Rental Expectations and the Term Structure of Lease Rates
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Miller, Merton H & Upton, Charles W, 1976. "Leasing, Buying, and the Cost of Capital Services," Journal of Finance, American Finance Association, vol. 31(3), pages 761-786, June.
- Lo, Andrew W & Wang, Jiang, 1995.
"Implementing Option Pricing Models When Asset Returns Are Predictable,"
Journal of Finance, American Finance Association, vol. 50(1), pages 87-129, March.
- Lo, Andrew W. (Andrew Wen-Chuan) & Wang, Jiang, 1959-, 1993. "Implementing option pricing models when asset returns are predictable," Working papers 3593-93., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-799, September.
- Miceli, Thomas J. & Sirmans, C. F., 1999. "Tenant Turnover, Rental Contracts, and Self-Selection," Journal of Housing Economics, Elsevier, vol. 8(4), pages 301-311, December.
- Peter Englund & Åke Gunnelin & Martin Hoesli & Bo Söderberg, 2004.
"Implicit Forward Rents as Predictors of Future Rents,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(2), pages 183-215, June.
- Peter ENGLUND & Åke GUNNELIN & Martin HOESLI & Bo SÖDERBERG, 2002. "Implicit Forward Rents as Predictors of Future Rents," FAME Research Paper Series rp59, International Center for Financial Asset Management and Engineering.
- Englund, Peter & Gunnelin, Åke & Hoesli, Martin & Söderberg, Bo, 2002. "Implicit Forward Rents as Predictors of Future Rents," SIFR Research Report Series 12, Institute for Financial Research.
- Duffie, Darrell & Singleton, Kenneth J, 1997. "An Econometric Model of the Term Structure of Interest-Rate Swap Yields," Journal of Finance, American Finance Association, vol. 52(4), pages 1287-1321, September.
- Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
- Grenadier, Steven R., 1996. "Leasing and credit risk," Journal of Financial Economics, Elsevier, vol. 42(3), pages 333-364, November.
- Grenadier, Steven R., 1995. "Valuing lease contracts A real-options approach," Journal of Financial Economics, Elsevier, vol. 38(3), pages 297-331, July.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Gunnelin, Åke & Söderberg, Bo, 2002. "Term Structures in the Office Rental Market in Stockholm," SIFR Research Report Series 6, Institute for Financial Research.
- McConnell, John J. & Schallheim, James S., 1983. "Valuation of asset leasing contracts," Journal of Financial Economics, Elsevier, vol. 12(2), pages 237-261, August.
- Steven R. Grenadier, 2003. "An Equilibrium Analysis of Real Estate," NBER Working Papers 9475, National Bureau of Economic Research, Inc.
- Patric H. Hendershott & Colin M. Lizieri & George A. Matysiak, 1999. "The Workings of the London Office Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(2), pages 365-387, June.
- Schallheim, James S & McConnell, John J, 1985. "A Model for the Determination of "Fair" Premiums on Lease Cancellation Insurance Policies," Journal of Finance, American Finance Association, vol. 40(5), pages 1439-1457, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Miki Seko & Kazuto Sumita & Jiro Yoshida, 2012.
"Downward-Sloping Term Structure of Lease Rates: A Puzzle,"
Keio/Kyoto Joint Global COE Discussion Paper Series
2011-042, Keio/Kyoto Joint Global COE Program.
- Seko, Miki & Sumita, Kazuto & Yoshida, Jiro, 2012. "Downward-sloping term structure of lease rates: a puzzle," MPRA Paper 37395, University Library of Munich, Germany.
- Clark, David & Pennington-Cross, Anthony, 2016. "Determinants of industrial property rents in the Chicago metropolitan area," Regional Science and Urban Economics, Elsevier, vol. 56(C), pages 34-45.
- Maria Trojanek & Marcin Anholcer & Audrius Banaitis & Radoslaw Trojanek, 2018. "A Generalised Model of Ground Lease Pricing," Sustainability, MDPI, vol. 10(9), pages 1-21, September.
- Jonathan A. Wiley, 2014. "Gross Lease Premiums," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 606-626, September.
- Brent Ambrose & Yildiray Yildirim, 2008. "Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 281-298, October.
- Golbeck, Steven & Linetsky, Vadim, 2013. "Asset financing with credit risk," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 43-59.
