Refining the real estate pricing model

Investment theory dictates that capitalisation (cap) rates for freehold real estate should be determined by the risk-free nominal rate of return plus the risk premium (RP) less the expected growth rate, with an allowance for depreciation. However, importing the concept of the RP from the capital markets fails to guide investors through the complexities of the asset, or enable exploration of purchaser preferences and behaviour. A refined pricing model for real estate is proposed, based on a concept termed a risk scale, to distinguish between macro (market) and micro (stock) determinants of risk and growth within the RP. This pricing model is estimated for a major global investment market, using a cross-sectional inter-temporal framework, with a data-set of 497 transactions in the London office sector over 2010 Q2–2012 Q3. Average cap rates are estimated at just over 5%, with asset-specific attributes dominating yield determination, with submarket quality and tenant covenant most important; and unexpired term insignificant, surprising during the ‘flight to safety’ characterising the period. International investors bought at lower cap rates, despite the ongoing economic and financial instability of the study period. Improving understanding of pricing behaviour and market transparency is important and may be advanced through the pricing model.     

The role of macro-economic indicators in explaining direct commercial real estate returns: evidence from South Africa

This study investigates the role of macro-economic indicators in explaining direct real estate returns in South Africa (SA). Literature review is conducted to identify factors that drive direct commercial real returns and the identified drivers are tested in an emerging market. The study applies SA annual commercial real estate returns including total returns, rental growth and capital growth published by the Investment Property Databank (IPD) over the past 20 years, from 1995 to 2014, as an independent variable. The most dominant and significant factors that explain total returns across all property types and provinces in South Africa are GDP, unemployment rates and interest rates which are macro-economic indicators. Our study finds key differences between the determinants of total return and change in capital values which are different from the variables which determine rental growth – the results also highlight the heterogeneity and complexity of real estate returns. These results are important for asset managers as well as government regulatory agencies to make better informed decisions in relation to factors which affect direct real estate returns in an emerging economy.     

Do ‘foreigners’ pay more? The effects of investor type and nationality on office transaction prices in New York City

Are commercial real estate prices in metropolitan New York affected by the type or nationality of the investors involved in a transaction? Previous research has highlighted differences in pricing between in-state and out-of-state investors and between different types of investors, but there are few extant studies that consider the influence of nationality on pricing at a micro-level. Foreign investors might pay more than domestic investors for commercial real estate assets because of a lack of information or experience in the market concerned. However, they might use local partners or brokers to mitigate such problems. To explore these issues, we use data provided by Real Capital Analytics on over 3000 office transactions in the New York metro area from 2001 to 2015. We use hedonic regression techniques and propensity score matching to examine whether pricing differs across investor groups after controlling for asset attributes. We find that foreign investors pay more than domestic investors at acquisition, but receive more when selling assets. Tests suggest that it is unmeasured aspects of quality that explain any apparent overpayment for offices in this location, not information issues.     

United Kingdom residential price expectations and inflation

Summary

Investment in residential real estate provides both a durable and non‐durable asset which is eroded by inflation. Fisher hypothesized that if man had perfect foresight he would adjust the interest rate to counterbalance the effect of changes in inflation. Although performing creditably in the long run, residential property does not respond instantaneously or regularly to changes in the level of inflation in most places.     

The 4% rule: Does real estate make a difference?

This paper examines the wealth maximisation and preservation effects of including commercial real estate in retirement-phase portfolio management. Prior research addresses the role of real estate during the wealth-accumulation phase of the investor lifecycle; however, little is known about the contribution of real estate during the invest-and-spend, or decumulation, phase. To address this issue, we estimate short-fall risk based on the widely known 4% Rule. We use pricing data for multiple asset classes and simulation techniques, combined with a robust correlation structure, to examine: short-fall risk sensitivity to alternative spending rules; the impact of public vs. private real estate allocations; wealth preservation as an investment objective; and the effect of real estate on upside, or wealth maximisation, potential. We find short-fall risk in a decumulation portfolio decreases with substantial allocations to real estate. This result holds for a portfolio including either public or private real estate. Additionally, and under most conditions, the best performing decumulation-phase portfolios include a real estate allocation with both public and private real estate exposure. These results have significant implications for investors, whether they be retirees, plan administrators or endowments, as well as financial economists studying the lifecycle of investment decisions.     

