The Dividend Pricing Model: New Evidence from the Korean Housing Market

It is generally conceded that dividend pricing models are poor predictors of asset prices. This finding is sometimes attributed to excess volatility or to a dividend process manipulated by firm managers. In this paper, we present rather powerful panel tests of the dividend pricing relation using a unique data set in which dividends are set by market forces independent of managers' preferences. We rely on observations on the market for condominium dwellings in Korea—perhaps the only market in which information on dividends and prices is publicly and continuously available to consumers and investors. We extend the “dividend-price ratio model” to panels of housing returns and rents differentiated by type and location. We find broad support for the dividend pricing model during periods both before and after the Asian Financial Crisis of 1997–1998, suggesting that the market for housing assets in Korea has been remarkably efficient. Previous versions of this paper were presented at the Hong Kong-Singapore International Real Estate Research Symposium, August 2004, Hong Kong and the meeting of the Hong Kong Economic Association, January 2005. We are grateful for the comments of Ashok Bardhan, Yuming Fu, Chinmoy Ghosh, Lok Sang Ho, Charles Ka Yui Leung, Sau Kim Lum and Seow Eng Ong. Son's research was supported by the Konkuk University and Hwang's research was supported by the National University of Singapore.     

Dynamic Relationship between Housing Values and Interest Rates in the Korean Housing Market

The goal of this study is to identify the long-term relationship between housing values and interest rates in the Korean housing market, using the cointegration test and spectral analysis. The result shows a long-term negative (–) equilibrium relationship between housing values and interest rates. Moreover, the Granger causality test for confirming the short-term dynamic relationship between these variables shows one-way causality from interest rate to the growth rate of housing values, while the transfer function model demonstrates concretely the causal structure of this relationship. These findings suggest that the interest rate adjustment policy in the Korean housing market can work very effectively and will contribute to forecasting the growth rate of future housing values. This study was supported from the 2003 Daegu University Research Fund     

Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty

The Journal of Real Estate Finance and Economics - We analyze the role of macroeconomic uncertainty in predicting synchronization in housing price movements across all the United States (US) states...     

Housing Supply: The Other Half of the Market A Note from the Editor

The Journal of Real Estate Finance and Economics -     

Testing the Dividend Discount Model in Housing Markets: the Role of Risk

Tests of the dividend discount model (DDM) applied to housing have studied the trade-off between the capitalization rate (CAP rate) and subsequent house price appreciation. Even allowing for attenuation bias because of actual appreciation does not equal expected appreciation, evidence for the DDM is not strong. This research has included an implicit assumption that risks associated with housing investment are common across housing markets. In addition, many previous tests have used the Bureau of Labor Statistics (BLS) Rent Index to construct the CAP rate although recent research by Ambrose et al. (2015) has questioned this data. The American Housing Survey is used to construct estimates of the CAP rate which is then combined with standard appreciation measures to estimate total return and its variance over time for larger Metropolitan Statistical Areas (MSA) in the U.S. Using statistically constructed estimates of the CAP rate and adding variance in total return to conduct tests of the DDM produces far stronger results than those obtained in previous studies of a cross section of cities in the U.S. But, when the BLS Rent Index is used to measure CAP rates and risk, the results are not consistent with DDM.     

A Reexamination of Housing Price and Household Consumption in China: The Dual Role of Housing Consumption and Housing Investment

It is important to investigate the correlation between housing price and household consumption to gain an understanding of the behavior of the economy and effectively handle the consequences of economic development. In the last two decades, the accumulation of housing wealth by Chinese households has not been effectively transmitted to their final consumption. We discovered that the sustained increase in household wealth and housing-ownership rate in China has been accompanied by a decrease in consumption rate. We also identified a negative correlation between housing price and household consumption for both the homeowners who own one housing unit and those who own two units of housing. We investigated this phenomenon in China both theoretically and empirically by capturing the dual nature of housing as a consumption good and an investment vehicle. We found that the demand for second housing units is motivated by increasing housing consumption demand rather than pure investment needs. To explain the mechanisms that drive household-consumption behavior, we also explored the effects on household consumption of China’s educational system, marriage market and ageing society, as well as future housing-market uncertainty. The implications of government intervention in the housing market are discussed.     

Predicting Downturns in the US Housing Market: A Bayesian Approach

This paper estimates Bayesian Vector Autoregressive (BVAR) models, both spatial and non-spatial (univariate and multivariate), for the twenty largest states of the US economy, using quarterly data over the period 1976:Q1–1994:Q4; and then forecasts one-to-four quarters-ahead real house price growth over the out-of-sample horizon of 1995:Q1–2006:Q4. The forecasts are evaluated by comparing them with those from an unrestricted classical Vector Autoregressive (VAR) model and the corresponding univariate variant of the same. Finally, the models that produce the minimum average Root Mean Square Errors (RMSEs), are used to predict the downturns in the real house price growth over the recent period of 2007:Q1–2008:Q1. The results show that the BVARs, in whatever form they might be, are the best performing models in 19 of the 20 states. Moreover, these models do a fair job in predicting the downturn in 18 of the 19 states.     

