Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Pricing and Index Considerations in Commercial Real Estate Derivatives

David Geltner and Jeffrey D Fisher
The Journal of Portfolio Management Special Real Estate Issue 2007, 33 (5) 99-118; DOI: https://doi.org/10.3905/jpm.2007.698910
David Geltner
The George Macomber Professor of Real Estate Finance in the Massachusetts Institute of Technology (MIT) Department of Urban Studies and Planning, and Director of the MIT Center for Real Estate.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: dgeltner@mit.edu
Jeffrey D Fisher
The Charles and Barbara Dunn Professor of Real Estate in the Kelley School of Business at Indiana University, and Director of the Center for Real Estate Studies.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: fisher@indiana.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

It is important for participants in the nascent commercial real estate derivatives market to understand the fundamentals and the subtleties of the appraisal and transaction based indexes that underpin derivatives, as well as the proper pricing of derivatives taking into account the risk and return characteristics of the index. The authors review these considerations including the implications that appraisal lag in the index has for the equilibrium pricing of derivatives such as index swaps, and the use of such vehicles for hedging real estate risk. An important conclusion is that even if the underlying index does not represent the current equilibrium in the property market or if the property market itself is not in equilibrium, we can still use equilibrium analysis in the derivatives market to derive a fair price for an appraisal index based derivative including consideration of the effect of any lagging and smoothing in the index. The analysis highlights informational issues about indexes and property markets that present both danger and opportunity for the facilitation of a well-functioning property derivatives market in the United States and shows how usage of derivatives needs to consider the effect of possible lag in the index.

  • © 2007 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management
Vol. 33, Issue 5
Special Real Estate Issue 2007
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Pricing and Index Considerations in Commercial Real Estate Derivatives
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Pricing and Index Considerations in Commercial Real Estate Derivatives
David Geltner, Jeffrey D Fisher
The Journal of Portfolio Management Sep 2007, 33 (5) 99-118; DOI: 10.3905/jpm.2007.698910

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Pricing and Index Considerations in Commercial Real Estate Derivatives
David Geltner, Jeffrey D Fisher
The Journal of Portfolio Management Sep 2007, 33 (5) 99-118; DOI: 10.3905/jpm.2007.698910
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Evolution of Real Estate Derivatives and Their Pricing
  • The Information Content of Real Estate Derivative Prices
  • An Empirical Evaluation of Normative Commercial Real Estate Swap Pricing
  • Google Scholar

More in this TOC Section

  • How Unlucky Is 25-Sigma?
  • On the Fundamental Law of Active Portfolio Management
  • Do Risk Factors Eat Alphas?
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies