Mortgage-specific cash-flow histories on 2,480 loans from 1974 to 1990 reveal commercial mortgage returns that are slightly lower than those reported in past commercial mortgage performance studies. The data also reveal that the volatility of return is slightly higher than the one previously reported. From 1974 to 1990, the level of interest rates was found to be systematically influential on mortgage returns. No correlation was established between commercial mortgage investment and excessive mortgage returns.
Introduction
As of July 1997, commercial mortgage debt outstanding reached approximately $1 trillion. By way of comparison, outstanding municipal and corporate debt stood at ...