Implicit Forward Rents as Predictors of Future Rents
This 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.
|Date of creation:||15 Nov 2002|
|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
References listed on IDEAS
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.:
- Fama, Eugene F., 1976. "Forward rates as predictors of future spot rates," Journal of Financial Economics, Elsevier, vol. 3(4), pages 361-377, October.
When requesting a correction, please mention this item's handle: RePEc:hhs:sifrwp:0012. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anki Helmer)
If references are entirely missing, you can add them using this form.