nach oben

Erschienen in:

2019 | OriginalPaper | Buchkapitel

7. The Term Premium of Cancellable Lease Rates

verfasst von : Miki Seko

Erschienen in: Housing Markets and Household Behavior in Japan

Verlag: Springer Singapore

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

The rent term premium for leases that can be cancelled by the lessee is analyzed. A model for the lessor’s trade-off between leasing costs and the cost of cancellation options based on the recognition that many leases are cancellable by lessees and that lease markets involve significant transaction costs is developed. It is shown that, regardless of the expected future rents, the rent term structure is upward-sloping when there is no leasing cost but U-shaped when the lessor faces moderate leasing costs. Residential leases in Japan, which are all cancellable by tenants, exhibit a term structure consistent with our calibrated model. This result provides a new insight into the lessor’s optimal choice of rents and the equilibrium rent term premium.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 390 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Maschinenbau + Werkstoffe

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Vorheriges Kapitel Housing Tenure Choice After the Revision of the Rental Act

Nächstes Kapitel Earthquake Risk and a Quality of Life Index

Nur mit Berechtigung zugänglich

The Real Estate Roundtable, 2011 Annual Report. Available at http://www.rer.org, accessed October 24, 2012.

The Equipment Leasing and Finance Foundation, Economic Impacts of the Proposed Changes to Lease Accounting Standards, December 12, 2011. Available at http://www.leasefoundation.org, accessed October 24, 2012.

This type of lease contract was prevalent before 1941 but was eliminated to prevent landlords from evicting incumbent tenants and circumventing rent control during World War II (Survey of New Form of Residence Associated with Fixed-Term Lease Contracts, Housing Research and Advancement Foundation of Japan, March 2015).

This requirement is specified by Article 28 of the Tenure Law, known as Shakuchi-Shakka-Hou in Japan.

See Iwata (2002) and Seko and Sumita (2007) for a discussion of the asymmetric nature of lease restrictions and the effects of the role of these asymmetries as a form of rent control.

Ministry of Land, Infrastructure, Transport, and Tourism, 2013FY Housing Market Survey (Jutaku Shijo Doko Chosa).

The stochastic discount factor is derived from the first-order condition for the lessor’s utility maximization problem given the lessor’s wealth portfolio and consumption stream.

Source: Recruit Residential Price Index, January 14, 2013, accessed October 31, 2014. Available at http://www.jresearch.net/house/jresearch/rrpi/index.html.

Rotten structures are excluded in this calculation.

We use lease contracts that are shorter than or equal to 5 years because the number of leases longer than 5 years is small and their tenant characteristics differ significantly from the average characteristics.

This empirical strategy is equivalent to pooling both types of leases and including interaction terms with a fixed-lease dummy by treating ordinary leases as a reference group.

The average of the 2003 and 2008 national vacancy rates for rental housing is 19%.

The estimated term structures exhibit the same shapes based on Models (b), (c), or (d).

The mean values are 16.4 and 15.1 years for building age and 9.5 and 9.8 min for the time to the nearest station in low- and high-vacancy areas, respectively.

Agarwal, S., Ambrose, B. W., Huang, H., & Yildirim, Y. (2011). The term structure of lease rates with endogenous default triggers and tenant capital structure: Theory and evidence. Journal of Financial and Quantitative Analysis, 46, 553–584.CrossRef

Ambrose, B. W., & Yildirim, Y. (2008). Credit risk and the term structure of lease rates: A reduced form approach. Journal of Real Estate Finance and Economics, 37, 281–298.CrossRef

Beck, T., & Demirguc-Kunt, A. (2006). Small and medium-size enterprises: Access to finance as a growth constraint. Journal of Banking & Finance, 30, 2931–2943.CrossRef

Blume, M. E., & Keim, D. B. (1988). The valuation of callable bonds. Working paper 14–89, Rodney White Center for Financial Research, The Wharton School.

Bond, S., Loizou, P., & McAllister, P. (2008). Lease maturity and initial rent: Is there a term structure for UK commercial property leases? Journal of Real Estate Finance and Economics, 36, 451–469.CrossRef

Chang, C. C., Ho, H. W., Huang, H., & Yildrim, Y. (2012). Simultaneous implication of credit risk and embedded options in lease contracts. Working paper.

