Using Goal Programming and the analytic hierarchy process in house selection

The house selection process involves an assessment by the buyer of a series of qualitative and quantitative factors. Simple ranking or weighting selection methods utilizing these factors can lead to less than optimal decision making. This paper presents a model to aid in the house selection decision process. Specifically, this paper presents a Goal Programming (GP) model that utilizes the Analytic Hierarchy Process (AHP) to evaluate property attributes and make an optimal house selection decision. The formulation methodology for the proposed house selection modeling process is illustrated with examples based on data from a prior study.     

An offer you can't refuse: early contracting with endogenous threat

A seller has private information on the future gains from trade with a buyer, but the buyer has the option to invest to produce the good internally. Both the buyer and the seller can efficiently trade ex post under complete information. Despite the lack of information, the buyer sometimes gains by making an early contract offer to the seller. The early contract divides the different types of sellers according to their information, which renders the threat of producing the good in‐house credible and enables the buyer to extract a larger share of the gains from trade. Several extensions are investigated.     

A theory of predictable excess returns in real estate

A principal-agent model is employed to characterize the equilibrium mortgage contract. The value of a house depends on the actions of its owner but affects the wealth of both the owner and the lender who writes the mortgage contract with which the house is purchased. Because of this, the buyer is exposed to moral hazard. In some situations, this can lead to inefficient maintenance and predictable excess returns to home ownership. Even though there are potential buyers willing to pay back more money, the bank will not write loans for these consumers because of the adverse incentive effects of such an action.     

How Much Extra Premium Does a Loss-averse Owner-occupied Home Buyer Pay for His House?

The dual role of houses as durable consumption goods and as financial investments makes the option approach a suitable method for evaluating them. When the buyer of an owner-occupied home spends a large amount of money on a house, he pays the bill to cover not only construction costs but also the premium for an at-the-money call on the house. With loss aversion, he believes that if the house price rises from its current price (i.e., the strike price), he may make a profit by selling the house. On other hand, if the house price drops, he just keeps the house to wait for a better selling price, and treats the house as a durable good that provides him with shelter. The dual role of houses enables the homebuyer to enjoy the upside potential from the viewpoint of investment, but to eliminate the downside risk from the viewpoint of consumption. As a result, we propose that homebuyers are often willing to pay more for a house as a call premium. In addition, both the homeownership constraint and the homebuyer??s ambiguity aversion will influence his subjective evaluation of the call.     

One size does not fit all: Selling firms to private equity versus strategic acquirers

This paper investigates the selling process of firms acquired by private equity versus strategic buyers. In a single regression setup we show that selling firms choose between formal auctions, controlled sales and private negotiations to fit their firm and deal characteristics including profitability, R&D, deal initiation and type of the eventual acquirer (private equity or strategic buyer). At the same time, a regression model determining the buyer type shows that private equity buyers pursue targets that have more tangible assets, lower market-to-book ratios and lower research and development expenses relative to targets bought by strategic buyers. To reflect possible interdependencies between these two choices and their impact on takeover premium, as a last step, we estimate a simultaneous model that includes the selling mechanism choice, buyer type and premium equations. Our results show that the primary decision within the whole selling process is the target firm's decision concerning whether to sell the firm in an auction, controlled sale or negotiation which then affects the buyer type. These two decisions seem to be optimal as then they do not impact premium.     

我所亲历的三次危机

该文以亲身经历为基础,叙述了在华尔街所经历的三次金融危机;从一个从业人员和普通购房者的视角向读者展示了危机的来龙去脉。文章指出理论上,经济的周期性注定6年的繁荣终究会有尽头;而在实践中,多年的低利率带来的信用泛滥,以及华尔街为追求短期暴利而进行无止境的风险叠加．也致使金融风险扩散到社会和世界的每一个角落。     

Presale Contract and its Embedded Default and Abandonment Options

The presale contract is a popular property selling method that allows a buyer to default on the remaining payment and/or a developer to abandon a project. Using a simple two-period game theoretical model, we derive a closed-form pricing equation for a presale contract that explicitly accounts for a developer??s abandonment option and a buyer??s default option. Although a developer has an abandonment option under either a spot sale or a presale method, the option is more valuable under a presale contract because of an additional cash inflow from the presale downpayment. A presale also provides a buyer a default option, which is valuable in a real estate market with uncertain demand and price risk. We analyze the implications of the abandonment option on a developer??s construction decision and choice of selling method, as well as the implications of the default option on a buyer??s purchase decision. Furthermore, our model framework has implications to the pricing of futures contracts that involve both stochastic revenues and costs.     

