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Readings
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.
LEC # TOPICS RECITATIONS
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
6REIT NAV-based valuation and asset
valuation
GM 23.4, 23.2.4-23.2.5, 12.3, pp. 617-62
and 276-285
7 Lincoln case due
8REITs management considerations,
wrap-upGM 23.2.6-23.3, pp. 610-617
9CMBS 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
12Real estate equity derivatives: Index
swapsGM 26.3, pp. 707-714
13 Course wrap-up, CMBS case due
http://www.amazon.com/exec/obidos/ASIN/0324305486/ref=nosim/mitopencourse-20
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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(Fall2005): 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 theDeterminants 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.
