Derivation of Cost of Capital and Equity Rates from Market Data

Use of the discounted cash flow (DCF) technique in investment and appraisal situations depends on readily available and reliable estimates of cost of capital and equity rates. Previous research on estimating equity rates and cost of capital from financial data sources is extremely limited and includes no evidence on the consistency of rates derived from alternative data sources. This paper derives estimates of equity rates and cost of capital from three alternative commonly available data sources. Estimates are derived separately for operating properties and for homebuilder/land developers on both a before- and after-corporate tax basis. The alternative data sources are found to yield consistent and reliable estimates of equity rates and cost of capital. Rates estimated from these sources are sufficiently accurate and reliable for most investment or appraisal applications.     

Investor Rationality: Evidence from U.K. Property Capitalization Rates

Recent analyses have suggested the irrationality of Australian and U.S. office property investors in that they have failed to raise capitalization rates sufficiently at rental cyclical peaks to account for the obvious mean reversion in real rents and thus have significantly overvalued properties. In this article, we present a model of capitalization rates and explain U.K. office and retail cap rates in an error correction framework. We demonstrate that our proxies for expected real rental growth do, in fact, forecast future real growth and that cap rates reflect rational expectations of mean reversion in future real cash flows. Moreover, property cap rates are linked to the equity capitalization rate (dividend/price ratio) and expected real dividend growth in the expected manner.     

The Suburbanization of Industry and Its Effects Upon Labor Force Participation Rates of Suburban Women

Post-World War II intrametropolitan dispersion of industry has been well documented in the literature on contemporary suburbanization. There has, however, been no empirical research conducted to determine the effect of the restructured metropolitan economy upon labor force participation rates of suburban residents, especially of suburban married women. The purpose of this study is to fill this research gap. The hypothesis tested is that increased employment opportunities in the suburbs will increase labor force participation of suburban married women, ceteris paribus . The research results show the hypothesized relationship to be correct. The variable developed in this study and used as a proxy for the degree of intrametropolitan industrial dispersion is statistically significant, albeit a bit weak, in explaining intersuburban variation in labor force participation rates of married women, husband present. Other variables (such as median school years completed) included in more traditional non-spatially oriented labor force behavior models are statistically insignificant in explaining areal variation in participation rates. The findings point up the necessity of recognizing the spatial complexities of the urban economy.     

What Explains the Union Membership Gap between Migrants and Natives?

This article explores the differences in unionization rates between migrant and native‐born workers in 23 European countries. It explores whether individual characteristics or contextual factors explain the variation across countries in the degree of trade unions’ inclusion of migrant workers. The analyses show that individual characteristics cannot explain the variation in the difference between migrant and native unionization rates. Characteristics of the industrial relations regime in the country of destination, in particular the institutional embeddedness of trade unions, affect the likelihood that migrants join trade unions as compared to native workers.     

Rates of Return on Housing of Low-and Moderate-Income Owners

While long-term returns to capital invested in owner-occupied housing have been competitive with other investment alternatives, no evidence exists on the market performance of the owner-occupied housing in which low- and moderate-income households would be most likely to invest. This article thus attempts to answer the question of whether the "affordable housing units" that are relevant to policy discussions concerning low- and moderate-income homeownership have experienced different rates of price appreciation than have higher valued dwellings. The national file of the American Housing Survey is used to estimate appreciation rates by value class in representative U.S. housing markets. We find that for the period 1974 through 1983 appreciation rates for lower valued housing were generally about equal to those for higher valued housing.     

基于实验数据和过滤方程的胶印油墨固着速度改进预测

在印刷工艺中,涂布纸对油墨油的吸收是非常重要的,其决定了油墨的固着速度,从而影响印刷质量及生产能力。在过去的15年里,许多科研人员研究了涂层的孔状结构对油墨固着的影响,但并没有关于油墨组分及乳化对油墨吸收及固着影响的报道。研究人员曾提出过几种不同的假设来描述油墨油的吸收过程。Donigian提出了多相理论来描述油墨油的吸收,假设涂层结构对树脂相及油墨油相的吸收速率不同;Gane等人提出,油墨的逐渐固化表明涂层吸收油墨油的过程是在没有任何明显组分分层下逐渐固化的;Xiang和Bousfield提出的滤饼理论表明,颜料粒子与累积在墨层与涂料之间的的硬树脂也具有滤饼特征。在印刷过程中加入润版液会改变油墨的黏度。Ercan指出在高和低剪切率下,黏度与印刷中油墨拉丝有一定的相关性。尤其是与稀释剂（如矿物油）的纯黏性行为相比,油墨（包括相互溶解的软树脂）的弹性增加时会导致更小的拉丝。Xiang在更早的时候已提出这种假设。Xiang后期的工作表明纯油墨与油墨乳化后形成的墨膜初始状态存在差异。Xiang和Fr（o｜¨）berg研究了乳化油墨的黏性,他们发现油墨附着过程中黏性上升的初始速率似乎不受外加因素的影响。本文主要研究油墨油组分和油墨乳化现象对固着速度的影响,并将基于滤饼理论的预测与实验结果进行比较,以过滤实验和流变测试的结果拟合描述油墨固着过程方程,并探讨在不同纸张上,3种油墨（热固型油墨、乳化热固型油墨、单张纸胶印墨）固着速度的差异。     

