NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Anthony B. Sanders

George Mason University
School of Management

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: George Mason University

NBER Working Papers and Publications

March 1990Risk and Return on Real Estate: Evidence from Equity REITs
with K.C. Chan, Patric H. Hendershott: w3311
We analyze monthly returns on an equally-weighted index of 18 to 23 equity (real property) real estate investment trusts (REITs) that were traded on major stock exchanges over the 1973-87 period. We employ a multifactor Arbitrage Pricing Model using prespecified macroeconomic factors. We also test whether equity REIT returns are related to changes in the discount on closed-end stock funds, which seems plausible given the closed-end nature of REITs. Three factors, and the percentage change in the discount on closed-end stock funds, consistently drive equity REIT returns: unexpected inflation and changes in the risk and term structures of interest rates. The impacts of these variables on equity REIT returns is around 60 percent of the impacts on corporate stock returns generally. As expected...

Published: K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452. citation courtesy of

March 1988On the Determinants of the Value of Call Options on Default-Free Bonds
with Stephen A. Buser, Patric H. Hendershott: w2529
Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also produce similar estimates of bond option values. This result is established for simple option forms with known closed-form solutions as well as for more complex options that require numerical methods for evaluation. The finding is confirmed for a wide range of economic conditions, and it is robust with respect to the number and nature of factors that generate interest-rate movements.

Published: Journal of Business, January 1990, Part 2, pp. 533-550.

December 1984Pricing Rate Caps on Default-Free Adjustable-Rate Mortgages
with Stephen A. Buser, Patric H. Hendershott: w1525
A model is developed and utilized in this paper to value a life of loan interest rate cap on an ARM that reprices monthly. The value of the cap is seen to depend importantly on both the slope of the term structure and the variance of the one month rate. However, the cap value is not sensitive to the source of the slope of the term structure -- what precise combination of interest rate expectations and risk aversion determined the slope. This insensitivity is fortunate because of the great difficulty of knowing at any point in time why the term structure is what it is. Given the variation in the slope of the term structure and the variance of the one month rate that occurred over the 1979-84 period, the addition to the coupon rate on a one-month ARM that lenders should have charged for a 5 ...

Published: Stephen A. Buser & Patric H. Hendershott & Anthony B. Sanders, 1985. "Pricing Life-of-Loan Rate Caps on Default-Free Adjustable-Rate Mortgages," Real Estate Economics, vol 13(3), pages 248-260.

 
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