不动产抵押贷款证券化探讨

由于各种原因,我国的信贷资产证券化还没有发展起来,但随着房地产业日益成为国民经济支柱产业和资本市场的发展,不动产信贷资产证券化有望成为我国证券市场的突破口。文章介绍了不动产信贷证券化的基本原理;进而分析了我国实行不动产证券化的必要性;最后就在我国实行不动产证券化的机制完善和制度创新提出了五点建议。     

Two centuries of farmland prices in England

The dissemination of robust asset price data can help improve market efficiency, resource allocation and investment analysis. Land prices influence housing affordability, food security and the carbon infrastructure. Yet price and return histories for farmland in England are fragmented. To provide perspective, a long farmland price series is needed to improve transparency and bring the asset class into line with commercial and residential real estate. After reviewing the historical backdrop and considering methodology, this research uses a chain-linking approach to construct a long-term farmland price series for England. It then adjusts the series for inflation to examine real land prices. The resulting two-century English farmland prices series contributes to farmland market analysis. Notwithstanding some concerns with long-run chain component heterogeneity, the combined series helps us to understand English average farmland price dynamics. As measured by the geometric mean, English land price real capital returns have been positive over more than two centuries. Farmland real price growth was 0.33 per cent annually from 1781 to 2013 and 0.71 per cent from 1801 to 2013. The series contributes to an understanding of land price dynamics.     

Evaluating development projects

Summary

Using a case study, it is shown that the competent assessment of real estate development projects entails the use of a broad range of skills and information input ranging from macro‐economic forecasting, assessment of inflation and interest rates; product design to ensure marketability, a review of competing projects and a command of techniques of financial appraisal. The analyses need to be keyed into a corporate framework which takes cognizance of the cost of capital, project specific risk, the management of working capital and an assessment of the effect a proposed project will have on corporate financial performance.     

中国房地产市场弱式有效性的实证研究

研究目的:实证分析中国房地产市场有效性的水平。研究方法:根据萨缪尔森和费马的市场有效性假设对中国房地产市场的有效性进行检验。采用自相关性分析、工具变量法求解联立方程、VAR模型等进行统计检验并对结果进行分析。研究结论:中国房地产市场尚未达到弱式有效。     

房地产市场有效性研究综述

研究目的:综述房地产市场有效性的研究成果。研究方法:文献回顾法、归纳法。研究结论:有效性是市场研究的重要内容。自从市场有效性概念提出后,尤其是Fama将市场有效性分为三类后,关于市场有效性的实证检验渐多。但主要是集中在对金融市场有效性的研究上。国外对房地产市场有效性的研究主要是从投资角度进行的,研究主要集中在两个方面:一是对采用数据的研究;二是对某一市场的有效性进行检验。国内对市场有效性的研究历史很短,主要是运用已有的方法对中国资本市场有效性的研究。对房地产市场有效性的研究,多半将重点放在规范性研究上,主要集中在制度完善和发展趋势的定性研究上,对房地产市场有效性达到什么程度还没有正面的定量研究。     

The Impact of Market Intervention on Quota Mobility: The Case of the Ontario Dairy Industry

We examine the relationship between farm‐level scale efficiency and quota purchases in the Ontario dairy quota market before and after the implementation of a progressive transfer assessment policy and a price cap policy. We find that scale efficiency has a positive effect on net quota purchases and that the two regulations slowed down this effect. The largest deterrent in the movement of quota from less efficient to more efficient producers occurred after the implementation of the capital asset pricing policy. If the capital asset pricing policy remains in effect, it will likely take a longer time to achieve an efficient allocation of quota across producers in the industry. Nous examinons la relation entre l'efficience d'échelle agricole et les achats de quota au sein du marché des quotas laitiers ontariens, avant et après l'implantation d'une politique d'évaluation progressive de transfert, et d'une autre de plafonnement des prix. Nous avançons que l'efficience d'échelle a un effet positif sur les achats nets de quota et que les deux politiques ont freiné cet effet. La plus grande dissuasion au sein du mouvement des quotas de producteurs moins efficients vers ceux qui le sont plus, survient après le plafonnement des prix. Si la politique de plafonnement des prix demeure en vigueur, il faudra attendre encore longtemps avant de réussir une allocation efficiente des quotas parmi les producteurs de l'industrie.     

基于主成分分析和德尔菲法的房地产投资环境综合评价体系

研究目的：选用22个主要省会城市的统计数据,确定合理的房地产投资环境评价指标,构建房地产投资环境综合评价体系。研究方法：主成分分析法和德尔菲法。研究结果：从城市宏观经济、房地产市场、基础设施和区位条件4方面初选房地产投资环境评价指标,利用主成分分析法对样本城市的投资环境优劣进行分析,剔除导致排序结果偏差的指标,避免了评价指标选择的盲目性;采用德尔菲法确定各指标权重,建立房地产投资环境的多指标综合评价公式,以此计算22个城市房地产投资环境的综合得分,其排名符合实际情况。研究结论：所构建的房地产投资环境综合评价体系具有较强的逻辑性,评价方法简洁高效,具有良好的应用价值。     

An examination of the seasonality in industrial real estate construction

Summary

Though some work has been done to identify variables affecting seasonal variation in detached housing, almost nothing has been done to identify the factors affecting seasonal variations in industrial real estate construction. This paper attempts to identify some of these seasonal factors and their influence on industrial real estate construction. A Chow Test shows that there is a significant difference in the relationship between the amount of industrial real estate put in place and specific economic variables.     

