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Real Estate Capital Markets

Graduate · Historical course

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.
    Required
  • Clayton, Jim. “Commercial Real Estate Derivatives: They’re Here … Well, Almost.” PREA Quarterly (Winter 2007): 68-71.
    Listed reading
  • 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.
    Listed reading
  • Gentry, William, Charles Jones, and Christopher Myer. “Do Stock Prices Really Reflect Fundamental Values? The Case of REITs.” Working paper, October 2004.
    Listed reading
  • Esaki, Howard. “Commercial Mortgage Defaults: 1972-2000.” Real Estate Finance (Winter 2002): 43-52.
    Listed reading
  • 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.
    Listed reading
  • Linneman, Peter. “Forces Changing the Real Estate Industry Forever.” Wharton Real Estate Review (1997): 1-12.
    Listed reading
  • Clayton, Jim, and Greg MacKinnon. “Noise and Information in Stock Prices: Evidence From Real Estate Investment Trusts.” Working paper, June 2003.
    Listed reading
  • Clayton, Jim. “Tracking Value in the Private Real Estate Market: A Comparison of Green Street NAV and NCREIF Value Indices.” Working paper, December 2003.
    Listed reading
  • 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.
    Listed reading
  • Shugrue III, Edward. “Understanding Real Estate CDOs and How They Are Revolutionizing Real Estate Finance.” PREA Quarterly (Fall 2006): 56-62.
    Listed reading
  • Clayton, Jim, and Michael Giliberto. “Slicing, Dicing, and Pricing: The Cap Stack Model.” PREA Quarterly (Fall 2006): 38-44.
    Listed reading
  • Ciochetti, Brian, and James Shilling. “Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market.” Working paper, August 2004.
    Listed reading
  • Cho, Hoon, Brian Ciochetti, and James Shilling. “Nonlinearities in the Relation of Property Prices and Commercial Mortgage Defaults.” Working paper, November 2005.
    Listed reading
  • Ciochetti, Brian, and Kerry Vandell. “The Performance of Commercial Mortgages.” Real Estate Economics 27 (1999): 27-61.
    Listed reading
  • 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.
    Listed reading
Sources