共查询到20条相似文献,搜索用时 78 毫秒
1.
Pricing futures on geometric indexes: A discrete time approach 总被引:1,自引:0,他引:1
Arie Harel Giora Harpaz Jack Clark Francis 《Review of Quantitative Finance and Accounting》2007,28(3):227-240
Several futures contracts are written against an underlying asset that is a geometric, rather than arithmetic, index. These
contracts include: the US Dollar Index futures, the CRB-17 futures, and the Value Line geometric index futures. Due to the
geometric averaging, the standard cost-of-carry futures pricing formula is improper for pricing these futures contracts. We
assume that asset prices are lognormally distributed, and capital markets are complete. Using the concepts of equivalent martingale
measure and the risk-neutral valuation relationships in conjunction with discrete time methodology, we derive closed-form
pricing formulas for these contracts. Our pricing formulas are consistent with the ones obtained via a continuous time paradigm.
相似文献
Jack Clark FrancisEmail: |
2.
Mark Bertus Harris Hollans Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,37(3):265-279
Until the recent introduction of real estate futures on the Chicago Mercantile Exchange (CME), there have been few opportunities
to manage house price risk. This paper examines whether house price risk can be effectively hedged in Las Vegas, one of the
CME contract cities. The analysis considers hedging from the viewpoint of real estate investment groups, mortgage portfolio
investors, builder/developers and individual homeowners. For investment groups and mortgage holders holding a mix of new and
existing home assets, CME futures would have reduced house price risk by more than 88% over the 1994–2006 period. Similarly,
homeowners implicitly hedging price volatility of existing homes also would have fared well over the sample period. However,
builder/developers worried about new home price appreciation would have been much less successful in managing their risk.
One important caveat, minimum variance hedge ratios change over time and may cause hedge performance to suffer.
相似文献
Steve Swidler (Corresponding author)Email: |
3.
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: |
4.
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: |
5.
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: |
6.
Shinhua Liu 《Journal of Financial Services Research》2008,34(1):77-91
Theories predict that launching index futures could affect the price informativeness for the underlying stocks. We test this
hypothesis by taking advantage of the introduction of the Nikkei 225 futures contracts in Singapore on September 3, 1986.
Employing two alternative statistical methods applied to both daily and weekly data, we find that, following the listing of
the index futures, returns become significantly more random and less predictable for the underlying stocks, even after controlling
for concurrent marketwide shifts. These findings suggest improved price informativeness for the underlying stocks, which is
further corroborated by their higher trading volume following the event.
相似文献
Shinhua LiuEmail: |
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.
Hilde E. Patron Kenneth D. Roskelley 《The Journal of Real Estate Finance and Economics》2008,37(4):387-399
We study a two-period bargaining game where buyers and sellers employ real estate agents to help them determine the sales
price of a house. We find that agents are less likely to provide aggressive bargaining advice to their client when they receive
percentage commissions and when they work for the buyer. In addition, we find that agents are less likely to suggest aggressive
bargaining strategies when there is little market competition, the gains to trade are large, in markets where housing values
appreciate slowly, and when dual agency is permitted. More importantly, we show that an agent is more likely to bargain aggressively
and capture a portion of the gains to trade for a client when the house’s sales price is closely related to the agent’s reputation
and future business (referrals).
相似文献
Kenneth D. Roskelley (Corresponding author)Email: |
9.
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: |
10.
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: |
11.
Ruey S. Tsay Yi-Mien Lin Hsiao-Wen Wang 《Review of Quantitative Finance and Accounting》2008,31(4):331-358
The paper uses Ohlson (Contemp Account Res 11:661–687, 1995) and compares the relative predictability of the proposed simultaneous
model for contemporaneous stock price with a traditional single equation model used by the previous studies. The paper also
explores how residual income and value-relevant information affect firms’ equity price. The main results of the paper suggest
that the predictive ability and estimation efficiency of the simultaneous models in explaining contemporaneous stock prices
are better than those of the traditional single models. Moreover, investors will use the value-relevant information beyond
accounting earnings, namely analysts’ earnings forecasts, bankruptcy cost and agency cost, in equity valuation to make decision.
Note particularly, the higher the bankruptcy or agency cost is, the more important the role it plays in equity valuation and,
on average, the higher the accuracy of price prediction is.
相似文献
Hsiao-Wen WangEmail: |
12.
