Andreas D. Christopoulos , Joshua G. Barratt , Daniel C. Ilut
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引用次数: 0
Abstract
We introduce a method that combines Euclidean distancing and OLS techniques to project synthetic capitalization rate indices (‘SCXs’) for metropolitan statistical areas in the US. SCXs are projected independently of market prices, asset specific characteristics and geographic location (ex-ante). In contrast to market cap rates, driven by geographic proximity and market comparables, our new method is driven by economic proximity. We find SCXs provide better forward guidance than market cap rates for commercial real estate (‘CRE’) defaults and CRE values before and during the Covid pandemic. Our method establishes CRE benchmark cap rate indices across property types that explicitly connect CRE valuation at the MSA level to macroeconomic indicators through economic proximity.
期刊介绍：
Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.
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