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The Journal of Portfolio Management

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Article

An Empirical Evaluation of Normative Commercial Real Estate Swap Pricing

Christian Rehring and Bertram I. Steininger
The Journal of Portfolio Management Special Real Estate Issue 2011, 37 (5) 154-169; DOI: https://doi.org/10.3905/jpm.2011.37.5.154
Christian Rehring
is a senior associate at Deutsche Pfandbriefbank in Munich, Germany.
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  • For correspondence: christian.rehring@gmail.com
Bertram I. Steininger
is a research assistant in the IRE|BS International Real Estate Business School at the University of Regensburg in Regensburg, Germany.
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  • For correspondence: bertram.steininger@irebs.de
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Abstract

Despite the fact that commercial real estate is composed of a large proportion of investable assets, a functioning derivatives market for private real estate has only existed since early 2005 when swap contracts began to be traded in the U.K. in significant amounts. Among other concerns about commercial real estate derivatives, the pricing issue is a major obstacle for the development of the market due to the specific characteristics of appraisal-based indices used as the underlying of these derivatives. In this article, Rehring and Steininger empirically evaluate a model of normative commercial real estate swap pricing, based on private real estate market indices, by estimating future appraisal-based index returns and accounting for time-varying equilibrium risk premia. The authors analyze the differences between the U.S. and the U.K. They interpret the development of actual commercial real estate swap prices in recent years in light of calculated “fair” swap prices. Qualitatively, the estimated swap prices track actual market developments quite well, indicating that the modeled swap prices enhance our understanding of the pricing of commercial real estate swaps.

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The Journal of Portfolio Management: 37 (5)
The Journal of Portfolio Management
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Special Real Estate Issue 2011
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An Empirical Evaluation of Normative Commercial Real Estate Swap Pricing
Christian Rehring, Bertram I. Steininger
The Journal of Portfolio Management Sep 2011, 37 (5) 154-169; DOI: 10.3905/jpm.2011.37.5.154

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An Empirical Evaluation of Normative Commercial Real Estate Swap Pricing
Christian Rehring, Bertram I. Steininger
The Journal of Portfolio Management Sep 2011, 37 (5) 154-169; DOI: 10.3905/jpm.2011.37.5.154
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  • Article
    • Abstract
    • OBTAINING FAIR COMMERCIAL REAL ESTATE SWAP PRICES
    • INDEX RETURN FORECASTS
    • EQUILIBRIUM RISK PREMIUM OF APPRAISAL-BASED RETURNS
    • FAIR SWAP PRICES
    • COMPARING ACTUAL MARKET PRICES WITH FAIR SWAP PRICES
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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