Commercial Mortgage Delinquency, Foreclosure and Reinstatement

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Merton, Robert C., An Intertemporal Capital Asset Pricing Model, Econometrica, 1973 41(5),pages 867-887.Myer, F.C. Neil; Webb, James R., Statistical Properties of Returns: Financial Assets VersusCommercial Real Estate, Journal of Real Estate Finance and Economics, 1994, 8, pages267-282.Peterson, James D.; Hsieh, Cheng-Ho, Do Common Risk Factors in the Returns on Stocks andBonds Explain Returns on REITs? Real Estate Economics, 1997, 25(2), pages 321-345.Ross, Stephen A., The arbitrage theory of capital asset pricing, Journal of Economic Theory,1976, 13, pages 341-360.Ross, Stephen A.; Zisler, Randall C., Risk and Return in Real Estate, Journal of Real EstateFinance and Economics, 1991, 4, pages 175-190.Snyderman, Mark P., A Commercial Mortgage Performance Index, Journal of PortfolioManagement; 16(3), Spring 1990, pages 70-73.Snyderman, Mark P., Commercial mortgages: Default occurrence and estimated yield impact,Journal of Portfolio Management, Fall 1991, pages 82-8718
Appendix 1 – Unsmoothing Real Estate ReturnsProblems with the measurement of real estate returns arise because of the nature ofproperty appraisals. There is a behavioral aspect to the valuation that reduces variation, a processknown as appraisal smoothing.For this reason, real estate researchers have developed methods to recover unsmoothedreturns. The most common method is to model the effects of prior observations on currentreturns asr*t=N∑i=1θ r*i t− i+etwhere r * t is the smooth return for time t, and r * t-i are lagged smooth returns. Further, if the errorterm is modeled as e t = r t w, where r t is the unsmoothed return and w is a smoothing factor, thenrtN1 ⎡ *= ⎢rt−∑θirtw ⎣ i=1*−i⎤⎥⎦What remains is to determine w and the lag structure. In this paper, two unsmoothingmethods are applied. In the first, called the variance method, w is set so that the standarddeviation of the unsmoothed series is equal to one half of the standard deviation of stocks. In thesecond, called the mean method, w is set so that the mean of the unsmoothed series is equal to themean of the smoothed series. Both methods are described in Fisher, Geltner and Webb (1994).In both the variance method and the mean method, the lag structure is an AR(1,4) with noconstant.rt1w* * *[ r −θr −θr ]=t 1 t −14 t −4The lag model is estimated only on the observed capital return, and the resultingunsmoothed capital return is added to the observed income return to generate the totalunsmoothed return.19
Page 1 and 2: Commercial Mortgage Delinquency, Fo
Page 3 and 4: Perhaps the most compelling reason
Page 5 and 6: contemporaneous loan-to-value ratio
Page 7 and 8: national lenders, of which the data
Page 9 and 10: Whenever a property appraisal is pe
Page 11 and 12: loans and the highest value for for
Page 13 and 14: atio, debt coverage ratio and guara
Page 15 and 16: ReferencesAmbrose, Brent W., Buttim
Page 17 and 18: Titman, Sheridan D.; Torous, Walter
Page 19 and 20: Table 3Independent Variable: Ever D
Page 21 and 22: Table 4b - Loan OutcomeNever Delinq
Page 23 and 24: 1 IntroductionCommercial mortgages
Page 25 and 26: Based on the results from the first
Page 27 and 28: An early paper about the empirical
Page 29 and 30: 4 DataIn order to test the multiple
Page 31 and 32: To derive the excess returns, the r
Page 33 and 34: examining bond returns. Second, sin
Page 35 and 36: significant for 3 series. The growt
Page 37 and 38: ReferencesBlack, Fischer; Jenson, M
Page 39: Ibbotson, R. G.; Siegel, L. B.; Rea
Page 43 and 44: Figure 1Commercial Mortgage Returns
Page 45 and 46: Table 1 - List of FactorsVariable D
Page 47 and 48: Table 3 - CorrelationsReturn Series
Page 49 and 50: Table 5 - Test for Equality of Coef
Page 51 and 52: Table 6b - Estimation results for S
Page 53 and 54: Table 7 - Estimation results for Bo

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