Clapham, E., & Gunnelin, A. (2003). Rental expectations and the term structure of lease rates. Real Estate Economics, 31, 647–670.CrossRef

Copeland, T. E., & Weston, J. F. (1982). A note on the evaluation of cancellable operating leases. Financial Management, 11, 60–67.CrossRef

Devos, E., Dhillon, U., Jagannathan, M., & Krishnamurthy, S. (2012). Why are firms unlevered? Journal of Corporate Finance, 18, 664–682.CrossRef

Eisfeldt, A. L., & Rampini, A. A. (2009). Leasing, ability to repossess, and debt capacity. Review of Financial Studies, 22(4), 1621–1657.CrossRef

Follain, J. R., Scott, L. O., & Yang, T. L. (1992). Microfoundations of a mortgage prepayment function. Journal of Real Estate Finance and Economics, 5, 197–217.CrossRef

Geltner, D. M., Miller, N. G., Clayton, J., & Eichholtz, P. (2014). Commercial real estate analysis and investments (3rd ed.). OnCourse Learning.

Giaccotto, C., Goldberg, G. M., & Hegde, S. P. (2007). The value of embedded real options: Evidence from consumer automobile lease contracts. Journal of Finance, 62, 411–445.CrossRef

Graham, J. R., Lemmon, M. L., & Schallheim, J. S. (1998). Debt, leases, taxes, and the endogeneity of corporate tax status. Journal of Finance, 53(1), 131–162.CrossRef

Grenadier, S. R. (1995). Valuing lease contracts: A real-options approach. Journal of Financial Economics, 38, 297–331.CrossRef

Grenadier, S. R. (2005). An equilibrium analysis of real estate leases. Journal of Business, 78, 1173–1214.CrossRef

Gunnelin, A., & Soderberg, B. (2003). Term structures in the office rental market in Stockholm. Journal of Real Estate Finance and Economics, 26, 241–265.CrossRef

Gurkaynak, R. S., & Wright, J. H. (2012). Macroeconomics and the term structure. Journal of Economic Literature, 50, 331–367.CrossRef

Ho, S. S. M., Lam, K. C. K., & Sami, H. (2004). The investment opportunity set, director ownership, and corporate policies: Evidence from an emerging market. Journal of Corporate Finance, 10, 383–408.CrossRef

Iwata, S. (2002). The Japanese tenant protection law and asymmetric information on tenure length. Journal of Housing Economics, 11, 125–151.CrossRef

McConnell, J. J., & Schallheim, J. S. (1983). Valuation of asset leasing contracts. Journal of Financial Economics, 12, 237–261.CrossRef

Miceli, T. J., & Sirmans, C. F. (1999). Tenant turnover, rental contracts, and self-selection. Journal of Housing Economics, 8, 301–311.CrossRef

Mooradian, R. M., & Yang, S. X. (2000). Cancellation strategies in commercial real estate leasing. Real Estate Economics, 28, 65–88.CrossRef

Rubinstein, M. (1974). An aggregation theorem for securities markets. Journal of Financial Economics, 1(3), 225–244.CrossRef

Schallheim, J. S., & McConnell, J. J. (1985). A model for the determination of “Fair” premiums on lease cancellation insurance policies. Journal of Finance, 40, 1439–1457.

Seko, M., & Sumita, K. (2007). Japanese housing tenure choice and welfare implications after the revision of the tenant protection law. Journal of Real Estate Finance and Economics, 35, 357–383.CrossRef

Sharpe, S. A., & Nguyen, H. H. (1995). Capital-market imperfections and the incentive to lease. Journal of Financial Economics, 39, 271–294.CrossRef

Stanton, R., & Wallace, N. (2009). An empirical test of a contingent claims lease valuation model. Journal of Real Estate Research, 31, 1–26.

Yoshida, J., Seko, M., & Sumita, K. (2016). The rent term premium for cancellable leases. Journal of Real Estate Finance and Economics, 52(4), 480–511.

Titel: The Term Premium of Cancellable Lease Rates
verfasst von: Miki Seko
Verlag: Springer Singapore
Buch: Housing Markets and Household Behavior in Japan
Print ISBN: 978-981-13-3368-2

Electronic ISBN: 978-981-13-3369-9

Copyright-Jahr: 2019
DOI: https://doi.org/10.1007/978-981-13-3369-9_7

Springer Professional

Abstract

Bitte loggen Sie sich ein, um Zugang zu Ihrer Lizenz zu erhalten.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Technik"

Springer Professional "Wirtschaft"