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1.
Fabrice Barthélémy Jean-Luc Prigent 《The Journal of Real Estate Finance and Economics》2009,38(1):59-87
This paper examines the properties of optimal times to sell a diversified real estate portfolio. The portfolio value is supposed
to be the sum of the discounted free cash flows and the discounted terminal value (the discounted selling price). According
to Baroni et al. (Journal of Property Investment and Finance 25(6):603–625, 2007b), we assume that the terminal value corresponds to the real estate index. The optimization problem corresponds to the maximization
of a quasi-linear utility function. We consider three cases. The first one assumes that the investor knows the probability
distribution of the real estate index. However, at the initial time, he has to choose one deterministic optimal time to sell.
The second one considers an investor who is perfectly informed about the market dynamics. Whatever the random event that generates
the path, he knows the entire path from the beginning. Then, given the realization of the random variable, the path is deterministic
for this investor. Therefore, at the initial time, he can determine the optimal time to sell for each path of the index. Finally,
the last case is devoted to the analysis of the intertemporal optimization, based on the American option approach. We compute
the optimal solution for each of these three cases and compare their properties. The comparison is also made with the buy-and-hold
strategy.
相似文献
Jean-Luc PrigentEmail: |
2.
We examine Initial Public Offerings (IPOs) of Real Estate Investment Trusts (REITs) that went public between 1986 and 2004.
Consistent with previous studies, we find that REIT IPOs are associated with lower levels of underpricing relative to traditional
issues. We also find that REITs are associated with smaller file price revisions. Both findings are potentially attributable
to the lower level of uncertainty associated with pricing REITs. In contrast, using an alternative measure of issuance costs
that incorporates the share retention decision by preexisting owners, we find no significant difference between REIT and non-REIT
issues, suggesting the results of previous studies are not robust to various specifications of issuance cost and that preexisting
owners do not necessarily benefit from the lower level of underpricing. Additionally, we find no difference in the issuance
costs of equity versus mortgage REITs, particularly once we control for the use of umbrella partnerships.
相似文献
Mark K. PylesEmail: |
3.
我国房地产融资主要来自商业银行,融资结构与渠道亟待破局。为撬动民间资本,调整房地产融资结构,降低金融机构的信贷风险并拓宽投资者理财渠道,对我国在当前法律制度环境下推行REITs进行可行性分析,并从REITs专项与配套立法、组织结构模式、操作运行模式以及投资报酬设计等几个方面提出我国REITS发展的建设性的意见和建议。 相似文献
4.
近年来,我国外资房地产行业发展迅猛,加强对其的税收征管与检查尤显重要。本文从所得税稽查的角度出发,对外资房地产企业存在的主要问题和相应的检查思路进行了剖析点评,并就日常征管中如何掌握基础数据、进行实地检查、保证及时结算、加强发票管理和完善政策规定等提出了建议。 相似文献
5.
物业税开征的先决条件之一:房地产产权制度的改革与完善 总被引:1,自引:0,他引:1
明晰的房地产产权关系以及相应完善的管理制度是开征物业税不可缺少的重要条件。本文探讨了物业税与房地产产权管理的一般关系,针对我国房地产产权管理现状存在的问题,提出了开展房地产产权登记普查、逐步统一城乡房地产产权管理制度等政策建议。 相似文献
6.
本文认为,我国目前房地产市场环境与日本20世纪七八十年代面临的环境有颇多相似之处,因而日本房地产税制改革的经验对我国有很好的启示作用。第二次世界大战后日本房地产税收政策先后进行了7次较大的改革和调整,文章对此进行了较详细的梳理,并评价了其政策效应,以期为我国充分运用财税政策,加大房地产市场宏观调控力度,提供借鉴和思路。 相似文献
7.
物业税属于房地产保有阶段课征的税种。本文对境外房地产保有阶段税制及税基进行了比较,分析了物业税税基评估的特点和种类,并对房地产税基评估中遇到的问题进行了梳理,提出了我国未来物业税税基评估可能遇到的问题的解决途径。 相似文献
8.
本文考察了信贷扩张和房地产业快速发展背景下,房地产投资对制造业部门资源配置效率的影响。综合使用中国工业企业数据、城市统计年鉴数据和城镇住户调查数据,本文发现城市房地产投资的增加导致制造业部门资源配置效率显著下降。国有企业以较低成本获取信贷资金,并大量用于房地产投资,是导致信贷扩张背景下制造业资源配置效率损失的重要原因。进一步的研究显示,房地产投资对制造业投资的挤出是房地产投资影响制造业资源配置效率的渠道之一。 相似文献
9.
