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Conference Paper: A Term Structure of Commercial Lease Real Estate Returns
Title | A Term Structure of Commercial Lease Real Estate Returns |
---|---|
Authors | |
Keywords | leases commercial real estate term structure agency cost hypothesis |
Issue Date | 2005 |
Publisher | Pacific Rim Real Estate Society (PRRES) |
Citation | Pacific Rim Real Estate Society (PRRES) 11th Annual Conference, Melbourne, Australia, 23-27 January 2005 How to Cite? |
Abstract | Over the last decade, there has been considerable interest in the fundamental
economics and finance of commercial real estate leases, following theoretical
work on the economics of a term structure of lease rates and returns, the gametheoretical
context within which lease rates are determined, and the economic
nature of lease transactions as financial contracts. There has also been practical
interest in the characteristics of leases as financial contracts from the viewpoint of
asset-liability management. Unlike the term structure of interest rates, there is
little empirical evidence of lease return term structure phenomena, primarily
because extremely complex data requirements have conspired against the
construction of an actual term structure of lease returns at any time. This has
thus also limited the conduct of empirical tests of advances in commercial real
estate lease research with actual lease returns term structure data. This paper
reports on research towards abstracting an ex-post term structure of commercial
lease returns from analysis of a sample of some four hundred office lease
transactions over a five year timeframe. Following a detailed and time-intensive
analysis of lease contracts, transaction-based office capital and rental indices and
associated aggregate financial markets data, we construct an ex-post term
structure of lease rates in a series of cross-sectional analyses using regression
methodology. We find qualified support for a generally negative underlying term
structure of lease returns following an agency cost hypothesis. In all, this paper
demonstrates the unfortunate complexity and labour-intensity of research into
phenomena underlying the credit contract nature of leases, and highlights
problems with establishing a capital markets role for commercial real estate lease
contracts comparable to that of debt contracts. |
Persistent Identifier | http://hdl.handle.net/10722/116086 |
DC Field | Value | Language |
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dc.contributor.author | Pretorius, FIH | en_HK |
dc.contributor.author | Tse, M | en_HK |
dc.contributor.author | Chau, KW | en_HK |
dc.date.accessioned | 2010-09-26T06:14:55Z | - |
dc.date.available | 2010-09-26T06:14:55Z | - |
dc.date.issued | 2005 | en_HK |
dc.identifier.citation | Pacific Rim Real Estate Society (PRRES) 11th Annual Conference, Melbourne, Australia, 23-27 January 2005 | - |
dc.identifier.uri | http://hdl.handle.net/10722/116086 | - |
dc.description.abstract | Over the last decade, there has been considerable interest in the fundamental economics and finance of commercial real estate leases, following theoretical work on the economics of a term structure of lease rates and returns, the gametheoretical context within which lease rates are determined, and the economic nature of lease transactions as financial contracts. There has also been practical interest in the characteristics of leases as financial contracts from the viewpoint of asset-liability management. Unlike the term structure of interest rates, there is little empirical evidence of lease return term structure phenomena, primarily because extremely complex data requirements have conspired against the construction of an actual term structure of lease returns at any time. This has thus also limited the conduct of empirical tests of advances in commercial real estate lease research with actual lease returns term structure data. This paper reports on research towards abstracting an ex-post term structure of commercial lease returns from analysis of a sample of some four hundred office lease transactions over a five year timeframe. Following a detailed and time-intensive analysis of lease contracts, transaction-based office capital and rental indices and associated aggregate financial markets data, we construct an ex-post term structure of lease rates in a series of cross-sectional analyses using regression methodology. We find qualified support for a generally negative underlying term structure of lease returns following an agency cost hypothesis. In all, this paper demonstrates the unfortunate complexity and labour-intensity of research into phenomena underlying the credit contract nature of leases, and highlights problems with establishing a capital markets role for commercial real estate lease contracts comparable to that of debt contracts. | - |
dc.language | eng | en_HK |
dc.publisher | Pacific Rim Real Estate Society (PRRES) | - |
dc.relation.ispartof | Pacific Rim Real Estate Society (PRRES) Annual Conference, PRRES 05 | en_HK |
dc.subject | leases | - |
dc.subject | commercial real estate | - |
dc.subject | term structure | - |
dc.subject | agency cost hypothesis | - |
dc.title | A Term Structure of Commercial Lease Real Estate Returns | en_HK |
dc.type | Conference_Paper | en_HK |
dc.identifier.email | Pretorius, FIH: fredpre@hkucc.hku.hk | en_HK |
dc.identifier.email | Chau, KW: hrrbckw@hkucc.hku.hk | en_HK |
dc.identifier.authority | Pretorius, FIH=rp01018 | en_HK |
dc.identifier.authority | Chau, KW=rp00993 | en_HK |
dc.identifier.hkuros | 123529 | en_HK |
dc.identifier.hkuros | 110154 | - |