We investigate the importance of cash flows as opposed to discount rates to the pricing of assets that, unlike common stock, are thinly traded but have reliable cash flow information. We rely on the dynamic Gordon model, which we adapt to deal with the thin trading environment, by developing a...

Previous research finds that the cap rate, that is, the income-price ratio of commercial real estate, predicts future investment returns. This finding's implication on the efficiency of the real estate market crucially depends on whether the cap rate also predicts future risk. Using accurately...

How different is real estate from stocks and bonds? This paper sheds light on this question with new data and new methods. Analyzing 10,848 commercial properties from 1977 to 2017, we find that properties' risk premiums contain systematic components that are orthogonal to a comprehensive list of...

Housing is the largest component of most American households' wealth. Divergence of house prices directly affects wealth inequality. Using 5.9 million repeat sales of single-family houses, we find strong evidence that pricier houses had higher price appreciation rates from 2000 to 2015. Across...

We create market-based measures from options data to predict changes in REIT capital structure. REIT capital structure differs from that of typical listed firms: REITs have high leverage ratios of about 50 percent, their use of short-term debt is higher and more volatile, and debt issuance and...

Analyzing a hand-collected loan level database of heterogeneous REIT borrowings and controlling for REIT risk and loan collateral as well as endogeneity of access to public debt markets, we find that mortgage loans include a rate premium to compensate banks for monitoring. Access to public debt...

What makes an asset institutional-quality? This paper proposes that one reason is the existing concentration of delegated investors in a market through a liquidity channel. Consistent with this intuition, it documents differences in investor composition across US cities and shows that delegated...

We survey the properties of commercial real estate (CRE) as an asset class. We first illustrate its importance relative to the US economy and to other asset classes. We then discuss CRE ownership patterns over time. While the academic literature has emphasized Real Estate Investment Trusts...

This paper is the first to examine the relationship between the performance of public real estate companies (PRECs) and the industrial sector of their tenants. By investigating the performance of a large sample of European real estate firms from 2010 to 2019 and information pertaining to the...

We propose a technique to infer cash flow yields for investment assets whose trades are infrequent, but for which cash flow data is available. We construct a Self-Propagating Rolling-Window Panel VAR framework, adapted from a Dynamic Gordon Growth Model setup. We use this framework to estimate...