We empirically examine how governance structure affects the design of executive compensation contracts and in particular, the implicit weights of firm performance measures in CEO’s compensation. We find that compensation contracts in firms with higher takeover protection and where the CEO has more influence on governance decisions put more weight on accounting-based measures of performance (return on assets) compared to stock-based performance measures (market returns). In additional tests, we further find that CEO compensation in these firms has lower variance and a higher proportion of cash (versus stock-based) compensation. We further find that CEOs’ incentives (measured as changes in CEO annual wealth which includes expected changes in the value of the CEO’s equity holdings in addition to yearly compensation) do not vary across governance structures. These findings are consistent with CEOs in firms with high takeover protection and where they have more influence on governance negotiating different contracts.
相似文献
Fernando PenalvaEmail: Phone: +34-93-2534200 |
13.
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: |
14.
Szu-Yin Kathy Hung John L. Glascock 《The Journal of Real Estate Finance and Economics》2008,37(1):51-69
This study investigates Real Estate Investment Trusts’ momentum returns in different market states, and explains the momentum
phenomenon with a risk-based dividend growth theory of Johnson (Journal of Finance 57:585–608, 2002). Our results show that
momentum returns of REITs are higher during up markets. This study finds that winners’ dividend/price ratios are higher than
those of losers, and momentum returns are positively correlated with the difference between winners’ and losers’ dividend/price
ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price
ratios of REITs are also higher after 1992, suggesting that a persistent shock to REIT’s dividend/price ratios in 1992 partly
explains REITs’ higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can
be jointly explained by a time-varying factor (market state) and a cross-sectional variance in dividend yields.
相似文献
John L. GlascockEmail: |
15.
Mine Ertugrul Özcan Sezer C. F. Sirmans 《The Journal of Real Estate Finance and Economics》2008,36(1):53-80
This paper studies the determinants of corporate hedging practices in the REIT industry between 1999 and 2001. We find a positive
significant relation between hedging and financial leverage, indicating the financial distress costs motive for using derivatives
in the REIT industry. Using estimates of the Black–Scholes sensitivity of CEO’s stock option portfolios to stock return volatility
and the sensitivity of CEO’s stock and stock option portfolios to stock price, we find evidence to support managerial risk
aversion motive for corporate hedging in the REIT industry. Our results indicate that CEO’s cash compensation and the CEO’s
wealth sensitivity to stock return volatility are significant determinants of derivative use in REITs. We also document a
significant positive relation between institutional ownership and hedging activity. Further, we find that probability of hedging
is related to economies of scale in hedging costs.
相似文献
C. F. SirmansEmail: |
16.
Jacqueline S. Hammersley Linda A. Myers Catherine Shakespeare 《Review of Accounting Studies》2008,13(1):141-165
We examine the stock price reaction to management’s disclosure of internal control weaknesses under §302 of the Sarbanes Oxley
Act and to the characteristics of these weaknesses, controlling for other material announcements in the event window. We find
that some characteristics of the weaknesses—their severity, management’s conclusion regarding the effectiveness of the controls,
their auditability, and the vagueness of the disclosures—are informative. We also find that the information content of internal
control weakness disclosures depends on the severity of the internal control weakness. Moreover, in a sub-sample uncontaminated
by other announcements in the event window, we find negative price reactions to the disclosure of internal control weaknesses
and material weaknesses.
相似文献
Catherine ShakespeareEmail: |
17.
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: |
18.
Existing literature on housing prices is predominantly in a linear framework, and an important question that has not been
addressed is whether housing prices exhibit nonlinearity. We examine Smooth Transition Autoregressive (STAR) model based nonlinear
properties of housing prices over the 1969–2004 period for the entire US and the four regions. Our main findings are (1) housing
price for the entire US and all regions except for the Midwest show non-linearity, (2) the dynamic properties implied by the
nonlinear estimation explain the typical patterns that have characterized each housing market, and (3) results of Granger
causality tests look more plausible in the nonlinear framework where we find stronger evidence of Granger causality from housing
price to employment and also from mortgage rates to housing price.
相似文献
Radha Bhattacharya (Corresponding author)Email: |
19.
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: |
20.
William D. Terando Wayne H. Shaw David B. Smith 《Review of Quantitative Finance and Accounting》2007,29(3):223-240
This paper examines whether investors’ valuations of cash and share-put warrants are influenced by their potential differential
effect on firm solvency. It is motivated by the enactment of SFAS 150, which requires that all contingent put warrant obligations
be classified as balance sheet liabilities regardless of put type. Consistent with the critics of SFAS150, we show that market
participants differentially value cash and share-puts based on their solvency characteristics beyond the firm’s recorded assets
and liabilities. Our results add to existing capital structure literature by suggesting that complex financial instruments
(such as cash and share-puts) be reported separately from each other on a firm’s balance sheet.
相似文献
William D. TerandoEmail: |