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1.
Domino Effects Within a Housing Market: The Transmission of House Price Changes Across Quality Tiers 总被引:1,自引:0,他引:1
Lok Sang Ho Yue Ma Donald R. Haurin 《The Journal of Real Estate Finance and Economics》2008,37(4):299-316
We argue that shocks to a housing market are transmitted through the hierarchy of quality tiers within a housing market. The
result is the prediction of waves of house price changes accompanied by changes in transaction volume. Our study is related
to existing models of spatial ripple effects across housing markets. The data are from the Hong Kong housing market. The findings
from Granger causality tests strongly support the argument that domino effects within a single housing market occur in response
to external shocks.
相似文献
Donald R. HaurinEmail: |
2.
It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumers’
large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable
benchmarks for house prices and settlement values. In the USA, a series of state and metropolitan indexes have been produced
by a government agency (the US Office of Housing Enterprise Oversight, OFHEO), and they have been widely disseminated for
over a decade. By construction, the entire historical path of each of these indexes is, in principle, subject to revision
quarterly, that is, every time the index is recalculated and data are published. This paper provides the first analysis of
the magnitude and bias of these revisions, and it analyzes their systematic effects on the settlement prices in housing options
markets. The paper considers the implications of these magnitudes for the development of risk-reducing futures markets.
相似文献
John M. QuigleyEmail: |
3.
Determinants of House Prices: A Quantile Regression Approach 总被引:1,自引:0,他引:1
Joachim Zietz Emily Norman Zietz G. Stacy Sirmans 《The Journal of Real Estate Finance and Economics》2008,37(4):317-333
OLS regression has typically been used in housing research to determine the relationship of a particular housing characteristic
with selling price. Results differ across studies, not only in terms of size of OLS coefficients and statistical significance,
but sometimes in direction of effect. This study suggests that some of the observed variation in the estimated prices of housing
characteristics may reflect the fact that characteristics are not priced the same across a given distribution of house prices.
To examine this issue, this study uses quantile regression, with and without accounting for spatial autocorrecation, to identify
the coefficients of a large set of diverse variables across different quantiles. The results show that purchasers of higher-priced
homes value certain housing characteristics such as square footage and the number of bathrooms differently from buyers of
lower-priced homes. Other variables such as age are also shown to vary across the distribution of house prices.
相似文献
G. Stacy SirmansEmail: |
4.
Sophocles N. Brissimis Thomas Vlassopoulos 《The Journal of Real Estate Finance and Economics》2009,39(2):146-164
Although the close empirical relationship between the evolution of mortgage lending and housing prices is well established
in the literature, the direction of causation is less clear from a theoretical standpoint. We apply multivariate cointegration
techniques in order to address this issue empirically for the Greek economy. Our results, based on a cointegration relationship
that we identify as a mortgage loan demand equation, indicate that housing prices do not adjust to disequilibria in the market
for housing loans. This suggests that in the long run the causation does not run from mortgage lending to housing prices.
In the short run we find evidence of a contemporaneous bi-directional dependence.
相似文献
Thomas VlassopoulosEmail: |
5.
We propose two alternative models to estimate fundamental prices on real estate markets. The first model is based on a no-arbitrage
condition between renting and buying. The second model interprets the period costs as the result of market equilibrium between
housing demand and supply. We estimate both models for the USA, the UK, Japan, Switzerland, and the Netherlands. We find that
observed prices deviate substantially and for long periods from their estimated fundamental values. However, we find some
evidence that, in the long-run, actual prices tend to return to their fundamental values progressively. This result is due
to both impulse–response functions and forecast analyses. In particular, we find that using the fundamental price significantly
increases the accuracy of out-of-sample long-term forecasts of the price.
相似文献
Christian HottEmail: |
6.
Patricia Fraser Martin Hoesli Lynn McAlevey 《The Journal of Real Estate Finance and Economics》2008,37(1):71-91
This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970–2005.
Utilizing a dynamic present value model, we find disparities between actual and fundamental house prices in the early 1970s
and 1980s and from 2000 to date. We model the bubble component that is related to fundamentals (the intrinsic component),
making it possible to highlight whether a bubble still exists after that component is accounted for. We then analyze any remaining
bubble to detect any momentum behavior. Much of the overvaluation of the housing market is found to be due to price dynamics
rather than an overreaction to fundamentals.
相似文献
Lynn McAleveyEmail: |
7.
