Implicit Forward Rents as Predictors of Future Rents
AbstractThis paper investigates the relation between the term structure of rents and future spot rents. A rich database of office rental agreements for various maturities is used to estimate the term structure of rents, and from this structure implicit forward rents are extracted. The data pertain to commercial properties in the three largest Swedish cities for the period 1998-2002. A positive relation between forward and spot rents is found in some regions, but forward rents underestimate future rent levels. Another contribution of the paper lies in the area of rental index construction. We provide evidence that rental indices should not only be quality-constant (i.e. indices should not only control for the characteristics of rental units), but should also be maturity-constant.
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Bibliographic InfoPaper provided by Institute for Financial Research in its series SIFR Research Report Series with number 12.
Length: 35 pages
Date of creation: 15 Nov 2002
Date of revision:
Publication status: Published in Real Estate Economics, 2004, pages 183-215.
Contact details of provider:
Postal: Institute for Financial Research Drottninggatan 89, SE-113 60 Stockholm, Sweden
Web page: http://www.sifr.org/
More information through EDIRC
Commercial rents; Term structure;
Other versions of this item:
- Peter Englund & �ke Gunnelin & Martin Hoesli & Bo Söderberg, 2004. "Implicit Forward Rents as Predictors of Future Rents," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(2), pages 183-215, 06.
- Peter ENGLUND & Åke GUNNELIN & Martin HOESLI & Bo SÖDERBERG, 2002. "Implicit Forward Rents as Predictors of Future Rents," FAME Research Paper Series rp59, International Center for Financial Asset Management and Engineering.
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-17 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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