Do Deposit Rates Cause Mortgage Loan Rates?: The Evidence from Causality Tests

This paper applies two familiar causality detection techniques to the issue of whether it is costs that determine prices or vice versa in the mortgage loan market. The question is posed in terms of causal priority: Are savings and loan deposit rates causally prior to mortgage loan rates or is it the other way around? For the time period prior to the onset of deposit interest rate deregulation, the evidence that emerges is consistent with the view that lenders raised their loan rates in response to higher deposit rates of interest. However, for the more recent period of deregulation, the evidence is not consistent with this view.     

Regional Economic Stability and Mortgage Default Risk in the Netherlands

This paper investigates the relationship between regional economic diversification and stability, and residential mortgage default risk in the Netherlands. To describe and measure regional economic diversity and stability, methods from both the regional economics and the industrial economics literature are used. All measures are based on regional employment characteristics. Mortgage default rates were obtained from a database of the population of insured mortgage defaults in the Netherlands from 1983 through 1990. To test the relationship between the measures and mortgage default risk, cross sectional Seemingly Unrelated Regression was used. The paper concludes that the employed measures explain regional mortgage default rates to a significant extent, and that stability measures outperform diversity measures.     

U.S. Monetary Policy Surprises and Mortgage Rates

This article examines how the U.S. monetary policy surprises impact the mortgage rates in the nation and across five regions from 1990 to 2008. Regression analysis based on bootstrapping shows that surprises in the target federal funds rate (the target factor) have a significantly positive impact on the 1‐year adjustable‐rate mortgage (ARM) rate within the week of the Federal Open Market Committee announcements and the positive impact lasts up to 1 week after the announcements. Surprises in the future direction of the Federal Reserve monetary policy (the path factor) have significantly positive impacts on both the 1‐year ARM rate and the 30‐year fixed mortgage rates in the first week after the announcement. Furthermore, the responses of mortgage rates are asymmetric and affected by the size of monetary policy surprises, the stage of the business cycle and whether the monetary policy is tightening or loosening. There also exists heterogeneity in the mortgage rate pass‐through process across regions and monetary policy surprises have differential impacts on the regional mortgage rates. The cross‐region variations are mainly correlated with the regional housing market conditions, such as home vacancy and rental vacancy rates.     

The Influence of Credit Union and Savings and Loan Competition on Bank Deposit Rates in Idaho and Montana

This study examines the effect of S & L and credit union competition on bank behaviorin Idaho and Montana. A structure-performance OLSmodel is used to estimate bank interest rates oncertain deposits. Two key independent variables arelocal market share of credit unions and S & Ldeposits. Overall, previous studies found littleevidence that thrift competition affects bankperformance. We found some evidence that thriftcompetition, especially from credit unions, resultsin higher interest rates for bank CDs. Theseresults have policy implications as banking groupscurrently seek to restrict credit union competition.     

Were Money Wages Always Rigid? A Look at the Reliability of Survey Evidence on Changes in Wage Rates

In recent years, the once conventional view that nominal wage rates were much more flexible before the Great Depression than after has been challenged. This challenge has been reinforced by several recent studies that are based on monthly wage data gathered by state labor bureaus. The surveys used by the state labor bureaus in gathering the data appear to have been biased toward the finding that wages have not changed. Hence inferences drawn from the data collected in these surveys are not reliable.     

National Vacancy Rates and the Persistence of Shocks in U.S. Office Markets

In this paper, we develop and estimate a model that decomposes the variance in office vacancy rates into market-specific, time-specific, and random components. The results indicate significant differences in natural vacancy rates across markets. We also find some persistence in deviations from these natural vacancy rates. The analysis is applied to both central business district (CBD) and suburban office markets. We find that natural vacancy rates differ across CBD markets and across suburban markets. Further, the persistence of disequilibrium in one CBD market seems to differ significantly from that in another. This is not shown to be true for suburban markets.     

The Influence of Household Formation on Homeownership Rates Across Time and Race

Homeownership rates equal the number of households that own homes divided by the number of households in the population. Differences in the propensity to form a household, therefore, may contribute to changes in homeownership rates over time in addition to long-standing racial gaps in homeownership. We examine these issues on an age-specific basis using data from the 1970 to 2000 public use microsamples of the decennial census. Results indicate that lower headship rates tend to reduce homeownership rates. This pattern is most notable for individuals in their early and mid 20s. For these individuals, declining headship rates between 1970 and 2000 reduced homeownership rates by three to five percentage points. Moreover, 2000 African American headship rates narrow white–black gaps in homeownership by roughly three percentage points, whereas 2000 Hispanic headship rates widen white–Hispanic gaps in homeownership by two to three percentage points. Thus, controlling for differences in headship behavior, white–black homeownership gaps are somewhat more severe than previously recognized, but the reverse is true for white–Hispanic gaps.     

