排序方式: 共有52条查询结果,搜索用时 0 毫秒
51.
Schmeiser Maximilian D. Gross Matthew B. 《The Journal of Real Estate Finance and Economics》2016,53(1):1-28
We use vector error correction models to examine the interdependence between the high and the low price tiers during the latest housing market boom and bust. For 118 of the 364 US statistical areas analyzed, the tiered price indexes are bound by a long-run relationship. In general, low tier homes appreciated more than high tier homes in the past two decades. In contrast to previous periods of high volatility, however, low tier homes appreciated more during the boom and lost more value during the bust of the market. We find a shift in the long-run equilibrium during the bubble —the cointegration parameter that ties the tiers together is greater in absolute value during the bubble period compared to the periods of more moderate appreciation and depreciation rates. Moreover, the shift in the long-run equilibrium can be explained by differences in subprime originations across housing markets. We also find that short run price dynamics is driven by momentum in both segments of the market. 相似文献
52.
Hato Schmeiser 《保险科学杂志》2004,93(2):207-220
This article deals with the question of how a ?fair risk management mix“ that does not lead to a wealth transfer between shareholders and policyholders can be achieved in a joint-stock insurance company. In our financial model of an insurer, the ?fair“ situation, it is assumed that there is no wealth transfer between shareholders and policyholders when both parties receive a net present value of zero on their investments. Taking the default risk of the insurance company into account, we first model a ?fair“ situation for the insurer’s existing portfolio. Surprisingly, closing a new insurance contract that has been priced on a fair basis and then included in the insurer’s existing portfolio leads to a disequilibrium situation because the net present value for the shareholders is no longer zero. This new net present value can be viewed as the fair price of any risk management measure the insurer must take so as to reestablish an equilibrium for both parties, the shareholders and the policyholders. 相似文献