| Popis: |
In this dissertation, I examine the relationship between availability of credit and commercial real estate cap rates. Understanding whether and how the supply of credit affects property cap rates has important implications for investors and asset values. In the first chapter, I introduce background information about the commercial real estate industry, discuss related research and present the primary hypotheses. Finally, I discuss the data that is used and overview some summary statistics about cap rates. In the second chapter, I explore the relationship between credit supply and real estate cap rates. I first document some stylized facts about the commercial real estate lending industry and find significant differences in credit markets across different local real estate markets. I provide cross-sectional analysis and show that proxies for greater availability of credit are associated with reduced cap rates. To causally identify the effect, I utilize two research designs: firm-wide lender credit suspensions and historical concentration of depository locations. I find evidence consistent with credit supply impacting cap rates through non-fundamental valuation effects. In the third chapter, I study lender incentives and underwriting behavior. The findings are consistent with lenders loosening underwriting standards to compete for loan origination in a "race-to-the-bottom". Finally, in the fourth chapter I conclude and discuss opportunities for additional research. |
