Date of Award
Doctor of Business Administration (DBA)
Jack Welch College of Business
Dr. Lucjan Orlowski
Dr. John Glascock
Dr. Michael Gorman
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.
R30, R33, G11
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.
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