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Implicit Forward Rents as Predictors of Future Rents

Englund, Peter
Gunnelin, Ake
Söderberg, Bo
Year 2003
Collection Cahiers de recherche; 2003.14
Abstract The 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. control for characteristics), but should also be maturity-constant.
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ENGLUND, Peter et al. Implicit Forward Rents as Predictors of Future Rents. 2003 https://archive-ouverte.unige.ch/unige:5794

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Deposited on : 2010-04-15

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