REITs资金配置优化——基于京、沪、深、渝四市的实证研究

本文运用CAPM模型,利用2000年10月到2010年10月的月度中房指数对北京、上海、深圳、重庆四个城市的REITs资金配置进行优化研究。研究结果表明对同一城市的不同物业类型进行投资,住宅投资的风险相比办公楼投资风险大;从区域投资分散化看,深圳的投资收益率高于房地产市场综合收益率,上海和北京接近,但从风险的角度来看,深圳和上海的投资风险最大,北京次之,重庆的投资风险最小。最后作者提出风险控制模型、资金投向、经济周期认识等相关对策。     

A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand

This article presents a methodology for producing a quarterly transactions-based index (TBI) of property-level investment performance for U.S. institutional real estate. Indices are presented for investment periodic total returns and capital appreciation (or price-changes) for the major property types included in the NCREIF Property Index. These indices are based on transaction prices to avoid appraisal-based sources of index “smoothing” and lagging bias. In addition to producing variable-liquidity indices, this approach employs the Fisher-Gatzlaff-Geltner-Haurin (Real Estate Econ., 31: 269–303, 2003) methodology to produce separate indices tracking movements on the demand and supply sides of the investment market, including a “constant-liquidity” (demand side) index. Extensions of Bayesian noise filtering techniques developed by Gatzlaff and Geltner (Real Estate Finance, 15: 7–22, 1998) and Geltner and Goetzmann (J. Real Estate Finance Econ., 21: 5–21, 2000) are employed to allow development of quarterly frequency, market segment specific indices. The hedonic price model used in the indices is based on an extension of the Clapp and Giacotto (J. Am. Stat. Assoc., 87: 300–306, 1992) “assessed value method,” using a NCREIF-reported recent appraised value of each transacting property as the composite “hedonic” variable, thus allowing time-dummy coefficients to represent the difference each period between the (lagged) appraisals and the transaction prices. The index could also be used to produce a mass appraisal of the NCREIF property database each quarter, a byproduct of which would be the ability to provide transactions price based “automated valuation model” estimates of property value for each NCREIF property each quarter. Detailed results are available at .     

Housing Quality in the Forward Contracts Market

Developers often conduct forward sales (or presales) before building completion to relieve financial risk and burden. However, there are worries that housing units sold in this way will turn out to be substandard because developers, who have been paid for the unfinished units, may have incentives to cut costs by lowering the quality. This is a typical moral hazard problem. Nonetheless, forward sales have been very popular in some Asian cities such as Hong Kong, Singapore, and Taiwan. A plausible explanation is that the market has efficiently adjusted the forward price for this potential quality problem according to developers’ reputations. This paper aims to theoretically explain and empirically test (1) whether reputation is reflected in forward prices and (2) whether the expected quality level matches with the actual quality level. Using the forward and spot sales data of the Hong Kong real estate market, we found that even though housing quality was not observable during presales, the market was able to capitalize developers’ reputations into forward prices accurately. This suggests that the optimal strategy for developers is to stick to the quality level implied by their reputations. A paper submitted to Journal of Real Estate Finance and Economics. A Special Issue for the 2005 NUS-HKU Symposium on Real Estate Research.     

Turnovers and Housing Price Dynamics: Evidence from Singapore Condominium Market

Recent real estate literature has not only proposed a few theories to explain the puzzling macro feature of the positive correlation between price and transaction volume, but also attempted to identify the causal relationships between them. However, there is little empirical evidence to explicitly illustrate how housing price dynamics measured by both past price changes and price volatility at housing unit level affect housing turnovers. Using a unique housing transaction database from Singapore condominium market, this paper reveals an interesting housing turnover pattern in response to past housing price dynamics. The results illustrate that the rise and fall of a dwelling’s price can significantly affect housing turnovers in the same direction. Higher volatility reduces housing turnovers. The effects are stronger in the domain of losses and are weakening as the cumulative housing equity rises, implying that a seller withholds the sale in the downswing of a real estate cycle in the hope that the market will rebound. The findings offer some additional micro empirical evidence to the interactions between housing price and transaction volume and imply upwardly biased repeat sales indexes.     

The Optimal Selling Strategy of Residential Real Estate

The Journal of Real Estate Finance and Economics - This paper studies three selling strategies of residential real estate: delegation to a broker, cheap talk with a broker and For Sale By Owner...     

The London Commercial Property Price Index

Of the top ten global commercial property markets, London’s has had the highest transaction turnover for the past decade according to Real Capital Analytics. Its prime real estate is part of every major European and US institutional investor’s portfolio and London’s market has the most developed commercial property derivatives market outside of the US. Yet, no transaction-based index exists for the London office market. The aim of this study is to fill that gap. Using a comprehensive dataset of transactions from Estates Gazette interactive and Real Capital Analytics, this paper analyzes different repeat-sales estimation strategies and noise filters to produce a quarterly index series from the first quarter of 1997 to the fourth quarter of 2011. In addition, the index series is measured against IPD’s London capital valuation series and the MIT Center for Real Estate New York office market repeat sales index series. Results show that the market turn of the first financial crisis is clearly visible in the transactions-based indices, and that this index leads the capital valuation series by about a year. London’s office market seems to have been affected by the crisis considerably earlier than New York’s market and correlations between the two markets are low.     

