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Wiley-Blackwell: Real Estate Economics最新文献

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Demand Uncertainty, Development Timing and Leasehold Land Valuation: Empirical Testing of Real Options in Residential Real Estate Development 需求不确定性、开发时机与租赁土地估值:住宅房地产开发中实物期权的实证检验
Wiley-Blackwell: Real Estate Economics Pub Date : 2013-05-24 DOI: 10.1111/1540-6229.12052
H. Yao, F.J.J. Pretorius
{"title":"Demand Uncertainty, Development Timing and Leasehold Land Valuation: Empirical Testing of Real Options in Residential Real Estate Development","authors":"H. Yao, F.J.J. Pretorius","doi":"10.1111/1540-6229.12052","DOIUrl":"https://doi.org/10.1111/1540-6229.12052","url":null,"abstract":"type=\"main\"> This article develops and tests a long-dated American call option pricing model for valuing development land under leasehold. We analyze and test option values in ten detailed Hong Kong cases involving purchase, holding, converting and developing land. We also test for optimal exercise of long-dated American calls using processes based on the optimal trigger ratio feature of the perpetual American call option model. Generally, the empirical results confirm presence of a positive and nontrivial option premium (mean +5.274%) in the cases, and that developers appear to delay exercise to the point predicted by the real options model.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116886291","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: 32
Spatial Linkages in Returns and Volatilities Among U.S. Regional Housing Markets 美国区域房地产市场收益与波动的空间联系
Wiley-Blackwell: Real Estate Economics Pub Date : 2013-03-01 DOI: 10.1111/j.1540-6229.2012.00337.x
B. Zhu, Roland Füss, Nico B. Rottke
{"title":"Spatial Linkages in Returns and Volatilities Among U.S. Regional Housing Markets","authors":"B. Zhu, Roland Füss, Nico B. Rottke","doi":"10.1111/j.1540-6229.2012.00337.x","DOIUrl":"https://doi.org/10.1111/j.1540-6229.2012.00337.x","url":null,"abstract":"This article investigates spatial linkages in returns, idiosyncratic risks and volatilities across 19 U.S. regional housing markets. Using Case & Shiller housing price indices from 1995 through 2009, we find that interconnections across markets can be “wider” and “stronger” than would normally be expected. They are “wider” because, in addition to geographic closeness, economic proximity is also an important source of influence; they are “stronger” because of the significant contagion effects during the 2007–2009 subprime and financial crises. The increased comovement and interdependence, especially among more geographically diverse regions with similar economic conditions, may help explain the failure of geographic portfolio diversification strategies.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126210764","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: 88
The Sources of Risk Spillovers Among U.S. REITs: Financial Characteristics and Regional Proximity 美国房地产投资信托基金风险溢出的来源:金融特征和区域邻近性
Wiley-Blackwell: Real Estate Economics Pub Date : 2013-02-03 DOI: 10.1111/1540-6229.12060
Zeno Adams, Roland Füss, Felix Schindler
{"title":"The Sources of Risk Spillovers Among U.S. REITs: Financial Characteristics and Regional Proximity","authors":"Zeno Adams, Roland Füss, Felix Schindler","doi":"10.1111/1540-6229.12060","DOIUrl":"https://doi.org/10.1111/1540-6229.12060","url":null,"abstract":"type=\"main\"> In this article, we estimate the risk spillovers among 74 U.S. Real Estate Investment Trusts (REITs) using the state-dependent sensitivity value-at-risk approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition. We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity. Our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers and policy makers.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126304132","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: 33
Unsmoothing Real Estate Returns: A Regime‐Switching Approach 非平滑房地产收益:制度转换方法
Wiley-Blackwell: Real Estate Economics Pub Date : 2012-12-01 DOI: 10.1111/j.1540-6229.2012.00331.x
C. Lizieri, S. Satchell, W. Wongwachara
