Default Risk and Required Return in the Commercial Mortgage Market

Richard A. Graff and John Tung
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Richard A. Graff: Graff Investment Models 222 E. Pearson Street Suite 2308 Chicago, Illinois 60611, http://www.twsu.edu/~finance/
John Tung: Draper and Kramer Realty Advisors, Inc. 33 W. Monroe Chicago, Illinois 60603, http://www.twsu.edu/~finance/

Journal of Real Estate Research, 1992, vol. 7, issue 1, 13-32

Abstract: This study uses published mortgage commitment and delinquency data to compare historical and prospective results of investing in well-diversified commercial mortgage portfolios with corresponding investments in long-term Treasury and corporate bonds. The conclusions are that commercial mortgages have been and continue to be efficiency priced, and that mortgages are similar in risk and expected return to lower rated investment-grade corporate bonds.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1992
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