How do commodity futures respond to macroeconomic news? 总被引:1,自引:1,他引:0
Dieter Hess He Huang Alexandra Niessen 《Financial Markets and Portfolio Management》2008,22(2):127-146
This paper investigates the impact of seventeen US macroeconomic announcements on two broad and representative commodity futures
indices. Based on a large sample from 1989 to 2005, we show that the daily price response of the CRB and GSCI commodity futures
indices to macroeconomic news is state-dependent. During recessions, news about higher (lower) inflation and real activity
lead to positive (negative) adjustments of commodity futures prices. In contrast, we find no significant reactions during
economic expansions. We attribute this asymmetric response to the state-dependent interpretation of macroeconomic news. Our
findings are robust to several alternative business cycle definitions.
相似文献
Alexandra Niessen (Corresponding author)Email: |
8.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
9.
Pricing Structure in Tokyo Metropolitan Land Markets and its Structural Changes: Pre-bubble,Bubble, and Post-bubble Periods 总被引:1,自引:0,他引:1
Chihiro Shimizu Kiyohiko G. Nishimura 《The Journal of Real Estate Finance and Economics》2007,35(4):475-496
In this paper, we estimate hedonic price equations of Japanese commercial and residential land prices for a 25-year period
and to investigate possible structural changes in these price equations. Our price equations are based on transaction prices,
not appraised land values, of commercial land in Central Business Districts of Tokyo (Chiyoda Ward, Chuo Ward, and Minato
Ward), and residential land of its suburb (Setagaya Ward). We find that price structure differs substantially among locations,
reflecting differences in supplier pricing and end-user preferences. We also find significant structural changes in price
structure, identifying pre-bubble, bubble and post-bubble periods.
相似文献
Chihiro ShimizuEmail: |
10.
Velma Zahirovic-Herbert Geoffrey K. Turnbull 《The Journal of Real Estate Finance and Economics》2008,37(2):113-130
This paper develops an empirical framework for taking into account the effects of endogenous liquidity on price capitalization
estimates. Changes in school attendance zones in the East Baton Rouge Parish public school district provide a natural experiment
for studying how changes in school characteristics affect house prices and liquidity. House price and selling time, or liquidity,
are simultaneously determined in search markets. The empirical model exploits variation in the surrounding neighborhood market
conditions pertinent to each house to identify the system of price and liquidity equations. The estimates are consistent with
search-market theory in that liquidity absorbs part of the capitalization of school quality.
相似文献
Velma Zahirovic-HerbertEmail: |
11.
Julie Mueller John Loomis Armando González-Cabán 《The Journal of Real Estate Finance and Economics》2009,38(2):155-172
Unlike most hedonic studies that analyze the effects of a one-time event, this paper analyzes the effects of forest fires
that are several years apart in a small geographical area. We find that repeated forest fires cause house prices to decrease
for houses located near the fires. We test and reject the hypothesis that the house price reduction from one fire is equal
to the house price reduction from a second fire. The first fire reduces house prices by about 10%, while the second fire reduces
house prices by nearly 23%, a statistically significant difference. The pattern of these results are robust to several alternative
econometric specifications.
相似文献
John Loomis (Corresponding author)Email: |
12.
The Structure of Chinese Urban Land Prices: Estimates from Benchmark Land Price Data 总被引:1,自引:0,他引:1
Rui Wang 《The Journal of Real Estate Finance and Economics》2009,39(1):24-38
Taking the recent benchmark land prices published by the Chinese city governments, the paper estimates commercial and residential
land price curves of Chinese cities using cross-sectional data, controlling for urban population size and income level. The
urban land leasing price–distance relationship is estimated based on the argument that monocentric urban structure is representative
for Chinese cities. Both population size and income level are found to positively affect urban land price and price–distance
gradients. Commercial land prices are higher than residential land prices except in suburbs or outer central urban areas,
where the land prices of different uses converge. In most situations, commercial use price gradients are larger than those
of residential use.
相似文献
Rui WangEmail: |
13.
C. Charles Okeahalam 《Journal of Financial Services Research》2008,33(3):147-162
I assess the impact of bancassurance on the price of retail financial services. I find that service fees in a product bundle
increase less than proportionally to the number of services; that an increase in the number of clients in each product bundle
market reduces fees by 1.5%; that the degree of competition in the markets of each bundle also reduces fees; that premium
products have higher average costs; and finally, that cross-holdings reduce prices by about 5% and bancassurance reduces prices
by just over 6%. The price reduction declines if both strategies are combined.
相似文献
C. Charles OkeahalamEmail: |
14.
