Project Valuation With Time-Varying Cash Flows: A Bayesian Approach

This article investigates the valuation of a project when the distributions of cash flows vary over time. The decision maker is assumed to be a Bayesian decision maker under uncertainty. Using the dynamic programming principle of backward induction and assuming that the capital asset pricing model is valid in each time period, we derive the project's valuation formulas and systematic risks, and investigate their characteristics. Our valuation formulas embed a Bayesian learning effect and differ from the traditional textbook capital budgeting formulas.     

Valuation Bias in Commercial Appraisal: A Transaction Price Feedback Experiment

Experiments were conducted to test the hypothesis that transaction price feedback may bias valuation judgment. Among participating appraisers, evidence of asymmetrical response was found. The group receiving transaction feedback indicating that current judgments were "too low" responded with judgments in subsequent, unrelated valuations that were significantly higher than the group that received no feedback. The response from "too high" feedback was in the expected direction (lower value judgments) but was not significant. Additionally, valuation dispersion of around 10% revealed in these experiments is consistent with studies of valuation variability and may reflect an upper bound of typical commercial appraisal dispersion.     

A Long Run House Price Index: The Herengracht Index, 1628–1973

This article introduces a biennial historic index of real estate values for the period 1628 through 1973. This index is based on the transactions of the buildings on the Herengracht, one of the canals in Amsterdam. Since its development, the quality of the buildings on this canal has been on a constant, high level, which makes the Herengracht a unique sample to base a long run house price index upon. The index is a hedonic repeated-measures index and is estimated in real terms. An index is also constructed in nominal terms. The average real price increase after World War II is about 3.2% per annum. Nevertheless, the real value of the index in 1973 is only twice as high as it was in 1628.     

A Varying Parameters Approach to Constructing House Price Indexes

Conventional housing price index models assume interperiodparameter stability and typically employ either repeat sales or hedonic methodologies. This paper introduces a method of index construction that combines multiple sales observations with single sale transactions while permitting characteristics prices from hedonic regressions to vary over time. A test for interperiod parameter stability is provided. Each period's data are arranged by location and repeat sales are matched by rows. This construction allows greater use of sample information and acknowledges the unique contribution of repeat sales to the estimation process. It also produces intertemporal error correlations that can be beneficially exploited by the seemingly unrelated regressions (SUH) technique. The paper also demonstrates a significance test for error correlation and discusses the treatment of unequal numbers of observations among index periods.     

CPI中采用使用者成本法测算自有住房消费的几个问题

在使用者成本法的基本公式及相关折旧模型的基础上,进一步讨论了采用使用者成本法测算自有住房消费的几个问题。文章首先讨论了使用者成本法与购得法之间的关系,进而探讨了这两种方法导致不同的住房消费量的情况;其次,介绍了如何使用折旧率处理住房的唯一性问题;最后,讨论了使用者成本法中对自有住房作为房屋和土地的复合品的处理方法。     

Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach

This paper analyzes the returns of a sample of Real Estate Investment Trusts and examines their risk-adjusted performance using both single index (i.e., CAPM) and multiple index (i.e., APT) models. It is shown that while the performance rankings of the investment trusts are not very sensitive to the risk-adjustment model, the actual performance measures do sometimes differ substantially. Unfortunately, because of the high volatility of these real estate investments, the differences in investment performance across trusts generally are not statistically significant.     

Price and quantity experimentation: A synthesis

This paper compares experimentation about product differentiation in a linear setting under four market structures: quantity-setting and price-setting monopoly, Cournot and Bertrand duopoly. Quantity-setting firms always experiment by raising their quantities and the monopolist experiments relatively more than the duopolists. A price-setting monopolist does not experiment. The value of information to Bertrand duopolists may be positive or negative depending on the degree of product differentiation. When information is valuable, price-setting duopolists experiment by lowering prices. A numerical example indicates that the intensity of experimentation is higher in a Cournot duopoly than in a Bertrand duopoly.     