First-Best Equilibrium in Insurance Markets With Transaction Costs and Heterogeneity

We investigate extensions of the classic Rothschild and Stiglitz (1976) (RS) model of adverse selection under asymmetric information. In RS, low‐risk customers are worse off owing to an externality created by high‐risk buyers in the market. We find critical changes in insurance buyers' behavior under the joint assumptions of transaction costs and buyer heterogeneity with respect to either risk aversion or wealth. Combining transaction costs and heterogeneity, we find a separating equilibrium in which neither high‐risk nor low‐risk individuals are penalized due to information asymmetry.     

The Transitory and Legacy Effects of the Rental Externality on House Price and Liquidity

It is widely believed that tenant-occupied houses do not show as well as owner-occupied or even vacant units and so are harder to sell. These short term or transitory marketing effects should disappear in subsequent sales by owner-occupiers. Overuse by tenants and poor maintenance by landlords, however may lead to longer term or legacy effects on value and liquidity. We use a 20 year data series on house transactions to estimate these separate effects in a simultaneous model of price and liquidity. The results reveal strong transitory renter effects on both value and liquidity consistent with lower buyer willingness-to-pay. We do not find persistent legacy effects from prior use as rental property. Instead, there appears to be unmeasured quality or a characteristic common to houses suitable for rent that leads to permanently lower market values regardless of previous use in that capacity.     

The Effects of Attributes on the Repeat Sales Pattern of Residential Property in Hong Kong

There has been copious research work on the development of house price models and the construction of house price indices. However, results in some studies revealed that the accuracy of such indices could be subject to selection bias when using only information from a sample of sold properties to estimate value movements for the entire housing stock. In particular, estimated house price appreciation is usually systematically higher among properties that change hands more frequently. It therefore suggests that the determination of important factors affecting the transaction frequency or intensity of a housing unit should be a more fundamental research question. This paper examines the possible factors that determine the popularity of residential unit by means of a repeated sales pattern. The Poisson regression model and event history analysis techniques are employed to assess the effect of attributes on transaction frequency and intensity. The event history analyses technique can take account of transaction-specific as well as time-dependent covariates, and therefore is recommended for analyzing repeated sales data in a real estate market. All transaction records during the period 1993–2000 from the Land Registry of one of the most popular residential estates in Hong Kong were used to illustrate the method. Unlike a response to favorable transaction price, good quality units do not necessarily inherently display a high transaction frequency. Rather, units of average quality are more likely to be transactionally active.     

OUTSOURCING AND MARKET VALUE OF THE FIRM: TOWARD A COMPREHENSIVE MODEL

We analyze the effect of buyer, contract, and vendor characteristics on abnormal stock returns among firms that have announced large scale Information Technology (IT) and Business Process outsourcing (BPO) contracts. We draw upon a comprehensive dataset on outsourcing announcements, augmented with data from public sources. Salient buyer factors examined include use of a wide range of organizational controls. On the vendor side, we examine the impact of vendor size, contract size and reputation. Our study shows that use of behavior controls, outcome controls (negative), vendor reputation, and industry of buyer firm affect market value. When limited to buyer related factors, use of behavior and clan controls is positively related to abnormal returns around IT outsourcing announcements. An interesting finding is that IT and BPO success require different sets of controls. Copyright © 2014 John Wiley & Sons, Ltd.     

论背俗一物二卖中的回复原状救济

一物二卖中第二次买卖违背善良风俗时，如何救济第一买受人对于取得实物的期待利益，是民法学中的经典疑难问题，也是实践中经常发生的代表性案型。就此存在“处分背俗无效”与“处分有效+背俗侵权”两种救济进路，无效进路下可进一步分为“绝对无效”与“相对无效”方案，侵权进路下可分为“标的物返还出卖人”“标的物直接让与第一买受人”等侵权责任承担方式。救济第一买受人的目标是使其法律地位回复到应有状态，影响回复原状方式选择的实质因素包括出卖人原本另行处分之可能性、出卖人原本破产和被执行的风险大小。根据这一分析框架，第二买受人单方背俗时，所有权变动并不无效，只能采侵权进路，第二买受人应将标的物直接让与第一买受人；出卖人与第二买受人双方背俗时，应采相对无效方案，所有权变动相对于第一买受人无效。     

Buyer Brokerage: Incentive and Efficiency Implications

This article examines the incentive and efficiency implications of buyer brokerage. We show that it is possible to perfectly align the interests of the seller with those of his agent and the interests of the buyer with those of his agent. Furthermore, effort levels can be efficient. This result is a departure from earlier conclusions in the literature that the agent's effort level can neither be perfectly aligned with the principal's interests nor be efficient. The departure is primarily due to the feature of our model that it recognizes the costs as well as the benefits of an agent's effort to her principal, and vice versa. Finally, we discuss the implications of buyer brokerage for the future of MLS services.     

