Share (percentage rent) lease contracts have not been explained in the case of stand-alone property. To do so we develop a model of a local trade area with an incumbent retail tenant that makes non-contractable specific investment at the time of initial contracting and a monopolist landlord that...

Neoclassical investment decision criteria suggest that only the systematic component of total risk affects the rate of investment, as channeled through the built-asset price. Alternatively, option-based investment models suggest a direct role for total uncertainty in investment decisionmaking....

We examine financing, investment and investment performance in the equity REIT sector over the 1981-1999 time period. Analysis reveals significant differences between the old-REIT (1981-1992) and new-REIT (1993-1999) eras. The sector experienced rapid growth in the new-REIT era, primarily from...

A theory for valuing claims on noisy real assets is developed and applied. Central to the theory is determination of the dynamics for the best estimate of real asset value. The dynamics of the value estimate are shown to differ from the dynamics of the true asset value only in the arrival rate...

We study the optimal valuation of real assets when true asset values are unobservable. In our model, the observed value cointegrates with the unobserved true asset value to cause serial correlation in the time series of observed values. Autocorrelation as well as total variance in the observed...

This paper develops a pricing model for commercial real estate mortgage debt that recognizes the influence of default transaction costs on the borrower's default decision. These costs are heterogeneous across borrowers and largely un-observable to the lender/investor at the time of origination...

Structured asset securitization is capable of generating a number of economic benefits, including liquidity provision, an increased ability to manage risk, and value enhancement through the pooling and partitioning of cash flows. But the recent financial crisis has exposed numerous structural...

An analysis of the choice between conduit loans and traditional whole loans in commercial mortgages. The author compares conduit and whole loan programs, and discusses their differences and the effects of information technology on the mortgage choice problem. Conduit lending produces a more...