The Journal of Real Estate Finance and Economics最新文献_第8页

High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. 美国总体和区域住房市场与金融资产之间的高频传染：来自多通道测试的证据。

The Journal of Real Estate Finance and Economics Pub Date : 2022-08-19 DOI: 10.1007/s11146-022-09919-8

Goodness C Aye, Christina Christou, Rangan Gupta, Christis Hassapis

{"title":"High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests.","authors":"Goodness C Aye, Christina Christou, Rangan Gupta, Christis Hassapis","doi":"10.1007/s11146-022-09919-8","DOIUrl":"10.1007/s11146-022-09919-8","url":null,"abstract":"This study examined contagion involving the aggregate and regional housing markets of the United States (US) with other asset markets using multichannel tests during the 2007-2008 global financial crisis based on a unique high-frequency, i.e., daily data set. To arrive at bias free results several contagion tests: the Forbes and Rigobon (FR) correlation test for contagion, the Fry, Martin and Tang coskewness (CS) test for contagion, the Hsiao cokurtosis (CK) test for contagion and the Hsiao covolatility (CV) test for contagion were employed. At the country level, the linear (correlation) channel indicates that contagion is present from (to) average housing returns to (from) the S&P500, with the correlation contagion also running from average housing returns to REITs. Moreover, the coskewness, cokurtosis and covolatility channels are strongly active with contagion running only from average housing returns to the S&P500, bond returns and REITs. At the Metropolitan Statistical Area (MSA) level, our results indicate that the linear (correlation) channel of contagion is relatively inactive, but the coskewness, cokurtosis and covolatility channels are strongly active with contagion running mostly from housing returns to the S&P500. Our results have important implications for investor and policymakers, given the possibility of differential results based on tests and whether we rely on regional or aggregate data.","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"16 1","pages":"1-24"},"PeriodicalIF":0.0,"publicationDate":"2022-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9389482/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76694449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Size and Spatial Extent of Neighborhood Price Impacts of Infill Development: Scale Matters? 填充开发对邻里价格影响的大小和空间范围:尺度问题?

The Journal of Real Estate Finance and Economics Pub Date : 2022-08-08 DOI: 10.1007/s11146-022-09916-x

C. Nygaard, G. Galster, Stephen Glackin

引用次数: 1

Coming of Age: Renovation Premiums in Housing Markets 成年:住房市场的装修溢价

The Journal of Real Estate Finance and Economics Pub Date : 2022-08-04 DOI: 10.1007/s11146-022-09917-w

Mari O. Mamre, Dag Einar Sommervoll

{"title":"Coming of Age: Renovation Premiums in Housing Markets","authors":"Mari O. Mamre, Dag Einar Sommervoll","doi":"10.1007/s11146-022-09917-w","DOIUrl":"https://doi.org/10.1007/s11146-022-09917-w","url":null,"abstract":"We rely on novel textual analysis of real estate listings and identify renovated dwellings in a dataset of Norwegian transactions to estimate the renovation premium in an urban housing market. The renovation premium is estimated in a hedonic framework by classical regression approaches and a random forest algorithm. The strength of the latter is that it allows for a more complex interplay between the renovation premium and explanatory variables. We estimate a significant positive renovation premium of 5–7 percent for renovated dwellings and a negative premium of 9–10 percent for unmaintained/neglected dwellings. These averages mask significant variations in these premiums over time, particularly, a counter-cyclical effect. Omitting renovation information also has implications for estimated short-term house price growth. Unmaintained dwellings tend to transact more in the fourth quarter, indicating that parts of the seasonal price variation reported in the literature are due to compositional variation with respect to renovation. This composition effect bias price movement estimates downward, if uncontrolled for, as unmaintained dwellings transact at significantly lower prices.","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"75 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138538194","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Effect of Regulatory Oversight on Nonbank Mortgage Subsidiaries 监管对非银行抵押贷款子公司的影响

