Default Risk and Required Return in the Commercial Mortgage Market

1 January 1992

journal article
research article
Published by Taylor & Francis in Journal of Real Estate Research

Vol. 7 (1) , 13-31
https://doi.org/10.1080/10835547.1992.12090658

Abstract

This study uses published mortgage commitment and delinquency data to compare historical and prospective results of investing in well-diversified commercial mortgage portfolios with corresponding investments in long-term Treasury and corporate bonds. The conclusions are that commercial mortgages have been and continue to be efficiency priced, and that mortgages are similar in risk and expected return to lower rated investment-grade corporate bonds.

Keywords

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