Zhenguo Lin Yingchun Liu Kerry D. Vandell 《The Journal of Real Estate Finance and Economics》2009,38(2):183-191
This paper re-examines and extends the findings of Bond et al., Journal of Real Estate Finance and Economics, 34, 447–461, (2007) who consider the theoretical model of Lin and Vandell, Real Estate Economics, 35, 291–330, (2007) to determine the extent to which individual real estate asset return characteristics caused by marketing
period risk disappear in a large, diversified real estate portfolio. The effects of marketing period risk are found to disappear
in the limit with growth in the size of the portfolio, with ex ante variance approaching ex post variance, but only if the portfolio consists of nonsystematic risk alone, in which case both approach zero. The marketing period risk factor (MPRF), representing the ratio of ex ante to ex post variance, however, does not in general approach zero in the limit, in fact could increase or decrease depending upon the
illiquidity characteristics of the individual assets and the magnitude and degree of correlation among individual property
returns and marketing periods. The results suggest that even large institutional real estate portfolio managers must consider
the illiquidity present in their portfolios and cannot assume that its effect will be diversified away.
相似文献
Kerry D. VandellEmail: |
10.
Benjamas Jirasakuldech Robert D. Campbell Riza Emekter 《The Journal of Real Estate Finance and Economics》2009,38(2):137-154
We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972–2006 using
monthly EREIT returns, and comparing volatility performance for “early” Equity REITs 1972–1992 with that of “modern” EREITs
1993–2006. Consistent with findings for conventional firms, we find that EREIT conditional volatility is time-varying, persistent,
and predictable. There is a positive relationship between expected return and expected risk in EREIT stocks pre-1993, but
the relationship disappears after 1993. We find no evidence that negative shocks affect EREIT volatility differently from
positive ones in either time period. Different from reported results for conventional firms, we find that changes in the conditional
volatility of fundamental macroeconomic variables have strong explanatory value for future changes in EREIT volatility. Finally,
comparing EREIT volatility performance with volatility in the Russell 2000 Index, a proxy for small stocks, we find that EREIT
volatility behaves differently from that of small stocks in many respects, indicating that risks in the small stock index
cannot effectively proxy for risks in the EREIT market.
相似文献
Riza EmekterEmail: |
11.
论我国房地产税制改革的目标与途径 总被引:1,自引:0,他引:1
随着房地产市场的发展,尤其是房地产价格的不断上涨,期望通过税收工具抑制房价的呼声越来越强烈。本文认为,房地产价格的上涨是一种长期趋势,税收对房地产市场的调控应注意把握调控时机和调控力度。从税收政策目标看,不应以打压房价为目标,而应以促进房地产市场健康、有序发展为目标,并应在课税对象、税制结构、税负水平和征收管理上进行重新设计,最终建立起全新的、健全的房地产税收体系。 相似文献
12.
我国开征物业税有关问题的研究 总被引:3,自引:0,他引:3
李铭 《中央财经大学学报》2006,(3):11-16
《中共中央关于完善社会主义市场经济若干问题的决定》中提出:“实施城镇建设税费改革, 条件具备时对不动产开征统一规范的物业税,相应取消有关收费。”物业税的开征成为新一轮税制改革诸项税改举措中令理论界、实业界、普通百姓重点关注的内容。本文重点分析了我国现行房地产税制的现状及存在的主要问题,论述了开征物业税的难点和必要性,并对我国开征物业税提出了初步设想。 相似文献
13.
Ming-Long Lee Ming-Te Lee Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2008,36(2):165-181
This study examines the linkage between equity real estate investment trust (REIT) returns and the private real estate factor.
The results reveal a tighter connection between REIT and the private real estate market starting from 1993. In addition, large-cap
REITs seem to behave more like real estate than do small-cap REITs. Overall, the results are consistent with three notions:
(1) that institutional investors provide information-gathering services (Bradrinath et al., Rev. Financ. Stud., 8:401–430, 1995), (2) that a more sophisticated investor base improves information flow, and (3) that a high degree of participation
from institutional investors strengthens the linkage between REIT returns and the underlying real estate factor (Ziering et
al., The evolution of public and private market investing in the new real estate capital markets, Prudential Real Estate Investors, Parsippany, NJ, 1997).
相似文献
Ming-Long LeeEmail: |
14.
