Commercial Mortgage Delinquency, Foreclosure and Reinstatement

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Figure 2 - Smoothed and Unsmoothed Appraised Real Estate Return Series17.00%15.00%13.00%11.00%9.00%7.00%5.00%3.00%1.00%-1.00%-3.00%-5.00%-7.00%-9.00%-11.00%Raw Appraised Real EstateUnsmoothed Real Estate (Var Method)17.00%15.00%13.00%11.00%9.00%7.00%5.00%3.00%1.00%-1.00%-3.00%-5.00%-7.00%-9.00%-11.00%17.00%15.00%13.00%11.00%9.00%7.00%5.00%3.00%1.00%-1.00%-3.00%-5.00%-7.00%-9.00%-11.00%Unsmoothed Real Estate (Mean Method)
Table 1 - List of FactorsVariable Description SourceStock marketreturnTerm spreadDefault spreadUnexpectedinflationConsumptionReal T-billTotal return on the S&P 500 composite index (dividends reinvested),converted to the quarterly returnThe difference between the long-term government bond return and the onemonthtreasury bill rate from the previous monthThe difference between the long-term corporate bond return and the longtermgovernment bond returnThe residuals from an inflation model with 3 lags, quarter dummies andARCH(2), where inflation is the percentage change in the Consumer PriceIndex 2Growth in personal consumption expenditures (consumer spending andretail) (constant 1985 dollars)The difference between the one-month treasury bill return and inflation,where inflation is the percentage change in the Consumer Price IndexIbbotson & Associates SBBI Yearbook 2001Calculated using data from Ibbotson & Associates SBBIYearbook 2001Calculated using data from Ibbotson & Associates SBBIYearbook 2001Constructed based on inflation data from Ibbotson &Associates SBBI Yearbook 2001Bureau of Economic AnalysisConstructed based on inflation data and treasury billreturns from Ibbotson & Associates SBBI Yearbook 2001Firm size factorBook equity tomarket equityThe difference in the excess returns between small-stock portfolios and bigstockportfoliosThe difference in the excess returns between high book equity to marketequity portfolios and low book equity to market equity portfoliosKenneth French's data library:http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data library.htmlKenneth French's data library:http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data library.html1 Since the commercial mortgage return series was only available quarterly, all data series were converted from monthly to quarterly. Theexception is the factor growth in consumption which was obtained as a quarterly series.2 The model for inflation isI t = -0.003*** + 0.476*** I t-1 + 0.089 I t-2 + 0.207*** I t-3 + 0.009*** Q1 + 0.004*** Q2 + 0.005*** Q3 + e tvar(e t ) = 5.00 x 10 6 ** + 1.075*** e 2 t-1 - 0.080** e 2 t-2where I t is inflation in quarter t, Q1 to Q3 are quarter dummies and ***,**,* represent significance at the 1%, 5%, 10% level.
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 and 40: Ibbotson, R. G.; Siegel, L. B.; Rea
Page 41 and 42: Appendix 1 - Unsmoothing Real Estat
Page 43: Figure 1Commercial Mortgage Returns
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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