REITs discount to NAV is a puzzling regularity. The sharp increase in volatility of REITs prices over the past few years has spurred a relatively new concern amongst academics, managers and investors about the consequences of, and causes of, property risk premium on discount to NAV. The two...

We apply a set of structural models (Merton (1974), Black and Cox (1976), Longstaff and Schwartz (1995), Leland and Toft (1996), Ericsson and Reneby (1998) and Collin-Dufresne and Goldstein (2001)) to estimate expected default probabilities (EDPs) for a sample of failed and non-failed UK real...

We apply a set of structural models (Merton (1974), Black and Cox (1976), Longstaff and Schwartz (1995), Leland and Toft (1996), Ericsson and Reneby (1998) and Collin-Defresne and Goldstein (2001)) to estimate expected default probabilities (EDPs) for a sample of failed and non-failed UK real...

Based on the Black and Scholes (1973) and Merton (1974) (BSM) contingent claims model, and KMV Corporation framework, we estimate the distance to default and the risk neutral default probabilities for a sample of 112 real estate companies over the period 1980 to 2001. Our empirical results...

The primary aim of this research is to estimate implied volatility based on a stochastic contingent claim valuation model proposed by Dixit and Pindyck (1994). Over the sample period 1984 to 1997, which includes over 20,000 commercial property transactions in the UK, we find that the average...

The primary aim of this research is to compute implied volatility based on a stochastic contingent claim valuation model proposed by Dixit and Pindyck (1994). Over the sample period of 1984 to 1997, and with approximately 20,000 commercial property transactions in the UK, we find that implied...