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1.
In a framework where no uncertainty arises, Arnott (J Publ Econ Theor 7:27–50, 2005) investigates a neutral property taxation policy that will not affect a landowner’s choices of capital intensity and timing
of development. We investigate the same issue, but allow rents on structures to be stochastic over time. We assume that a
regulator implements taxation on capital, vacant land, and post-development property so as to expropriate a certain ratio
of pre-tax site value as well as to achieve neutrality. We find that the optimal taxation policy is to tax capital and subsidize
properties before and after development. We also investigate how this optimal policy changes in response to changes in several
exogenous forces related to demand and supply conditions of the real estate market.
相似文献
Tan Lee (Corresponding author)Email: |
2.
Asset Price Spillover,Collateral and Crises: with an Application to Property Market Policy 总被引:1,自引:0,他引:1
Nan-Kuang Chen Charles Ka Yui Leung 《The Journal of Real Estate Finance and Economics》2008,37(4):351-385
This paper studies the impact of land supply elasticity and land use regulation. For sufficiently adverse shocks constrained
entrepreneurs liquidate their assets for debt repayment. This effect can spillover to the residential property market. A crisis
occurs when households are forced to default on their mortgages as well. While both converting costs and land use regulation
tend to magnify the effect of adverse shock, the former generates an asymmetric effect between a positive and a negative shock
on the land market, and the latter tends to raise the likelihood of a crisis, by raising the threshold value of liquidation.
相似文献
Charles Ka Yui LeungEmail: |
3.
Richard J. Buttimer Jr. Steven P. Clark Steven H. Ott 《The Journal of Real Estate Finance and Economics》2008,36(1):81-102
We model and examine the financial aspects of the land development process incorporating the industry practice of preselling
lots to builders through the use of option contracts as a risk management technique. Using contingent claims valuation, we
are able to determine endogenously the land value, presale option value, credits spreads and the effects of presales on debt
pricing and equity expected returns. We show that using presales options effectively shift market risk from the land developer
to the builder. Results from the model are consistent with the high rates of return on equity observed in empirical surveys;
they also suggest that developers may be justified in pursuing projects with substantially lower expected returns to equity
when a large number of lots can be presold. Additionally, we show that presales reduce default risk dramatically for leveraged
projects and can support a considerable reduction in the cost of construction financing. Large debt risk premiums are justified
for highly levered projects, which helps explain the use of mezzanine financing in the land development industry to reduce
expected default costs.
相似文献
Steven H. OttEmail: |
4.
Why do firms repurchase stock to acquire another firm? 总被引:1,自引:0,他引:1
Robin S. Wilber 《Review of Quantitative Finance and Accounting》2007,29(2):155-172
This study investigates firms that repurchase their stock to finance an acquisition. Since research shows that cash-financed
acquisitions perform better than stock-financed acquisitions, why do firms that have available cash initiate the extra transactional
step. I find these firms are well compensated for their efforts, especially in the long run. On average, these firms have
negative abnormal returns prior to their repurchase announcements and thus may choose repurchasing to signal undervaluation.
Furthermore, the stock acquisition step allows these firms to share risk, counteract the negative effects of dilution, and
enjoy a tax advantage for their efforts.
相似文献
Robin S. WilberEmail: |
5.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
6.
Shinhua Liu 《Journal of Financial Services Research》2007,32(3):161-176
This study examines the effect of transaction costs on the time series behavior of stock returns over a period surrounding
the April 1989 changes in tax rates on securities transactions and capital gains in Japan. We find significant decreases in
estimates of the first-order autocorrelation in returns for Japanese stocks listed in Japan, but no changes for Japanese stocks
dually listed in the United States as American Depository Receipts (ADRs), which were not subject to the tax law change. We
also find lower price basis between the ADRs and their underlying Japanese stocks. These results are consistent with the hypothesis
that a reduction in transaction costs improves the efficiency of the price discovery process.
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.