Real options with ex-post division of the surplus

This paper examines a real option model where two vertically related firms are involved in a specific investment project that is subject to an uncertain payoff. While ex-post bargaining between a seller and a buyer leads to underinvestment by the seller in a standard model where timing of the seller’s investment is exogenous, we show that this need not be the case when the seller’s timing of investment is endogenous. However, bargaining with a buyer leads to excessive waiting. More severe holdup and higher uncertainty will lead to vertical integration of activities to avoid timing inefficiencies.     

Ex Post Moral Hazard and Bayesian Learning in Insurance

We study a dynamic insurance market with asymmetric information and ex post moral hazard. In our model, the insurance buyer's risk type is unknown to the insurer; moreover, the buyer has the option of not reporting losses. The insurer sets premia according to the buyer's experience rating, computed via Bayesian estimation based on buyer's history of reported claims. Accordingly, the buyer has strategic incentive to withhold information about losses. We construct an insurance market information equilibrium model and show that a variety of reporting strategies are possible. The results are illustrated with explicit computations in a two‐period risk‐neutral case study.     

Interorganizational cost management in the exchange process

This paper explores interorganizational cost management (IOCM) practices in the exchange process. IOCM can be defined as buyers’ and suppliers’ coordinated efforts to reduce costs. Past research has primarily argued that such practices depend on component characteristics, relationship characteristics, and characteristics of the transaction. Based on a study of three buyer–supplier relationships, this article also finds variations in IOCM practices between six main activities in the exchange process. In this process, the supplier's management accounting is found to be more important than recognized by prior research. The deepest collaboration around IOCM issues and the greatest joint use of suppliers’ management accounting in the three cases typically occurs in earlier activities in the exchange process, including supplier selection, joint product design and joint manufacturing process development. In later activities in the process, during full-speed production as well as in product and manufacturing process redesign, suppliers’ managerial accounting plays a lesser role in our study.     

House Prices, Fundamentals and Bubbles

Abstract:  This paper studies actual (real) house prices relative to fundamental (real) house values. Such a focus is warranted since housing constitutes a large fraction of most household portfolios, and its characteristics are such that, in contrast to what prevails in financial markets, arbitrage will be limited and hence correction toward 'true' value is likely to be a prolonged process. Using UK data and a time-varying present value approach, our results preclude the existence of an explosive rational bubble due to non-fundamental factors. We further find that intrinsic bubbles have an important role to play in determining actual house prices although price dynamics appear to impact, particularly in periods of strong deviation from fundamental value. Price dynamics are found to be driven by momentum behaviour.     

Effects of Competition on Insurance Contract Formation

For an insurance transaction between a single risk-averse buyer and single risk-neutral seller with positive transaction costs, it is well known that the buyer will prefer a policy contract with an ordinary deductible. More detailed results demonstrate the Pareto optimality of an insurance contract characterized by a deductible (followed by coinsurance) for a single risk-averse buyer and single risk-averse seller. In the present work, we employ a market-game model to solve for the equilibrium insurance contract. This formulation, which approximates the behavior of excess property insurance and property catastrophe reinsurance markets, reveals that the equilibrium policy is described by full insurance up to a given policy limit, with no deductible or coinsurance. Our analysis shows further that this solution persists regardless of the numbers of buyers and sellers in the market, and in particular that the market-game equilibrium does not converge to a Pareto-optimal result because of boundary constraints on the number of sellers. Finally, we test our price-formation mechanism against an important generalization, and find that the policy-limit contract persists.     

基于VAR模型对CPI与房地产价格关系的实证分析

随着经济的不断发展,物价波动与房地产价格之间的关系逐渐成为关注的焦点。本文选取我国2006年1月至2010年12月的CPI和房屋销售价格指数月度数据,建立VAR模型。通过格兰杰因果检验发现:房地产价格和物价波动之间存在单向的因果关系。通过脉冲响应函数进行分析,表明房屋销售价格指数对CPI有着正向的作用。方差分解的结果说明在长期CPI的变动很大程度是由房屋销售价格指数引起的,房地产市场价格波动受自身因素的影响较大。     

A continuous-time model of self-protection

Finance and Stochastics - This paper deals with an optimal linear insurance demand model, where the protection buyer can also exert a time-dynamic costly prevention effort to reduce her risk...