| Abstract |
This study estimates the spot rent index (SRI), rent growth expectations, and risk
premiums for office, industrial, and retail properties using 20 years of data across major
U.S. markets. The SRI timely captures economic cycles. Rent growth expectations
embedded in long-term leases vary by property type, market, and lease term, but
remain relatively stable, consistent with oversmoothing and forecast rigidity. Risk
premiums, estimated from the difference between physical and risk-neutral rent growth,
vary substantially across markets. The study offers a novel framework for estimating
inflation expectations and risk premiums for illiquid real assets constituting substantial
national wealth.
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