共查询到20条相似文献,搜索用时 46 毫秒
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.
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: |
3.
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: |
4.
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: |
5.
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: |
6.
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: |
7.
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: |
8.
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: |
9.
Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2009,39(1):74-91
This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns.
The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns
are measured by the variations in REITs’ premiums/discounts. This study then investigates the price discovery of REIT prices.
The results indicate that lagged public returns are useful in predicting real returns. In addition, the study documents concurrent
factor exposures for public returns and lagged factor exposures for private returns under a variety of asset pricing models.
Overall, the results are consistent with the notion that public markets are more efficient in processing information.
相似文献
Kevin C. H. ChiangEmail: |
10.
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: |
11.
James B. Kau Donald C. Keenan Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2009,39(2):107-117
This paper uses a structural credit risk model, providing an analytical formula to estimate default probabilities implicit
in commercial mortgage backed security prices. Empirical studies of CMBS default have focused on the probability of default
depending on loan characteristics at the origination and market indices. Recent studies show that unobservable current loan-to-value
(LTV) ratio is a key state variable driving default. We update this variable using Real Estate Investment Trust (REIT) property-type
indices over time. Later, we employ first passage time approach to study CMBS default using implied LTV.
相似文献
Yildiray Yildirim (Corresponding author)Email: |
12.
Sema Bayraktar 《Review of Quantitative Finance and Accounting》2009,32(2):169-195
This article derives international equity pricing relations by taking into account inflationary exchange risk under various
forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed
under three different market structures: segmented, mildly segmented and integrated. It is found that as long as investors
are consuming imported goods, in the presence of market frictions, inflationary exchange risk is an important determinant
of real equity prices. This is the case because inflationary exchange rate affects the real purchasing power of investors.
相似文献
Sema BayraktarEmail: |
13.
Paul K. Asabere Forrest E. Huffman 《The Journal of Real Estate Finance and Economics》2009,38(4):408-419
This study examines the impacts of trails and greenbelts and other amenities on home value. Using the hedonic framework the
study provides analyses of a database consisting of roughly 10,000 sales of homes occurring from April 2001 to March 2002
in and around San Antonio, Bexar County, Texas. Among other things, our study shows that trails, greenbelts, and trails with
greenbelts (or greenways) are associated with roughly 2, 4, and 5%, price premiums, respectively. The following amenities:
proximity to golf course, neighborhood playground, tennis court, neighborhood pool, view, and cul-de-sac, all add significantly
to home value.
相似文献
Forrest E. HuffmanEmail: |
14.
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: |
15.
This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility
by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike
stock index options such as the S&P 100 index options in the US market, the S&P/ASX 200 index options are traded infrequently
and in low volumes, and have a long maturity cycle. Thus an errors-in-variables problem for measurement of implied volatility
is more likely to exist. After accounting for this problem by instrumental variable method, it is found that both call and
put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover, implied
call volatility is nearly an unbiased forecast of future volatility.
相似文献
Steven LiEmail: |
16.
Oliver Kim Steve C. Lim Taewoo Park 《Review of Quantitative Finance and Accounting》2009,32(2):145-168
In this paper we examine how sales affect earnings and in turn the stock price using a model in which sales contribute to
earnings by a fixed sales margin rate and the stock price responds more sensitively to sales-induced earnings than to non-sales-induced
earnings. We report that the regression coefficient of the sales margin (2.54) is about three times the earnings response
coefficient (0.85) for the full sample and can be as high as 19 times the earnings response coefficient for an industry (i.e.,
11.95 vs. 0.62 for restaurants). We contribute to the literature by identifying and documenting factors that make separating
out the sources of earnings more important in equity pricing.
相似文献
Taewoo ParkEmail: |
17.
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: |
18.
This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
相似文献
Louis T. W. ChengEmail: |
19.
Antonio Díaz 《Journal of Financial Services Research》2009,36(1):45-63
I analyze implicit transaction costs of trading government debt securities on the Spanish stock exchanges (SE) electronic
trading system. The SE’s multilateral system is used mainly as an outlet for retail investors to liquidate Treasury accounts
positions before maturity. I compare identical Treasury security trades on the same day in two different markets: the SE and
the interdealer market. By analyzing these yield spreads I learn more about the behavior of the markdowns included in the
retail prices from the institutional prices. I find evidence that these yield premia depend on traditional features to explain
wholesale market liquidity premia.
相似文献
Antonio DíazEmail: |
20.
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: |