Implicit Forward Rents as Predictors of Future Rents

Peter Englund, Åke Gunnelin (), Martin Hoesli and Bo Söderberg ()
Additional contact information
Peter Englund: Swedish Institute for Financial Research, Postal: Saltmätargatan 19A, SE-113 59 Stockholm, Sweden, http://www.sifr.org
Åke Gunnelin: Swedish Institute for Financial Research, Postal: Saltmätargatan 19A, SE-113 59 Stockholm, Sweden, http://www.sifr.org
Bo Söderberg: Royal Institute of Technology

No 12, SIFR Research Report Series from Institute for Financial Research

Abstract: 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.

Keywords: Commercial rents; Term structure (search for similar items in EconPapers)
JEL-codes: R31 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2002-11-15
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Real Estate Economics, 2004, pages 183-215.

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Related works:
Journal Article: Implicit Forward Rents as Predictors of Future Rents (2004)
Working Paper: Implicit Forward Rents as Predictors of Future Rents (2002)
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