The Journal of Real Estate Finance and Economics Pub Date : 2022-07-19 DOI: 10.1007/s11146-022-09906-z

E. Balla, Raymond Brastow, D. Edgel, M. Rose

引用次数: 0

Accounting for Spatial Autocorrelation in Algorithm-Driven Hedonic Models: A Spatial Cross-Validation Approach 在算法驱动的享乐模型中考虑空间自相关:一种空间交叉验证方法

The Journal of Real Estate Finance and Economics Pub Date : 2022-07-13 DOI: 10.1007/s11146-022-09915-y

Juergen Deppner, Marcelo Cajias

引用次数: 1

The Impact of Virtual Marketing Strategies on the Price-TOM Relation. 虚拟营销策略对价格- tom关系的影响。

The Journal of Real Estate Finance and Economics Pub Date : 2022-06-30 DOI: 10.1007/s11146-022-09908-x

Kelley Cours Anderson, Julia Freybote, Kerry T Manis

引用次数: 0

Time on Market and the Cash Discount for Condos 上市时间和公寓的现金折扣

The Journal of Real Estate Finance and Economics Pub Date : 2022-06-16 DOI: 10.1007/s11146-022-09913-0

Eli Beracha, J. Freybote, Zhenguo Lin, Michael J. Seiler

引用次数: 1

Sustainability and Private Equity Real Estate Returns 可持续性和私募股权房地产回报

The Journal of Real Estate Finance and Economics Pub Date : 2022-06-16 DOI: 10.1007/s11146-022-09914-z

Avis Devine, Andrew Sanderford, Chongyu Wang

引用次数: 3

The Volatility of Housing Prices: Do Different Types of Financial Intermediaries Affect Housing Market Cycles Differently? 房价波动:不同类型的金融中介对房地产市场周期的影响是否不同?

The Journal of Real Estate Finance and Economics Pub Date : 2022-06-11 DOI: 10.1007/s11146-022-09907-y

Julia Braun, Hans-Peter Burghof, Julius Langer, Dag Einar Sommervoll

{"title":"The Volatility of Housing Prices: Do Different Types of Financial Intermediaries Affect Housing Market Cycles Differently?","authors":"Julia Braun, Hans-Peter Burghof, Julius Langer, Dag Einar Sommervoll","doi":"10.1007/s11146-022-09907-y","DOIUrl":"https://doi.org/10.1007/s11146-022-09907-y","url":null,"abstract":"Housing markets display several correlations to multiple economic sectors of an economy. Their enormous impact on economies’ health, wealth, and stability is uncontroversial. Interestingly, the forms of financing residential property vary widely between the different countries in terms of both, the available product types and the institutions offering them. This research examines the implications of different financial intermediaries on housing market cycles with special emphasis on two institutional types, conventional banks and building and loan associations. Introducing a heterogeneous agent-based model, the interactions of buyers, sellers, and the two types of credit institutions are assessed. Heterogeneous economic principles and expectations of agents create endogenous market conditions which are strongly influenced by the lending practices of financial intermediaries.Focusing primarily on collateral values to decide about lending, conventional banks may contribute to volatile housing markets which are prone to recessions. Building and loan associations, on the other hand, rely to a greater extent on endogenously created borrower information. Thus, they are able to cushion the volatility of house prices caused by procyclical mortgage lending of conventional banks and increase the stability of the housing market. Simulations show that the most stable market conditions are attained if both types of financial intermediaries serve the mortgage lending market jointly. Furthermore, transaction and homeownership rates are the highest in this market setting. These findings advocate in favor of diversified financial markets.","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138538220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

How do Non-Core Allocations Affect the Risk and Returns of Private Real Estate Funds? 非核心配置如何影响私募房地产基金的风险和收益?

The Journal of Real Estate Finance and Economics Pub Date : 2022-06-10 DOI: 10.1007/s11146-022-09886-0

Spencer J. Couts

引用次数: 0