This study analyzes how lease expirations affect the performance of commercial real estate (CRE) properties and how these patterns changed during the COVID-19 crisis. Even before the pandemic, lease expirations were associated with a notable increase in the downside risk to a property's...

We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, reducing their diversification...

The last decade's boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures. Nevertheless, the role of CRE in the Great Recession has received little attention. This study estimates cohesive models...

This study documents the publicly traded equity Real Estate Investment Trust (REIT) universe during the modern REIT era (early 1990s through the present). We show the growth and consolidation of the industry, changes in property type focus, increases in institutional ownership, and the growth of...

In this study, we provide new evidence on the performance measurement and reporting of commercial real estate returns. We do so by examining the accuracy of commercial real-estate appraisals that occurred prior to the sale of properties from the NCREIF National Property Index (“NPI”) during...

The last decade's boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and contributed significantly to bank failures. Nevertheless, the role of CRE in the Great Recession has received little attention. This study estimates cohesive models...

This paper examines the effects of geographic portfolio concentration on the return performance of U.S. public REITs versus private commercial real estate over the 1996-2013 time period. We document significant cross-sectional and temporal differences in the geographic concentration of property...

This paper documents that development exposure is an important determinant of private real estate returns and market risk exposure. It also documents that open-end private real estate funds have time-varying, procyclical market risk exposure through their development activities. As such, these...

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...

There are two main creditors in commercial real estate: arm's-length investors and banks. We model commercial mortgage-backed securities (CMBS) as the less informed source of credit. In equilibrium, these investors fund properties with a low probability of distress and banks fund properties that...