Geoffrey K. Turnbull Jonathan Dombrow 《The Journal of Real Estate Finance and Economics》2007,35(1):57-76
This study examines how individual agents affect house selling prices and time on the market while controlling for brokerage
firm-specific effects as well as supply and demand conditions that vary by neighborhood. Firm size effects disappear once
firm specialization and agent characteristics are taken into account but geographic concentration by firms leads to higher
selling prices. For individual agents, neither sex nor selling own listings affects price or selling time, but there are gains
from partnering transactions across firms. Agents who specialize in listing properties obtain higher prices for their sellers
while those who specialize in selling obtain lower prices for their buyers. Houses nearer to other transactions of an agent
sell for higher prices. Finally, greater scale of listing and selling activity by an agent tends to lower selling price or
lengthen the time on the market.
相似文献
Geoffrey K. TurnbullEmail: |
15.
Apostolos Dasilas 《Financial Markets and Portfolio Management》2009,23(1):59-91
This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004.
We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price
anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading
volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of
dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm
that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.
相似文献
Apostolos DasilasEmail: |
16.
The standard urban model supports the concept of a constant land price gradient throughout the urban area. It is a reasonable
conjecture that the land price gradient would vary with direction from the CBD. The variation in the gradient could be caused
by a number of factors, but the idea that the land price gradient is flatter along radial transportation routes than in other
directions is widely recognized even though there is little rigorous empirical work supporting this belief. This paper will
examine the structure of urban land prices with a focus on the land price gradient as a function of the direction around the
center of the city using a piecewise linear function. The added flexibility in the gradient estimate gained by this approach
reveals a dramatically varying directional land price gradient.
相似文献
Henry J. MunnekeEmail: |
17.
Terrence M. Clauretie Nasser Daneshvary 《The Journal of Real Estate Finance and Economics》2008,37(2):147-161
In the real estate market the seller/agent relationship changes over the course of the listing contract. As the contract expiration
nears, brokers may increase efforts generating more potential buyers and, perhaps, a higher offered price. Brokers may also
persuade the seller to reduce the reservation price. These two aspects have different implications for the selling price of
the property. Employing a sample of 24,100 properties sold in Clark County, Nevada, we investigate the relationship between
the selling price and the time-to-expiration of the listing contract. We find that prices are lower if the property is sold
near the expiration of the listing contract, indicating that the price-reduction effect dominates the broker-effort effect.
相似文献
Terrence M. ClauretieEmail: |
18.
This study attempts to shed some light on the extent of non-realtor broker listings on the MLS and their resulting price and time-on-the markets effects. Using duration, probit and selling
price models, this study empirically examines whether the REALTOR designation provides a signal of quality that is reflected
in the price and time on the market for sellers. Results indicate that properties listed by non-realtors on the MLS setting sell at lower prices, take slightly longer to sell, and are less likely to sell than properties listed
by REALTORs in a MLS setting. Working with a REALTOR in a MLS setting appears to be advantageous to the seller.
相似文献
Ronald RutherfordEmail: |
19.
Valuation of global IPOs: a stochastic frontier approach 总被引:1,自引:0,他引:1
Yue-Cheong Chan Congsheng Wu Chuck C. Y. Kwok 《Review of Quantitative Finance and Accounting》2007,29(3):267-284
This paper studies the impact of global offerings on US IPO firms’ offer price using the stochastic frontier approach. We
find that the offer price valuation efficiency for global IPOs exceeds that of IPOs with purely domestic offers by 3.1%. In
particular, the global offering approach is most appropriate to those IPO firms, which offer larger proportion of new shares
to international investors, underwritten by less prestigious investment banks and with larger firm-specific return variance.
Our findings are consistent with the demand inelasticity, certification effect and investor recognition arguments that account
for the benefits of global offering.
相似文献
Chuck C. Y. KwokEmail: |
20.
Traditional executive stock options are often criticized for inherently weak links between pay and performance. Hurdle rate
executive stock options represent a viable improvement. However, valuing these options presents extraordinary analytic difficulties.
With a constant dividend yield the strike price becomes a path-dependent function of the stock price and exact analytic valuation
is intractable. To solve this problem, we apply the Monte Carlo valuation approach developed by Longstaff and Schwartz (Rev
Financ Stud 4:113–147, 2001) to estimate the value of path-dependent American options. We also extend the methodology to incorporate
the theoretical framework by Ingersoll (J Bus 79:453–487, 2006) to permit subjective valuation influenced by an executive’s
risk aversion.
相似文献
Charles Corrado (Corresponding author)Email: |