Commuting and Congestion: A Simulation Model of a Decentralized Metropolitan Area

In this paper, a simulation model of commuting behavior in a metropolitan area with decentralized employment and congestion is developed. The model is used to explore the linkage between the dispersed land use patterns in U.S. cities and long commuting journeys which cause congestion and air pollution. The results show that increasing the number of suburban subcenters in a metropolitan area could reduce commuting by 15% to 50%. However, only about one quarter of total urban travel is for commuting. Therefore the reduction in total urban travel that could be expected to result from even drastic policy measures to decentralize employment would probably be low—perhaps as small as 5%. Data are also presented giving private versus social costs of commuting per mile in central cities and suburbs.     

Product Quality as a Formative Index: Evaluating an Alternative Measurement Approach*

Product quality is a critical competitive issue when launching new products. However, the product quality construct has been measured inconsistently in prior research, with researchers often not considering multiple components of quality. Thus, results may not be comparable across studies, and when dimensions of quality are excluded, relationships found between quality and other constructs may be spurious. As a response, we develop a formative measurement approach to product quality. The components of product quality are not interchangeable in measurement as typical reflective approaches assume. These dimensions make up the quality construct, necessitating a formative measurement approach. Here, this approach is developed and tested, compared with the traditional reflective approach, and its relationships with other constructs evaluated in a model of new product performance. Overall, this formative approach is shown both to be theoretically appropriate and to possess strong measurement properties. This approach has clear implications for research concerning product quality and improving its measurement in the future.     

A New Approach for Evaluation of Variance of Construction Project when no Existing Relevant Rate or Price

成本加利润原则已成为监理人确定“无适用或类似子目单价”的工程变更项目综合单价的主要原则,然而这种估价方法并未考虑承包商投标报价时自愿承担的风险,致使变更导致调价发生时承包商提出按照变更发生时市场价和定额价进行估价,从而将投标报价时承包商自愿承担的风险转移至业主方.通过对项目招标控制价和承包商投标报价的关系进行分析,提出量化承包人投标报价时承担风险的方法,即让利率的确定,并结合案例对“无适用或类似子目单价”的工程变更项目综合单价的确定方法进行了详细介绍.     

Price policies and the SAM: A wheat-maize comparison

This article examines the historical development of Mexico's foodgrain policies and the events that led to the Sistema Allmenticio Mexicano (SAM). Government investment and support price policies are compared for the commercial and smallholder grain sectors. Analysis centres on the relatively favourable wheat policies, in contrast to those for maize. The prospects for success in developing the long-ignored peasant sector through SAM are assessed in the light of these past policies. It is concluded that, without profound structural change in Mexico's grain sectors, it will be consumers and commercial growers who will benefit most from SAM.     

Renegotiation of Concession Contracts: A Theoretical Approach

We construct a regulation model in which renegotiation occurs due to the imperfect enforcement of concession contracts. This enables us to provide theoretical predictions for the impact, on the probability of renegotiation of a concession, of regulatory policy, institutional features, economic shocks and of several characteristics of the concession contracts themselves.     

Resale Price Maintenance Post Leegin: A Model of RPM Incentives

The prominent Babies R Us decision (McDonough et al. v. Toys R Us, Inc., 2009) was the first to explore the economic consequences of resale price maintenance after the Supreme Court’s Leegin decision. Previously, litigation concerned the presence or absence of an agreement; but that changed with the new jurisprudence which instead emphasized the restraint’s direct anti-competitive effects. While the district court’s decision in the Babies R Us case rested on the factual circumstances of the case, it did not have before it an economic model through which those facts could be integrated. This paper offers such a model, the predicates of which are drawn from the case. The conclusions derived from the model are entirely consistent with the court’s decision     

Mortgage Prepayment and Default Decisions: A Poisson Regression Approach

This paper uses an extensive and geographically dispersed sample of single-family fixed rate mortgages to assess the prepayment and default behavior of individual homeowners. We make use of Poisson regression to efficiently estimate the parameters of a proportional hazards model for prepayment and default decisions. Poisson regression for grouped survival data has several advantages over partial likelihood methods. First, when dealing with time-dependent covar-iates, it is considerably more efficient in terms of computations. Second, it is possible to estimate full-hazard models which include, for example, functions of time as well as multiple time scales (i.e., age of the loan and calendar time), in a much more straightforward manner than partial likelihood methods for un-grouped data. Third, Poisson regression can be used to estimate non-proportional hazards models such as additive excess risk specifications. Taken together, our data and estimation methodology allow us to obtain a better understanding of the economic factors underlying prepayment and default decisions.     