Determinants of transaction activity in commercial real estate markets: evidence from European and Asia-Pacific countries

Variations in transaction activity between commercial real estate markets could have important implications for investment strategies and pricing. We consider why turnover rates, a common liquidity proxy, vary between countries and over time. We examine 38 countries in Europe and Asia-Pacific over the period 2000–2014. A conceptual framework is discussed prior to estimation of panel models that use turnover rates as the dependent variable. Our results indicate that the size and wealth of a country, the risk associated with that country and the performance of its commercial real estate market are significant factors that explain transaction activity. The quality of property rights is also an important factor.     

2015年土地科学研究重点进展评述及2016年展望——土地管理领域分报告

研究目的:归纳分析2015年国内外土地管理领域的研究进展,展望研究趋势。研究方法:文献统计法。研究结果:2015年国外土地管理研究侧重于土地利用冲突及应对机制、土地权属效应、土地纠纷解决路径等方面,国内研究更多关注土地制度改革、土地市场管理与调控、不动产统一登记制度、自然资源资产管理、土地政策与法律,以及土地用途管制与耕地保护等方面。研究结论:2015年土地管理领域在土地管理体制机制建设等方面的研究进一步加强,针对改革实践中的热点问题研究比较突出,有价值的基础理论研究尚显薄弱;2016年将重点关注土地管理体制机制创新、农村土地制度改革、不动产统一登记制度、自然资源资产核算及管理体制、土地法学理论与实践等研究。     

房地产项目开发时机与土地闲置问题研究——基于34个大中城市面板数据的检验

研究目的:研究市场不确定性对房地产项目开发时机的影响,检验实物期权的关键假说,为破解土地闲置问题提供政策理论依据。研究方法:计量经济模型。研究结果:(1)市场不确定性每提高1个单位的标准差将使得房地产项目的开工量降低11.54%;(2)M2同比增速提高1个单位标准差,项目的开工量将增加7.20%;3个月央票利率提高1个单位的标准差,项目开工量将下降10.65%。研究结论:(1)市场不确定性的提高会显著延迟项目开发时机,验证了实物期权的关键假说,表明破解土地闲置问题,重在降低房价波动幅度。(2)政策因素对开发商投资决策有重要影响,间接地反映了货币政策对闲置土地调控的有效性。     

回归理性,促进房地产市场平稳健康发展

房地产市场是经济市场和金融市场的重要组成部分,由于房地产产业特征决定房地产市场在国民经济中的地位和作用,是构建和谐社会的重要内容。目前因整个房地产市场已融入经济市场和金融市场,投资性和投机性需求是抬高房价的重要原因,应回归市场理性,采取多种方式促进房地产市场平稳健康发展,达到人人都有房住的目的。     

中国住房市场与土地市场协调性分析——基于协调度模型

房地产是房产与地产的综合体,住房市场与土地市场相互影响相互作用共同推进房地产市场的发展。住房与土地市场化以来,住房价格与土地价格的快速上涨使得人们普遍认为住房市场与土地市场发展不相协调,从而阻碍了房地产市场的健康发展。从采用协调度模型对全国及主要城市住房市场与土地市场的协调状况的评析来看,我国房地产市场与土地市场协调发展中尚存在着房地产市场调控不力,招拍挂制度导致地王频繁出现,地方政府对土地财政过度依赖等问题,亟待促进宏观调控政策的持续性,进一步完善土地出让制度,制定房地产税的区域推广规划。     

辽宁省不动产统一登记面临的土地登记问题与对策研究

土地登记是我国开展最早,覆盖最广的登记工作。规范的土地登记能够为当前不动产统一登记的顺利开展提供制度和信息基础。随着《不动产登记暂行条例》[1]的颁布实施,我国不动产统一登记工作正式进入了实施阶段,但辽宁省的不动产统一登记工作尚未全面启动。因此,根据《不动产登记暂行条例》提出的登记依据、登记机构、登记簿册、信息平台"四统一"的新要求,文章对辽宁省不动产统一登记面临的土地登记存在的问题进行研究。结果表明辽宁省土地登记尚存在部分登记依据不明确、土地登记机构不统一、登记簿的建设有待完善,信息技术水平有待提升的问题,建议从健全登记法规,完善登记业务管理制度,统一技术标准并定期汇总三方面逐步解决。该研究将为辽宁省不动产统一登记工作的顺利实施提供合理化建议,为不动产统一登记工作中的土地登记的规范化提供参考。     

How to Understand High Food Prices

Agricultural price booms are better explained by common factors than by market‐specific factors such as supply shocks. A capital asset pricing model‐type model shows why one should expect this and Granger causality analysis establishes the role of demand growth, monetary expansion and exchange rate movements in explaining price movements over the period since 1971. The demand for grains and oilseeds as biofuel feedstocks has been cited as the main cause of the price rise, but there is little direct evidence for this contention. Instead, index‐based investment in agricultural futures markets is seen as the major channel through which macroeconomic and monetary factors generated the 2007–2008 food price rises.