{"title":"Unsmoothing Real Estate Returns: A Regime‐Switching Approach","authors":"C. Lizieri, S. Satchell, W. Wongwachara","doi":"10.1111/j.1540-6229.2012.00331.x","DOIUrl":"https://doi.org/10.1111/j.1540-6229.2012.00331.x","url":null,"abstract":"We propose newly developed unsmoothing techniques for appraisal‐based real estate returns based on a regime‐switching threshold autoregressive (TAR) model. We show that when true returns follow a TAR process, conventional linear autoregressive techniques are misspecified and underestimate true variance. Two exogenous variables, equity returns and gross domestic product growth, outperform other variables as regime indicators and appear to capture risks of downturns in real estate. We extend the model to the smoothing equation, allowing for switching behavior by appraisers, using two new techniques: the TAR‐AR and TAR‐TAR approaches. The “co‐switching” specification opens up a new frontier of empirical research. We estimate the TAR‐TAR using FT returns as the regime indicator, and we find results that outperform conventional smoothing models and have plausible economic explanations.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131462575","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
Mortgage Brokers, Origination Fees, Price Transparency and Competition 抵押贷款经纪人，发起费用，价格透明度和竞争
Wiley-Blackwell: Real Estate Economics Pub Date : 2012-09-26 DOI: 10.1111/1540-6229.12039
B. Ambrose, James N. Conklin
{"title":"Mortgage Brokers, Origination Fees, Price Transparency and Competition","authors":"B. Ambrose, James N. Conklin","doi":"10.1111/1540-6229.12039","DOIUrl":"https://doi.org/10.1111/1540-6229.12039","url":null,"abstract":"type=\"main\"> This article examines the dynamics between mortgage broker competition, origination fees and price transparency. A reverse first-price sealed-bid auction model is used to motivate broker pricing behavior. Confirming the model predictions, our empirical analysis shows that increased mortgage brokerage competition at the Metropolitan Statistical Area level leads to lower fees. The findings are robust to different measures of fees as well as different measures of competition. We also provide evidence that broker competition reduces mortgage origination fees on retail (nonbrokered) loans as well. In addition, our results indicate that pricing complexity is an important determinant of fees, and increased broker competition is associated with a higher probability of a loan being priced with transparency. Our results suggest that mortgage brokers increase competition and lower fees in the mortgage market.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121200986","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: 31
REIT Dividend Policies and Dividend Announcement Effects During the 2008–2009 Liquidity Crisis 2008-2009年流动性危机期间房地产投资信托基金股利政策及股利公告的影响
Wiley-Blackwell: Real Estate Economics Pub Date : 2012-09-01 DOI: 10.1111/j.1540-6229.2011.00324.x
B. Case, William G. Hardin III
{"title":"REIT Dividend Policies and Dividend Announcement Effects During the 2008–2009 Liquidity Crisis","authors":"B. Case, William G. Hardin III","doi":"10.1111/j.1540-6229.2011.00324.x","DOIUrl":"https://doi.org/10.1111/j.1540-6229.2011.00324.x","url":null,"abstract":"Real estate investment trust (REIT) dividend policies and dividend announcement effects during the 2008–2009 liquidity crisis are examined. Multinomial logit results indicate that REITs with higher market leverage or lower market‐to‐book ratios are more likely to cut dividends, suspend dividends or pay elective stock dividends. These results imply that mitigating going‐concern risk is an important motive for REITs adjusting dividend policies during the crisis and support dividend catering theory where investor demand for dividends impacts corporate dividend policies. Moreover, REITs that cut or suspend dividends experience positive cumulative abnormal returns during the post‐announcement period after controlling for the potential influence from simultaneous funds from operation announcements. The positive market response over the post‐announcement period supports the notion that dividend decisions convey information to investors and is also consistent with the broad catering theory of dividend policy.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124513231","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: 36
Lessons from Over 30 Years of Buy Versus Rent Decisions: Is the American Dream Always Wise? 30多年买房与租房的经验教训:美国梦总是明智的吗?