Market Power and/or Efficiency: A Structural Approach

This article separates oligopoly-power and cost-efficiency effects ofchanges in industrial concentration and assesses their impact on output prices in 32 food-processing industries. Empirical results indicate that although concentration inducescost efficiency in one-third of the industries, oligopoly-power effects either dominate cost efficiencyor reinforce inefficiency, resulting in higher output prices in most industries. The articlealso provides fresh econometric estimates of oligopoly power and economies of size for the industriesin question.     

Firms' Growth,Size and Age: A Nonparametric Approach

This paper offers empirical evidence of firm failurerates as well as the mean of the distribution ofrealized growth rates, distinguishing between thesample of non-failing firms and the sample of allfirms, failing and non-failing. Attention is directedat identifying a set of characteristics, in particularthe size and age of firms, systematically related tothe patterns of firm growth and exit, using a panel ofSpanish manufacturing firms. The two maincontributions of the paper are the use ofnonparametric techniques and the analysis of issuesignored in other studies like theregression-to-the-mean bias and the measurement oflearning effects. We find evidence that failure ratesand the mean growth rate of successful firms declinewith size and age. When failing firms are integrated,there are no significant differences in the meangrowth rate across the age and size of firms.Regression-to-the-mean does not prove to be asubstantial factor behind the negative relationshipbetween size and growth of surviving firms.     

差别化竞争战略与服务增强的内在机理

国内外许多研究者都观察到了制造企业中服务收入占营业收入的比重越来越高、服务的利润贡献越来越大，这一现象即“服务增强”。本文首先将产品界定为既包括有形实体，也包括无形服务的完全产品，然后构造了一个完全信息动态博弈模型来研究这一现象。我们发现，厂商实施服务延伸实体产品差别化的竞争战略，必然导致服务增强的结果，同时，增进厂商利润与消费者总剩余。这一结论，为我国企业通过服务差别化来谋求在全球市场上的可持续竞争优势提供了理论根据。     

Estimating Homeownership Costs: Owners' Estimates of Implicit Rents and the Relative Importance of Rental Equivalence in the Consumer Price Index

This paper discusses the relative importance of Rental Equivalence (REQ) in the U.S. Consumer Price Index. A hedonic model of rents is estimated, and the resulting parameters are then used to compare hedonic estimates of implicit rents to homeowner estimates like those actually used to estimate the REQ expenditure weight. There are several reasons why hedonic estimates might be below actual implicit rents, and these effects are controlled for in the model. Owner estimates of implicit rents are then shown to be comparable to such hedonic estimates. Results support the method used to estimate the expenditure weight.     

Estimating Returns on Commercial Real Estate: A New Methodology Using Latent-Variable Models

Despite their widespreao use as benchmarks of U.S. commercial real estate returns, indexes produced by the National Council of Real Estate Investment Fiduciaries (NCREIF) are subject to measurement problems that severely impair their ability to capture the true risk–return characteristics–especially volatility–of privately held commercial real estate. We utilize latent-variable statistical methods to estimate an alternative index of privately held (unsecuritized) commercial real estate returns. Latent-variable methods have been extensively applied in the behavioral sciences and, more recently, in finance and economics. Unlike factor analysis or other unconditional statistical approaches, latent variable models allow us to extract interpretable common information about unobserved private real estate returns using the information contained in various competing measures of returns that are measured with error. We find that our latent-variable real estate return series is approximately twice as volatile as the aggregate NCREIF total return index, but less than half as volatile as the NAREIT equity index. Overall, our results strongly support the use of latent-variable statistical models in the construction of return series for commercial real estate.