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The Dynamics of Credit Spreads in Hotel Mortgages and Signaling Implications

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dc.contributor.authordeRoos, Jan A.
dc.contributor.authorLiu, Crocker H.
dc.contributor.authorQuan, Daniel
dc.contributor.authorUkhov, Andrey D.
dc.date.accessioned2020-09-12T21:03:01Z
dc.date.available2020-09-12T21:03:01Z
dc.date.issued2014-01-01
dc.description.abstractWe use a vector autoregression framework to investigate loan pricing in a market with short-term leases (hotels) relative to longer-term leases (office properties), studying how news on the economy and capital markets are incorporated into the relative pricing of risk. We examine the impact of economic variables on the incremental risk premium and establish its informational content. Relative loan prices reflect systematic risk: an improvement in the general economy, an increase in forward looking corporate profitability, an increase in capital availability, and an increase in industry demand forecast a decline in the risk premium differential. We then examine how loan pricing adjusts to expected delinquencies. The spreads themselves contain important economic information and can help forecast delinquencies. Lenders are forward-looking in the pricing of risk and appear to set interest rates in anticipation of future delinquencies.
dc.description.legacydownloadsUkhov23_The_Dynamics_of_Credit_Spreads.pdf: 414 downloads, before Aug. 1, 2020.
dc.identifier.other6766966
dc.identifier.urihttps://hdl.handle.net/1813/71473
dc.language.isoen_US
dc.relation.isversionofAn earlier version of this article is also available in eCommons.
dc.relation.urihttps://hdl.handle.net/1813/70891
dc.rightsRequired Publisher Statement: © American Real Estate Society. Reprinted with permission. All rights reserved.
dc.subjecthotel financing
dc.subjectloan pricing
dc.subjecthotel mortgage loans
dc.subjectrelative risk premium
dc.titleThe Dynamics of Credit Spreads in Hotel Mortgages and Signaling Implications
dc.typearticle
local.authorAffiliationdeRoos, Jan A.: jad10@cornell.edu Cornell University School of Hotel Administration
local.authorAffiliationLiu, Crocker H.: chl62@cornell.edu Cornell University School of Hotel Administration
local.authorAffiliationQuan, Daniel: dq22@cornell.edu Cornell University School of Hotel Administration
local.authorAffiliationUkhov, Andrey D.: au53@cornell.edu Cornell University School of Hotel Administration

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