一种以房养老的贷款方式 :住房反抵押贷款

反抵押贷款最早起源于美国，在最近几年得到了飞速发展。它是居民以自有产权的住房作为抵押，定期向金融机构取得的主要用于养老费用的贷款。反抵押贷款将不动产转化为流动资产，对于改善老年人的生活质量起到了很大的作用。     

Residential Search and Mobility in a Housing Market Equilibrium Model

In this paper, we propose an equilibrium model for the housing market which provides an explanation for observed housing consumption of households over their lifetimes. The moving behavior of households is described as a stochastic dynamic process in which households moving decisions depend on information which is obtained over time. Households move when the offer exceeds an endogenously determined threshold. On the basis of the households moving behavior, the steady-state distribution of households over the housing stock is obtained. On the supply side of the market, landlords are looking for households to occupy their vacant dwellings. Their strategy is to set rents in a mixed strategy in order to profit from imperfect information. After formulating search behavior of households as well as the behavior of landlords, the market equilibrium is derived. We explore the sensitivity of the equilibrium to changes in the structural parameters.     

A Comparative Analysis of the Market Model and the Multiple-Factor Market Model

This study uses the framework of Patell (1979) to determine whether a multiple-factor market model or a traditional market model is more effective for information content studies of multinational firms. The multiple-factor market model is found to be superior to the traditional market model. Researchers wishing to test for information content for events with long event windows should consider using multiple factor models rather than the traditional market model, as it will increase the power of the test.     

The Role of Soft Information in a Dynamic Contract Setting: Evidence from the Home Equity Credit Market

Credit underwriting is a dynamic process involving multiple interactions between borrower and lender. During this process, lenders have the opportunity to obtain hard and soft information from the borrower. We analyze more than 108,000 home equity loans and lines‐of‐credit applications to study the role of soft and hard information during underwriting. Our data set allows us to distinguish lender actions that are based strictly on hard information from decisions that involve the collection of soft information. Our analysis confirms the importance of soft information and suggests that its use can be effective in reducing overall portfolio credit losses ex post.     

Emerging Market Business Cycles: The Role of Labor Market Frictions

Emerging economies are characterized by higher variability of consumption and real wages relative to output and a strongly countercyclical current account. A small open economy model with search‐matching frictions and countercyclical interest rate shocks can account for these regularities. Search‐matching frictions affect permanent income, and increase future employment uncertainty, heightening workers' incentives to save and generating a greater response of consumption and the current account. The greater consumption response feeds into larger fluctuations in workers' willingness to work, while interest rate shocks lead to variations in firms' willingness to hire; both of these outcomes contribute to highly variable wages.     

个人住房抵押贷款市场的机构组成

本文通过各方资料收集,归纳了构成个人住房抵押贷款业务链的主要环节及其收益和风险特征,介绍了美国个人住房抵押贷款市场的主要参与机构,分析了不同类型的机构在不同业务环节的优势和劣势,以此为我国个人住房抵押贷款市场的业务细分和机构组成提供参考。     

聚焦后奥运楼市

奥运之后的宏观经济形势如何,大部分专家已经取得共识,那就是中国经济将继续高速增长．不会出现其他奥运城市那样的奥运后萧条衰退。不过,随着国家对经济宏观调控的推进,奥运前后中国房地产市场却出现了明显分化,房价由2006年、2007年一边倒的上涨,转化为涨跌互现。2008年6月深圳手房成交面积为283万平米,环比下降30.3％。     

The Impact of TOM on Prices in the US Housing Market

The Journal of Real Estate Finance and Economics - Search theory shows that real property prices and marketing durations are simultaneously determined and positively related. Yet, empirical studies...     

Forecasting Financial Market Volatility Using a Dynamic Topic Model

This study employs big data and text data mining techniques to forecast financial market volatility. We incorporate financial information from online news sources into time series volatility models. We categorize a topic for each news article using time stamps and analyze the chronological evolution of the topic in the set of articles using a dynamic topic model. After calculating a topic score, we develop time series models that incorporate the score to estimate and forecast realized volatility. The results of our empirical analysis suggest that the proposed models can contribute to improving forecasting accuracy.     

Price-volume Correlation in the Housing Market: Causality and Co-movements

Housing market cycles are featured by a positive correlation of prices and trading volume, which is conventionally attributed to a causal relationship between prices and volume. This paper analyzes the housing markets in 114 metropolitan statistical areas in the United States from 1990 to 2002, treats both prices and volume as endogenous variables, and studies whether and how exogenous shocks cause co-movements of prices and volume. At quarterly frequency, we find that, first, both home prices and trading volume are affected by conditions in labor markets, the mortgage market, and the stock market, and the effects differ between markets with low and high supply elasticity. Second, home prices Granger cause trading volume, but the effects are asymmetric—decreases in prices reduce trading volume, and increases in prices have no effect. Third, trading volume also Granger causes home prices, but only in markets with inelastic supply. Finally, we find a statistically significant positive price–volume correlation; which, however, is mainly explained by co-movements of prices and volume caused by exogenous shocks, instead of the Granger causality between prices and volume.     

基于动态Gordon模型的中国股市泡沫研究

本文从关于股市泡沫的争论入手,综合梳理了关于泡沫理论、合理市盈率计算方法以及现值模型的发展脉络,并且利用动态Gordon模型测算了中国股票市场的合理价值以及泡沫程度.