance Commons, Portfolio and Security Analysis Commons, Real Estate Commons
Comments
In partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance, Sacred Heart University, Jack Welch College of Business & Technology.