11.432J | Spring 2007 | Graduate

Real Estate Capital Markets


Required Text

Geltner, David M., Norman G. Miller, Jim Clayton, and Piet Eichholtz. Commercial Real Estate Analysis and Investments. Cincinnati, OH: South-Western Educational Publishing, 2007. ISBN: 9780324305487.

1 Course introduction, portfolio theory GM 21.1-21.2.5, pp. 524-538
2 Portfolio theory and CAPM GM 21.2.6-22.1.4, pp. 539-568
3 CAPM (cont.) GM 22.1.5-22.4, pp. 569-582
4 REITs introduction GM 23.5, 23.1, pp. 620-621 and 585-592
5 REIT CF-based valuation (as stocks) GM 23.2-23.2.3, pp. 592-604
6 REIT NAV-based valuation and asset valuation GM 23.4, 23.2.4-23.2.5, 12.3, pp. 617-620, 604-610, and 276-285
7 Lincoln case due  
8 REITs management considerations, wrap-up GM 23.2.6-23.3, pp. 610-617
9 CMBS introduction, CMBS structure (start) GM 20.1, start 20.2, pp. 489-495
10 CMBS structure and rating GM 20.2-20.3.2, pp. 494-508
11 CMBS rating and other topics GM 20.3.3-20.5, pp. 508-515
12 Real estate equity derivatives: Index swaps GM 26.3, pp. 707-714
13 Course wrap-up, CMBS case due  

Further Readings

Clayton, Jim. “Commercial Real Estate Derivatives: They’re Here … Well, Almost.” PREA Quarterly (Winter 2007): 68-71.

Barkham, Richard, David Geltner, and Brian Kluger. “Using Pure-Play Portfolios for Real Estate Investment and Cost of Capital Estimation: A British Example.” Real Estate Finance (Fall 1998): 25-36.

Gentry, William, Charles Jones, and Christopher Myer. “Do Stock Prices Really Reflect Fundamental Values? The Case of REITs.” Working paper, October 2004.

Esaki, Howard. “Commercial Mortgage Defaults: 1972-2000.” Real Estate Finance (Winter 2002): 43-52.

Geltner, David. “Why Can’t a Practitioner Be More Like an Academic? An Academic’s Perspective on Real Estate Investment Risk.” PREA Quarterly (Fall 2005): 30-34.

Linneman, Peter. “Forces Changing the Real Estate Industry Forever.” Wharton Real Estate Review (1997): 1-12.

Clayton, Jim, and Greg MacKinnon. “Noise and Information in Stock Prices: Evidence From Real Estate Investment Trusts.” Working paper, June 2003.

Clayton, Jim. “Tracking Value in the Private Real Estate Market: A Comparison of Green Street NAV and NCREIF Value Indices.” Working paper, December 2003.

Pai, Arvind. “Stocks Are From Mars, Real Estate Is From Venus: An Inquiry into the Determinants of Long-Run Investment Performance.” Master’s thesis, Massachusetts Institute of Technology, 2006.

Shugrue III, Edward. “Understanding Real Estate CDOs and How They Are Revolutionizing Real Estate Finance.” PREA Quarterly (Fall 2006): 56-62.

Clayton, Jim, and Michael Giliberto. “Slicing, Dicing, and Pricing: The Cap Stack Model.” PREA Quarterly (Fall 2006): 38-44.

Ciochetti, Brian, and James Shilling. “Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market.” Working paper, August 2004.

Cho, Hoon, Brian Ciochetti, and James Shilling. “Nonlinearities in the Relation of Property Prices and Commercial Mortgage Defaults.” Working paper, November 2005.

Ciochetti, Brian, and Kerry Vandell. “The Performance of Commercial Mortgages.” Real Estate Economics 27 (1999): 27-61.

Ciochetti, Brian, Yongheng Deng, Bin Gao, and Rui Yao. “The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks.” Real Estate Economics 30 (2002): 595-633.

Course Info

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Lecture Notes
Written Assignments