Wiley-Blackwell: Real Estate Economics Pub Date : 2012-06-01 DOI: 10.1111/j.1540-6229.2011.00321.x
Eli Beracha, Ken H. Johnson
{"title":"Lessons from Over 30 Years of Buy Versus Rent Decisions: Is the American Dream Always Wise?","authors":"Eli Beracha, Ken H. Johnson","doi":"10.1111/j.1540-6229.2011.00321.x","DOIUrl":"https://doi.org/10.1111/j.1540-6229.2011.00321.x","url":null,"abstract":"Homeownership is touted as the “American Dream.” It is credited with enhancing wealth; increasing civic pride; and improving self‐esteem, crime prevention, child development and educational outcomes, among other benefits. This article does not dispute any of these claims. Instead, this study hypothesizes that crowding toward homeownership raises the price of homes above their fundamental value resulting in the purchase of a home becoming a contraindicative action. After setting the holding period to the average American's tenure in a residence, renting (not buying) proves to be the superior investment strategy over most of the study period.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116442147","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: 44
Parameter Stability and the Valuation of Mortgages and Mortgage‐Backed Securities 抵押贷款和抵押贷款支持证券的参数稳定性和估值
Wiley-Blackwell: Real Estate Economics Pub Date : 2012-03-01 DOI: 10.1111/j.1540-6229.2011.00313.x
Michael LaCour-Little, Yun W. Park, Richard K. Green
{"title":"Parameter Stability and the Valuation of Mortgages and Mortgage‐Backed Securities","authors":"Michael LaCour-Little, Yun W. Park, Richard K. Green","doi":"10.1111/j.1540-6229.2011.00313.x","DOIUrl":"https://doi.org/10.1111/j.1540-6229.2011.00313.x","url":null,"abstract":"The recent financial crisis was triggered by large and unexpected losses on mortgages and mortgage‐related securities. Here we examine model risk arising from innovations in mortgage markets and the effect on asset values. In particular, we examine the effect of parameter instability in the prepayment function. Using carefully constructed microdata, we find that the refinancing propensity was greater in 1998 for a 1997 issue given the same incentives, compared to the 1993 performance of a 1992 issue. The associated change in cash flow patterns produces economically significant changes in asset prices. Results are robust to alternative term structure models.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122975988","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: 5
Real Estate, the External Finance Premium and Business Investment: A Quantitative Dynamic General Equilibrium Analysis 房地产、外部融资溢价与企业投资:一个定量动态一般均衡分析
Wiley-Blackwell: Real Estate Economics Pub Date : 2012-03-01 DOI: 10.1111/j.1540-6229.2011.00315.x
Yi Jin, C. Leung, Zhixiong Zeng
{"title":"Real Estate, the External Finance Premium and Business Investment: A Quantitative Dynamic General Equilibrium Analysis","authors":"Yi Jin, C. Leung, Zhixiong Zeng","doi":"10.1111/j.1540-6229.2011.00315.x","DOIUrl":"https://doi.org/10.1111/j.1540-6229.2011.00315.x","url":null,"abstract":"This paper studies the connection between the capital market and the real estate market. Empirically, we find that positive real house price shocks lower the external finance premium and stimulate nonresidential investment and real GDP. Our theoretical framework is able to mimic the volatility of the external finance premium, the relative price of real estate and capital, and the investment in real estate and capital. It also captures the cyclicality of the external finance premium and of real estate prices. The contribution of real estate price fluctuations to the variability of the external finance premium and the GDP is confirmed to be significant.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114111471","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: 35
Origination Channel, Prepayment Penalties and Default 发起渠道，提前付款处罚和违约
Wiley-Blackwell: Real Estate Economics Pub Date : 2012-01-18 DOI: 10.1111/j.1540-6229.2011.00328.x
M. Rose
{"title":"Origination Channel, Prepayment Penalties and Default","authors":"M. Rose","doi":"10.1111/j.1540-6229.2011.00328.x","DOIUrl":"https://doi.org/10.1111/j.1540-6229.2011.00328.x","url":null,"abstract":"This paper presents evidence that non-bank-originated subprime mortgages have a higher probability of default than bank-originated subprime mortgages, but only for loans with prepayment penalties. Evidence also indicates that non-banks price prepayment penalties less favorably to borrowers than banks do, and non-banks originate disproportionately more loans with prepayment penalties in locales with less financially sophisticated borrowers. State anti-predatory lending law provisions restricting the use of prepayment penalties eliminate the elevated default risk of non-bank originations relative to bank originations. These findings are consistent with incentives generated by non-bank compensation via yield spread premiums on loans with prepayment penalties.","PeriodicalId":259209,"journal":{"name":"Wiley-Blackwell: Real Estate Economics","volume":"15 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132567988","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: 15
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