Cartel overcharges: Survey and meta-analysis

The article presents a novel meta-regression analysis of the size of cartel overcharges from a sample of more than 800 observations collected from a wide variety of published sources. The analysis of a subsample of 395 cartel episodes finds that duration, legal environment, and organizational characteristics of cartels explain variation in overcharge rates to a greater extent than the type of publication or the method of calculation. Overcharges tend to be significantly higher for durable international cartels. Secular decline is observed as antitrust-enforcement regimes have stiffened.     

Forecasting the Discounts of Market Prices from Appraised Values for Real Estate Limited Partnerships

A vexing problem for the appraisal industry has been estimating an appropriate discount for the value of real estate limited partnerships (RELPs) relative to their appraised value. This research develops a linear regression model that explains over 80% of the cross-sectional variation in discounts across 60 RELPs using characteristics of each partnership. Among a holdout sample of 41 RELPs, the model provides forecasts of discounts that are superior to assuming no discount or applying a mean discount to all partnerships. Discounts are greatest for RELPs with low current yields, low leverage and high trading ranges for their market prices.     

The celler kefauver act and the deterrent effect

The purpose of this paper is to identify the major determinants of innovation and to examine whether they affect small firms differently than large firms. Using a cross-section of 247 four-digit SIC industries, we present an econometric analysis testing the hypothesis that innovation rates in 1982 were significantly influenced by market structure, and that these influences had disperate effects among large and small firms. We find that, while market structure does explain the variation in innovation rates across industries, the relationships are not always consistent with certain previously maintained hypotheses. Similarly, we find that innovation activity for large firms responds to a different market activity than does innovation for small firms.     

Interstate Long Distance Rates: Search Costs,Switching Costs,and Market Power

A number of authors have argued that the divestiture of AT & T did not reduce the rates of long distance telephone companies as often believed. However, the literature has offered few explanations as to why competition has not lowered rates. This study argues that rates have failed to fall due to the importance of search and switching costs in the industry. Using a panel data set of rates for the three largest long distance carriers, stretching from 1984 to 1993, a reduced form equation is specified to empirically test for the influence of search and switching costs on the price cost margin of the three carriers. The results illustrate that both search and switching costs have provided long distance carriers with market power.     

Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns

In this article, we investigate the commonly used autoregressive filter method of adjusting appraisal‐based real estate returns to correct for the perceived biases induced in the appraisal process. Many articles have been written on appraisal smoothing but remarkably few have considered the relationship between smoothing at the individual property level and the amount of persistence in the aggregate appraisal‐based index. To investigate this issue we analyze a large sample of appraisal data at the individual property level from the Investment Property Databank. We find that commonly used unsmoothing estimates at the index level overstate the extent of smoothing that takes place at the individual property level. There is also strong support for an ARFIMA representation of appraisal returns at the index level and an ARMA model at the individual property level.     

The development of entrepreneurship in Chinese communities: An organizational symbiosis perspective

Why has the rate of entrepreneurship recently gone down in Singapore? Why is entrepreneurship in Southern China (e.g., Guangdong or Fujian provinces) relatively higher than in the rest of China? Why is corruption rampant in some Chinese business communities but virtually nonexistent in others? Although we often speak of ??Chinese entrepreneurship?? as a monolithic entity, the fact is that there are many variants of Chinese entrepreneurship and these variants continue to rapidly evolve and take on new forms. Yet mainstream management or organizational theories have been at a loss to explain these high rates of variation and evolution. To shed light on these issues, we introduce the idea of symbiosis from biology and adapt it to the development of entrepreneurship in Chinese ethnic communities. Symbiosis is the science of how different organisms coexist with each other in a self-sustaining system. Using this approach, we develop six propositions to explain what types of entrepreneurship are likely to evolve in different Chinese ethnic communities and how this process of evolution is likely to proceed. The implications for researchers and practitioners are discussed.     

Rental Expectations and the Term Structure of Lease Rates

We consider the term structure of lease rates in a general setting where both rents and interest rates are stochastic. The framework is applicable to any leasing market, but we focus on real estate. We find that the ``expectations hypothesis", that is, forward rates are unbiased estimators of future rents, requires similar assumptions as in interest rate theory to hold. To study bias magnitude, simulations are performed using a parameterization of the general framework. Different realistic values for risk aversion and interest rate stochastics can generate widely different shapes of the term structure, holding objective expectations constant. Thus an expected increase in rent is consistent with a downward-sloping term structure and vice versa.