Peter F. Colwell Carolyn A. Dehring Geoffrey K. Turnbull 《The Journal of Real Estate Finance and Economics》2008,37(1):1-20
Changing demographics, growing real incomes, and friendly tax laws underlie the continuing growth in demand for recreational
real estate in the US. The market for recreational property has undergone a major transformation over the past decades, with
the refinement and deepening of markets for partial property ownership vehicles. This paper represents the first to analyze
the factors underlying the demand for partial ownership interests. It develops a theory of partial ownership demand that focuses
on the roles of familiarity and location-specific human capital in mediating the consumption uncertainty associated with particular
recreation locations. Using private data from a survey of partial ownership participants, the empirical analysis yields results
consistent with the theory: factors associated with greater site-specific recreation price, like distance between the primary
residence and the recreation site and frequency of visits per week, reduce the share of ownership demanded, while factors
associated with lower consumption risk tend to increase the share of ownership demanded.
相似文献
Carolyn A. DehringEmail: |
9.
The effect of accessibility upon rent is investigated for office properties located in Downtown Stockholm. Starting from the
firm’s cost minimization problem, a translog hedonic model is derived. The results suggest the model has good predictive power
in explaining the variation in the log of the rent. A negative rent gradient is obtained with a base approximately 90 m from
the postulated focal point. It appears as if Space Syntax adds important information to the understanding of the intraurban
office rent pattern.
相似文献
Olof NetzellEmail: |
10.
Valuation of loss firms in a knowledge-based economy 总被引:2,自引:0,他引:2
Recent research in accounting has documented a substantial increase in the number of loss firms. Existing theories on the
valuation of loss firms are based on adaptation/abandonment options or limited liability, assuming that these firms are operationally
distressed. In this paper, we show that many loss firms do not fit this stereotype and identify the primary value drivers
of this new type of loss firms. Our analysis helps resolve the puzzling negative relation between earnings and market value
documented in prior research. Overall, our findings underscore the importance of “hidden assets” or intangibles in the study
of loss firms.
相似文献
Jianming YeEmail: |
11.
Pricing Structure in Tokyo Metropolitan Land Markets and its Structural Changes: Pre-bubble,Bubble, and Post-bubble Periods 总被引:1,自引:0,他引:1
Chihiro Shimizu Kiyohiko G. Nishimura 《The Journal of Real Estate Finance and Economics》2007,35(4):475-496
In this paper, we estimate hedonic price equations of Japanese commercial and residential land prices for a 25-year period
and to investigate possible structural changes in these price equations. Our price equations are based on transaction prices,
not appraised land values, of commercial land in Central Business Districts of Tokyo (Chiyoda Ward, Chuo Ward, and Minato
Ward), and residential land of its suburb (Setagaya Ward). We find that price structure differs substantially among locations,
reflecting differences in supplier pricing and end-user preferences. We also find significant structural changes in price
structure, identifying pre-bubble, bubble and post-bubble periods.
相似文献
Chihiro ShimizuEmail: |
12.
Using the representative agent approach as in Kaplow (Am Econ Rev 82:1013–1017, 1992b), this paper shows that providing tax
deductions for the individual’s net losses is socially optimal when the insurer faces the risk of insolvency. We further show
that the government should adopt a higher tax deduction rate for net losses when the insurer is insolvent than when the insurer
is solvent. Thus, tax deductions for net losses could be used to provide an insurance for individuals against the insurer’s
risk of insolvency. These findings could also be used to explain why a government provides supplementary public insurance
or government relief. Finally, we discuss that, if the individuals are heterogeneous in terms of loss severity, loss probability,
or income level, providing a tax deduction for the individual’s net losses may not always achieve a Pareto improvement, and
cross subsidization should be taken into consideration.
相似文献
Larry Y. TzengEmail: |
13.
Louis T. W. Cheng Hung-Gay Fung Tak Yan Leung 《Review of Quantitative Finance and Accounting》2007,28(1):23-54
The literature has suggested that earnings and earnings forecasts provide stronger signals than dividends about future performance
of a firm. We test the information effects of simultaneous announcement of earnings and dividends in the Hong Kong market,
distinguished by three interesting features (concentrated family-shareholdings, low corporate transparency, and no tax on
dividends). Our results show significant share price reactions to unexpected earnings and dividend changes, but dividends
appear to play a dominant role over earnings in pricing, a result contrary to findings in the literature. The signaling hypothesis
works primarily for firms with earning increases, while the maturity hypothesis works mainly for firms with earnings declines.
