15.427
Real Estate Capital Markets
Spring 2007
Topics
- Course introduction, portfolio theory
- Portfolio theory and CAPM
- CAPM (cont.)
- REITs introduction
- REIT CF-based valuation (as stocks)
- REIT NAV-based valuation and asset valuation
- Lincoln case due
- REITs management considerations, wrap-up
- CMBS introduction, CMBS structure (start)
- CMBS structure and rating
- CMBS rating and other topics
- Real estate equity derivatives: Index swaps
- Course wrap-up, CMBS case due
Readings
- Geltner, David M., Norman G. Miller, Jim Clayton, and Piet Eichholtz. Commercial Real Estate Analysis and Investments . Cincinnati, OH: South-Western Educational Publishing, 2007. ISBN: 9780324305487.
- Clayton, Jim. “Commercial Real Estate Derivatives: They’re Here … Well, Almost.” PREA Quarterly (Winter 2007): 68-71.
- Barkham, Richard, David Geltner, and Brian Kluger. “Using Pure-Play Portfolios for Real Estate Investment and Cost of Capital Estimation: A British Example.” Real Estate Finance (Fall 1998): 25-36.
- Gentry, William, Charles Jones, and Christopher Myer. “Do Stock Prices Really Reflect Fundamental Values? The Case of REITs.” Working paper, October 2004.
- Esaki, Howard. “Commercial Mortgage Defaults: 1972-2000.” Real Estate Finance (Winter 2002): 43-52.
- Geltner, David. “Why Can’t a Practitioner Be More Like an Academic? An Academic’s Perspective on Real Estate Investment Risk.” PREA Quarterly (Fall 2005): 30-34.
- Linneman, Peter. “Forces Changing the Real Estate Industry Forever.” Wharton Real Estate Review (1997): 1-12.
- Clayton, Jim, and Greg MacKinnon. “Noise and Information in Stock Prices: Evidence From Real Estate Investment Trusts.” Working paper, June 2003.
- Clayton, Jim. “Tracking Value in the Private Real Estate Market: A Comparison of Green Street NAV and NCREIF Value Indices.” Working paper, December 2003.
- Pai, Arvind. “Stocks Are From Mars, Real Estate Is From Venus: An Inquiry into the Determinants of Long-Run Investment Performance.” Master’s thesis, Massachusetts Institute of Technology, 2006.
- Shugrue III, Edward. “Understanding Real Estate CDOs and How They Are Revolutionizing Real Estate Finance.” PREA Quarterly (Fall 2006): 56-62.
- Clayton, Jim, and Michael Giliberto. “Slicing, Dicing, and Pricing: The Cap Stack Model.” PREA Quarterly (Fall 2006): 38-44.
- Ciochetti, Brian, and James Shilling. “Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market.” Working paper, August 2004.
- Cho, Hoon, Brian Ciochetti, and James Shilling. “Nonlinearities in the Relation of Property Prices and Commercial Mortgage Defaults.” Working paper, November 2005.
- Ciochetti, Brian, and Kerry Vandell. “The Performance of Commercial Mortgages.” Real Estate Economics 27 (1999): 27-61.
- Ciochetti, Brian, Yongheng Deng, Bin Gao, and Rui Yao. “The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks.” Real Estate Economics 30 (2002): 595-633.
Sources
- Course catalogue ↗Historical OpenCourseWare
- MIT OCW calendar ↗
- MIT OCW syllabus ↗
- MIT OCW readings ↗
- Historical MIT OpenCourseWare offering. Named reading entries and schedule topics are automatically extracted from the linked source pages.