房地产税收调控政策的效应分析与建议 总被引:9,自引:0,他引:9
本文梳理了2005年以来国家针对房地产投资规模过大和部分城市住房价格上涨过快状况而出台的多项税收调控措施,并通过理论和实证分析认为,房地产税收调控政策的重点应从目前对供给方征税转向对需求方征税,即在房地产保有环节征税。为此,应尽快建立起全面准确的房地产信息资料和监控系统,加快推进物业税(不动产税)的改革。 相似文献
15.
房地产信托投资基金和金融发展与创新 总被引:8,自引:0,他引:8
本文在介绍房地产信托投资基金基本内容的基础上,结合有关金融发展和创新的理论,指出REITs既是金融发展与金融创新的结果,同时也进一步促进了金融自身的发展,促进了社会资源配置效率的提高。 相似文献
16.
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: |
17.
近年来我国房价居高不下,2006年国家先后出台相关法规对房地产市场进行调控,但是实施效果并不理想。本文对现行法规在实施中遇到的问题进行了分析,并借鉴英国市政税征收的成功经验,提出通过开征物业税来保证地方财政收入、引导房地产行业理性健康发展的建议。 相似文献
18.
Michel Baroni Fabrice Barthélémy Mahdi Mokrane 《The Journal of Real Estate Finance and Economics》2008,37(3):233-264
Index-based derivatives markets are fast developing in Europe, the US and Asia. Both valuation based and transactions based
indices are used as bases for these derivatives contracts. This paper addresses the issue of revision effects on key index
parameters, and their implications for derivatives pricing and questions whether these indices may be suitable for derivatives.
More specifically, we address the issue of the robustness of the price level, mean, and volatility estimates for two repeat
sales real estate price indices: the classical Weighted Repeat Sales (WRS) method and a Principal Component Analysis (PCA)
factorial method, as elaborated in Baroni et al. (J Real Estate Res, 29(2):137–158, 2007). Our work is an extension of Clapham
et al. (Real Estate Econ, 34(2):275–302, 2006), with the aim of helping judge the efficiency of such indices in designing
real estate derivatives. We use an extensive repeat sales database for the Paris (France) residential market. We describe
the dataset used and compute the parameters (index price level, trend and volatility) of the indices produced over the period
1982–2005. We then test the sensitivity of these two indices to revisions due to additional repeat-sales transactions information.
Our analysis is conducted on the overall Paris market as well as on sub-markets. Our main conclusion is that even if the revision
problem may cause substantial concern for the stability of key parameters that are used as inputs in the pricing of derivatives
contracts, the order of magnitude of revision on derivatives pricing is not sufficient to deter market participants when it
comes to products such a swap contract or insurance contracts against severe losses. We also show that WRS and PCA react differently
to revision. The impact of index revision is non negligible in estimating the index price level for both indices. This result
is consistent with existing literature for the US and Swedish markets. Price level revision causes moderate concern when trading
products such as index futures or price insurance contracts, but could deter option like products. We show that managing this
price level revision risk is similar to delta hedging in standard option pricing theory. We also find that although revision
impact on index trend can be important, the WRS method seems more robust than PCA. However, the trend revision impact order
of magnitude for contracts such as total return swaps is low. Finally, revision influence on volatility estimates seems to
have a modest impact on derivatives, and according to the robustness of the volatility estimate, the PCA factorial index seems
to fare relatively better than the WRS index. Hence, our findings show that the factorial index could better sustain volatility
based derivatives. We also show that whatever the index, managing this volatility revision risk is similar to vega hedging
in option pricing theory.
相似文献
Mahdi MokraneEmail: |
19.
我国房地产开发资金来源结构状况分析 总被引:6,自引:0,他引:6
石亚东 《中央财经大学学报》2005,(10):60-64
本文拟就我国房地产开发资金来源结构状况进行分析,从中可以看出房地产业融资渠道单一,风险过度集中于银行,房地产投融资金融创新滞后,以及房地产开发企业自有资金不足的现象是当前我国房地产投融资市场存在的较为普遍的问题.针对这些问题,本文相应地提出了拓宽房地产融资渠道、加大金融产品创新力度、完善房地产金融立法等一系列政策建议. 相似文献
20.
Marcus T. Allen Ronald C. Rutherford 《The Journal of Real Estate Finance and Economics》1992,5(4):393-400
This research investigates the valuation impact of financing decisions on the common stock of real estate corporations. We compare the results of our study with the results of similar studies in the corporate finance literature to test whether the response to security offerings by real estate firms differs systematically from the response to offerings by industrial and utility firms. The results of this study indicate a generally favorable price response to straight bond announcements, and unfavorable responses to common stock, convertible bonds, and lines of credit announcements. 相似文献