相似文献
Tak Yan LeungEmail: |
14.
Jaroslaw Morawski Heinz Rehkugler Roland Füss 《Financial Markets and Portfolio Management》2008,22(2):101-126
This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as
equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate
correlation structures and cointegration relationships of private and public real estate and equity markets for the United
States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market
with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized
real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.
相似文献
Roland FüssEmail: |
15.
J. D. Benjamin P. Chinloy G. D. Jud D. T. Winkler 《The Journal of Real Estate Finance and Economics》2007,35(1):95-110
The decision to work and its levels of intensity are estimated for the real estate brokerage industry where workers can set
their own hours. A three-stage model of the brokerage labor market is presented with decisions made recursively between full-
and part-time status, wage offers and hours worked. The application is to data from a cross-sectional survey of 6,842 real
estate licensees in the United States for 1999. Conditional on self-selection, an expected wage for real estate licensees
is estimated given skills and personal characteristics. That expected wage enters the supply-side equation for the number
of hours worked. The findings indicate that skills such as education, experience and licensee status are related to higher
wages, but there is a negative self-selection in wages: part-time workers have higher unmeasured skills. Schooling and experience
decreases hours worked, consistent with increasing efficiency. The resulting labor supply elasticity with respect to the wage
is 0.24.
相似文献
D. T. WinklerEmail: |
16.
Bhavish Jugurnath Mark Stewart Robert Brooks 《Review of Quantitative Finance and Accounting》2008,31(2):209-224
In recent times a number of countries have initiated some important tax reforms to eliminate the distortions of double taxation.
In this context, Australia adopted a dividend imputation system in 1987, while the US employed the 1986 Tax Reform Act (TRA).
The analysis in this paper examines the effects on the level of corporate capital investment, on proxies for corporate tax
rates, financial leverage, liquidity, capital intensity and firm size after controlling for the tax reforms. The empirical
results provide evidence that: (1) dividend imputation as introduced in Australia is an effective way to reduce the distortions
caused by the traditional system of taxation. (2) Compared with the TRA, dividend imputation has been better able to positively
stimulate corporate capital investment. (3) TRA effect on corporate investment is more pronounced in the US for firms having
a net operating loss. (4) Individual tax rates play a role in corporate investment decisions in both the US and Australia.
相似文献
Mark StewartEmail: |
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.
Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(2):93-111
This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage
backed securities (CMBS) loan history database. Standard survival models assume that eventually every observation will experience
the event. However, often there is a high proportion of censored observation in the sample. A mixture model is proposed to
disentangle the probability of “long-term survivorship” and the timing of default occurrence. Loans within the same geographical
area and property type tend to exhibit correlation in default incidence. A multilevel model is proposed to capture this correlation
within and between clusters.
相似文献
Yildiray YildirimEmail: |
19.
Young-Soo Choi Stephen Lin Martin Walker Steven Young 《Review of Accounting Studies》2007,12(4):595-622
We examine disagreement between management and Thomson Datastream over the persistence of earnings components. Using income
statement and footnote disclosures, we identify the source and properties of disputed items. Disagreements typically reflect
opaque reporting practices (for example, in the case of transitory operating items) and restrictive classification rules (for
example, in the case of discontinued operations). Incremental and relative value relevance tests suggest that the majority
of management-specific adjustments reflect appropriate classification of earnings components by insiders. Nevertheless, evidence
consistent with strategic disclosure does emerge for a subset of management adjustments.
相似文献
Steven YoungEmail: |
20.
Lili Xie 《Journal of Financial Services Research》2007,32(3):177-202
This paper studies the relationship between universal banking and firm performance. With 40 developing and developed countries,
I find that the overall effect of universal banking on firm growth is negative. This suggests that the negative effect of
conflicts of interest dominates the positive effect of economies of scale and scope in universal banking. However, in countries
with stronger protection of creditors’ rights and higher information efficiency, conflicts of interest are less likely and
the negative relationship between universal banking and firm growth is significantly weaker.
相似文献
Lili XieEmail: |