Is It Possible to Construct Derivatives for the Paris Residential Market?

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.

Preferences of Institutional Investors in Commercial Real Estate

The Journal of Real Estate Finance and Economics - In this paper we analyze market segmentation by firm size in the commercial real estate transaction process. Using novel micro-level data, we look...     

An Empirical Study of Sample-Selection Bias in Indices of Commercial Real Estate

Real estate price indices based solely on samples of sold properties may not accurately represent the population of properties due to potential sample-selection bias. This study addresses this potential for sample-selection bias in the construction of commercial price indices within the context of the Phoenix area office market. The empirical analysis confirms the presence of sample-selection bias in the estimation of the total price equation. However, within this sample, the price indices generated after correcting for sample-selection bias do not appear significantly different from those that do not consider selectivity bias.     

Risk and return in residential spatial markets: An empiric and theoretic model

The paper is concerned with price and rent fluctuations in predominantly owner-occupied residental real estate. It presents the owner-occupier household as a housing consumer as well as an investor. It conjectures that since risk and return are known to be positively related in financial markets, they might also be thus related in residential real estate markets. If that is so, neighborhoods that are known to yield high returns will be the ones less price and rent stable than low yielding ones.The Capital Asset Pricing Model is not helpful in explaining a possible risk/return relationship in housing markets. Its major assumption about portfolio diversification is contrary to the nature of owner-occupied residential real estate. An owner occupier household, by definition, holds one unit of the asset and acts simultaneously as an investor and consumer of housing. For the capital market investor, investment and consumption decisions are separable. Therefore, a new theoretical model of consumer choice is proposed. Tel-Aviv price and rent data during a volatile market period are used for testing the main risk/return conjecture as well as other related hypotheses stemming from the model. The findings lend support to the conjecture and shed light on possible spatial determinants of owners' risk.     

Serial correlation and seasonality in the real estate market

In this article, a two-step, two-sample method and a Bayesian method are proposed to estimate the serial correlation and the seasonally of the price behavior of the residential housing market. The Bayesian method is found to be superior to the alternative two-step methods. The empirical results based on the Bayesian approach support the rejection of the random-walk hypothesis in the real estate market. Seasonality is not significant; however, there is still a clear indication that the returns associated with seasonal dummies are strongest in the second quarter, with the first quarter following closely.     

Contagion or Competition: Going Concern Audit Opinions for Real Estate Firms

We examine whether intra–industry information transfers from going–concern audit opinion announcements create contagion or competitive stock price reactions for other real estate firms operating in the same line of business. Using returns from publicly-traded land subdivision/development firms and Real Estate Investment Trusts, we find modest evidence supporting a competitive effect among rival firms as a result of another real estate firm announcing the receipt of a Going Concern Opinion (GCO) from its independent auditors.     

Are Housing Price Cycles Driven by Irrational Expectations?

This paper investigates the extent to which condominium apartment prices are set in an efficient asset market. Unlike previous work that focuses on the time-series properties of measures of excess returns, the analysis is framed in terms of the changes in observable house prices over time. More precisely, the paper develops and applies a test of the joint null hypothesis of rational expectations, perfect markets, and no risk premium in the Vancouver condominium apartment market. The empirical results provide significant evidence against the joint null hypothesis. On average, ex post house price changes move in a direction opposite to their rational expectation. This approach offers a methodological advantage over the standard efficiency literature and is shown to provide a more powerful test of market efficiency than conventional return regressions. Another contribution of the paper is to characterize the time-series properties of deviations of condominium prices from those predicted by the risk-neutral rational expectations model, using cointegration and random coefficients techniques. Deviations in house price changes from their (risk-neutral) rational expectations are time varying, stationary, and related to the stage of the real estate price cycle.     

The Hierarchical Repeat Sales Model for Granular Commercial Real Estate and Residential Price Indices

This paper concerns the estimation of granular property price indices in commercial real estate and residential markets. We specify and apply a repeat sales model with multiple stochastic log price trends having a hierarchical additive structure: One common log price trend and cluster specific log price trends in deviation from the common trend. Moreover, we assume that the error terms potentially have a heavy tailed (t) distribution to effectively deal with outliers. We apply the hierarchical repeat sales model on commercial properties in the Philadelphia/Baltimore region and on residential properties in a small part of Amsterdam. The results show that the hierarchical repeat sales model provides reliable indices on a very detailed level based on a small number of observations. The estimated degrees of freedom for the t-distribution is small, largely rejecting the commonly made assumption of normality of the error term.     

