This study analyzes how three groups of market participants - insiders, analysts, and investors - revised their expected returns on New York Real Estate Investment Trusts (REITs) in response to the catastrophic events of September 11, 2001. The attack on the WTC represents a unique experimental...

This study analyzes the impact of contemporaneous loan stress on the termination of loans in the commercial mortgage-backed securities pool using a novel measure, based on changes in net operating incomes and property values at the MSA-property type-year level. Employing a semi-parametric...

Any attempt to measure the impact of the 9/11 attacks is faced with the difficulty of separating the effects of the attacks from the impact of a wider economic recession and other simultaneous events. This study attempts to isolate the effect on New York office rental and vacancy rates by...

The allocation to real estate by institutional investors has increased in recent years and as a result the gap between suggested and actual allocations has narrowed. The increased inflow of capital to the real estate market is suggested to be a function of two factors: An increased focus on...

Option theory predicts that mortgage default or prepayment will be exercised if the call or put option is quot;in the money.quot; We extend our analysis to commercial mortgages using data from commercial mortgage-backed securities. The paper presents a model of the competing risks of mortgage...

We examine the pattern of price depreciation in Japanese land values subsequent to the 1990 stock market crash. While all land values fell heavily, the data indicate that Japanese commercial land values fell much more quickly than residential land values. Using an error-correction specification,...

In order to explore the predictability of the Manhattan office market with an econometric model, a three-stage system of simultaneous equations is utilized in this paper. The first stage incorporates the office space market in terms of occupied space and absorption of new space. The second stage...

This study examines the reaction of the financial markets to the terrorist attack on the World Trade Center and how their behavior compared to the subsequent resolution in the corresponding real asset markets. This event provides an ideal setting to evaluate the accuracy of the market's reaction...

This study investigates the determinants of key input variables in valuers' DCF models used for estimating market values for offices. Data from 599 valuations in 2000 from Stockholm, Gothenburg and Malmo are used to explain variation in discount rates, expected growth rates in net operating...

Seminal work by Grenadier (1995) derived a set of hypotheses about the pricing of different lease lengths in different market conditions. Whilst there is a compelling theoretical case for and a strong intuitive expectation of differential pricing of different lease maturities, to date the...