- Shaun Bond & Pavlos Loizou & Patrick McAllister, 2008. "Lease Maturity and Initial Rent: Is There a Term Structure for UK Commercial Property Leases?," The Journal of Real Estate Finance and Economics, Springer, vol. 36(4), pages 451-469, May.
- Rajesh, R. & Agariya, Arun Kumar & Rajendran, Chandrasekharan, 2021. "Predicting resilience in retailing using grey theory and moving probability based Markov models," Journal of Retailing and Consumer Services, Elsevier, vol. 62(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Brent Ambrose & Yildiray Yildirim, 2008. "Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 281-298, October.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Ambrose, Brent W & Hendershott, Patric H & Klosek, Malgorzata, 2002.
"Pricing Upward-Only Adjusting Leases,"
The Journal of Real Estate Finance and Economics, Springer, vol. 25(1), pages 33-49, July.
- Brent W. Ambrose & Patric H. Hendershott & Malgorzata M. Klosek, 2000. "Pricing Upward-Only Adjusting Leases," NBER Working Papers 7622, National Bureau of Economic Research, Inc.
- Grenadier, Steven R., 1996. "Leasing and credit risk," Journal of Financial Economics, Elsevier, vol. 42(3), pages 333-364, November.
- Richard Stanton & Nancy Wallace, 2009. "An Empirical Test of a Contingent Claims Lease Valuation Model," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 1-26.
- Gamba, Andrea & Rigon, Riccardo, 2008. "The value of embedded real options: Evidence from consumer automobile lease contracts--A note," Finance Research Letters, Elsevier, vol. 5(4), pages 213-220, December.
- Grenadier, Steven R., 1995. "Valuing lease contracts A real-options approach," Journal of Financial Economics, Elsevier, vol. 38(3), pages 297-331, July.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Dijkstra, Theo K. & Yao, Yong, 2002. "Moment generating function approach to pricing interest rate and foreign exchange rate claims," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 163-178, October.
- Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
- Peter Smith & Michael Wickens, 2002.
"Asset Pricing with Observable Stochastic Discount Factors,"
Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 397-446, July.
- Peter N Smith & Michael R Wickens, "undated". "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
- Freeman, Mark C., 2009. "The practice of estimating the term structure of discount rates," Global Finance Journal, Elsevier, vol. 19(3), pages 219-234.
- Steven R. Grenadier, 2003. "An Equilibrium Analysis of Real Estate," NBER Working Papers 9475, National Bureau of Economic Research, Inc.
- Andrikopoulos, Athanasios & Markellos, Raphael N., 2015.
"Dynamic interaction between markets for leasing and selling automobiles,"
Journal of Banking & Finance, Elsevier, vol. 50(C), pages 260-270.
- Andrikopoulos, Athanasios & Markellos, Raphael. N, 2012. "Dynamic interaction between markets for leasing and selling automobiles," MPRA Paper 45225, University Library of Munich, Germany.
- Igal Hendel & Alessandro Lizzeri, 2002.
"The Role of Leasing under Adverse Selection,"
Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 113-143, February.
- Igal Hendel & Alessandro Lizzeri, 1998. "The Role of Leasing under Adverse Selection," NBER Working Papers 6577, National Bureau of Economic Research, Inc.
- I. Hendel & A. Lizzeri, 1999. "The Role of Leasing under Adverse Selection," Princeton Economic Theory Papers 99f7, Economics Department, Princeton University.
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
- Golbeck, Steven & Linetsky, Vadim, 2013. "Asset financing with credit risk," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 43-59.
- Jonathan A. Wiley, 2014. "Gross Lease Premiums," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 606-626, September.
- Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
- Alain Capiez, 2000. "Evaluation du crédit-bail et risque de crédit," Post-Print halshs-00587435, HAL.
More about this item
Keywords
Term structure of lease rates; Rental expectations; Expectations hypothesis; Lease valuation;All these keywords.
JEL classification:
- G00 - Financial Economics - - General - - - General
- R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-10-20 (Corporate Finance)
- NEP-GEO-2003-10-20 (Economic Geography)
- NEP-URE-2003-10-20 (Urban and Real Estate Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:sifrwp:0016. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Anki Helmer (email available below). General contact details of provider: https://edirc.repec.org/data/sifrrse.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.