中国房地产市场价格泡沫与空间传染效应

本文使用对数周期性幂律(Log Period Power Law, LPPL)模型对房地产市场价格泡沫进行测度,运用空间计量模型对我国房地产市场价格泡沫和空间传染效应进行研究。LPPL模型认为由价格泡沫产生并最终破裂的金融市场与地震系统具有很多相似之处,即金融资产的价格呈周期性变化规律,价格持续上涨到临界状态直至反转。本文采用2010年6月至2017年11月间我国100个城市的房地产市场数据对各城市房地产价格泡沫进行测度和物理/经济空间传染效应研究。研究发现,LPPL模型能够对我国100个城市房地产价格泡沫进行甄别且主要存在两种泡沫状态:正向泡沫(房价持续上升)和反转泡沫(房价整体下降却存在反转点)。各个城市(地区)房地产价格具有较强的空间传染性;存在正向泡沫区域的空间传染性相较反转泡沫区域更为明显,在考虑经济空间测度而不是物理空间测度的情况下,各城市间的空间传染性更强。与现有文献不同,我们发现反转泡沫区域的新房价格指数特别是二手房价格指数的上升对周边城市的房地产价格指数存在强烈的正向推高影响。最后,本文发现城市的房地产调控政策在一定程度上抑制了房价传统影响(比如信贷、新房、二手房价等)因素的推高影响,但各城市房地产价格之间的联动变化特征应该引起监管部门的注意。     

金融周期对房地产价格的影响——基于SV-TVP-VAR模型的实证研究

本文利用2004-2016年的季度数据构建金融周期综合指数,用以描述金融市场景气程度;使用SV-TVP-VAR模型,围绕金融周期对我国房地产价格的影响进行实证研究。结果表明,金融周期对房地产价格的影响具有明显的时变性特征:2008年以前金融市场繁荣对房价有稳定推升作用,2008年后该影响持续弱化;与之类似,实体经济对房价的影响同样自2008年起逐渐减小。这意味着,在经济增长方式转变和经济结构调整的过程中,我国房地产价格对经济金融冲击的敏感度已经大幅下降,金融扩张可能难以再通过房地产市场有效带动实体经济的繁荣,相反,其反而可能导致银行贷款不良率的攀升,在金融系统内积累系统性风险。我国针对房地产的宏观调控政策不仅对控制贷款不良率的提高体现出积极作用,而且自2008年国际金融危机以来,产出及房价的随机波动率均呈显著下降趋势,风险得到有效控制。未来应更加重视房地产市场调控在宏观审慎政策框架中的重要地位,遏制房地产金融化泡沫化势头,防范房地产市场引发金融危机。     

基于CPV模型的房地产信贷信用风险的度量和预测

本文基于CPV模型，对房地产信贷风险进行了度量与预测。结果表明，该模型在度量和预测房地产信贷违约率方面具有较好的效果。房地产信贷的违约率和宏观经济状况紧密相连，当经济状况恶化，房地产信贷违约率上升，当经济状况好转，房地产信贷违约率下降。分别从国家宏观经济、房地产行业状况、房地产企业状况三个层面选择出三个宏观经济因素指标——综合领先指标、国房景气指数和企业景气指数进行研究，结果表明，对于研究房地产信贷的信用风险来说它们是较好的指标，尤其是综合领先指标。     

基于CPV模型的房地产信贷信用风险的度量和预测

本文基于CPV模型,对房地产信贷风险进行了度量与预测.结果表明,该模型在度量和预测房地产信贷违约率方面具有较好的效果.房地产信贷的违约率和宏观经济状况紧密相连,当经济状况恶化,房地产信贷违约率上升,当经济状况好转,房地产信贷违约率下降.分别从国家宏观经济、房地产行业状况、房地产企业状况三个层面选择出三个宏观经济因素指标--综合领先指标、国房景气指数和企业景气指数进行研究,结果表明,对于研究房地产信贷的信用风险来说它们是较好的指标,尤其是综合领先指标.     

空间变异特征下金融发展结构对房地产库存的影响研究

利用2004-2018年我国房地产库存和金融发展结构的省际面板数据建立GWR模型,考量空间变异特征下金融发展结构对房地产库存的影响。结果表明：金融发展结构对房地产库存的影响呈现出显著的动态市场异质性特征,即不同经济发展阶段、不同的经济发展区域、金融发展结构对房地产库存的影响不同;房地产开发企业国内贷款和商品房房价对房地产库存的影响具有典型的市场异质性,且表现出非线性特征;房地产开发企业自筹资金、房地产开发企业利用外资、房地产开发企业其他资金对房地产库存具有抑制作用;房地产开发投资额对房地产库存具有促进作用。     

Evidence of Information Asymmetries in the Market for Residential Condominiums

Previous research (Rutherford et al. 2005; Levitt and Syverson 2005) identify and quantify agency problems in the brokerage of single-family houses. Real estate agents are found to receive a premium when selling their own houses in comparison to similar client-owned houses. Given the homogeneity of the condominium market in comparison to the single-family house market, we use a large sample of condominium transactions to examine if agency problems exist in the condominium market. Controlling for sample selection and endogeneity bias of the data, we find evidence for a similar price premium for agent-owned condominiums. In contrast to the results for single-family houses in the same geographic market, we find that agent-owned condominiums must stay on the market longer to receive a higher price.