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Real Estate Capital Markets >> Content Detail



Study Materials



Readings

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Required Text


Amazon logo 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.


LEC #TOPICSRECITATIONS
1Course introduction, portfolio theoryGM 21.1-21.2.5, pp. 524-538
2Portfolio theory and CAPMGM 21.2.6-22.1.4, pp. 539-568
3CAPM (cont.)GM 22.1.5-22.4, pp. 569-582
4REITs introductionGM 23.5, 23.1, pp. 620-621 and 585-592
5REIT CF-based valuation (as stocks)GM 23.2-23.2.3, pp. 592-604
6REIT NAV-based valuation and asset valuationGM 23.4, 23.2.4-23.2.5, 12.3, pp. 617-620, 604-610, and 276-285
7Lincoln case due
8REITs management considerations, wrap-upGM 23.2.6-23.3, pp. 610-617
9CMBS introduction, CMBS structure (start)GM 20.1, start 20.2, pp. 489-495
10CMBS structure and ratingGM 20.2-20.3.2, pp. 494-508
11CMBS rating and other topicsGM 20.3.3-20.5, pp. 508-515
12Real estate equity derivatives: Index swapsGM 26.3, pp. 707-714
13Course wrap-up, CMBS case due



Further Readings


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.


 








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