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1.
Siu Kei Wong K. W. Chau K. Karato C. Shimizu 《The Journal of Real Estate Finance and Economics》2018,57(3):351-366
Since real estate is heterogeneous and not all its quality attributes are observable, the repeat sales model pioneered by Bailey et al. (1963) has become one of the standard methods to estimate a constant-quality price index. The model, however, fails to adjust for depreciation, as age and time between sales have an exact linear relationship. This paper proposes a new method to estimate an age-adjusted repeat sales index by decomposing property value into land and structure components. As depreciation is more relevant to the structure than land, the property’s depreciation rate should depend on the relative size of land and structure. The larger the land component, the lower the depreciation rate of the property. This new method is applied to property transactions in Hong Kong and Tokyo. Hong Kong is shown to have a higher depreciation rate based on a fixed structure-to-property value ratio, while the resulting age adjustment is larger in Tokyo because its land value has shrunken over time. 相似文献
2.
Developing a House Price Index for The Netherlands: A Practical Application of Weighted Repeat Sales 总被引:1,自引:0,他引:1
S. J. T. Jansen P. de Vries H. C. C. H. Coolen C. J. M. Lamain P. J. Boelhouwer 《The Journal of Real Estate Finance and Economics》2008,37(2):163-186
This paper describes the development of a house price index that has been introduced in May 2005 in The Netherlands. This
monthly index, called Woningwaarde Index Kadaster (House Price Index Kadaster), is designed to detect changes in the price
of the overall stock of owner-occupied homes. Fifty-five indices are calculated: one overall index, four regional indices,
12 provincial indices and 38 indices based on combinations of region/province and dwelling type. We used Case and Shiller’s
geometric Weighted Repeat Sales Model to calculate monthly house price indices. We used recorded data on the sales of over
500,000 owner-occupied homes in The Netherlands, all representing repeat sales between January 1993 and December 2006. The
accuracy of the index was determined using the 95% confidence interval. We observed that accuracy might become a problem in
smaller sub samples. Revision volatility was explored by comparing the index values computed from all available data until
December 2005 with the index values computed from the data available until December 2006. Our analysis showed that revision
volatility does not seem to be a major problem to the index. We also explored heteroskedasticity in the Repeat Sales method
but did not find conclusive evidence for the proposed heteroskedasticity. Given our target (a geometric mean index value)
and the characteristics of the dataset (very large but without property characteristics) the Repeat Sales Method seems to
be adequate for calculating a house price index for The Netherlands.
相似文献
P. J. BoelhouwerEmail: |
3.
Ute S. L. Cheung Kelvin K. W. Yau Y. V. Hui 《The Journal of Real Estate Finance and Economics》2004,29(3):321-339
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. 相似文献
4.
Firms added to (deleted from) the S&P 600 index experience a significant price increase (decrease) at announcement. Firms that newly enter (exit) the S&P universe experience a larger price increase (decrease) than firms that move between S&P indexes. Trading volumes are higher after the announcement and institutional ownership increases (decreases) following index additions (deletions). However, the price and volume effects are temporary and are fully reversed within 60 days, in contrast to the permanent effects reported for S&P 500 changes. Our results support the temporary price‐pressure hypothesis and are similar to results reported for Russell 2000 index changes. 相似文献
5.
We provide an extensive analysis of retirement behaviour in Austria with a special focus on the role of incentives delivered by the tax and benefit system in determining individual retirement decisions. A comprehensive microsimulation model of the Austrian pension system is applied to calculate retirement benefit entitlements and forward‐looking incentive measures (social security wealth, accrual rate, peak and option values) on an individual basis. We use the calculated incentive measures as the main explanatory variables in probit models to explain retirement decisions. We base our microsimulation and estimations on an extensive administrative Austrian data set. These data contain information on more than 300,000 new retirees from the period 2001–11. We provide robust evidence that incentive measures are well suited to explaining individual retirement decisions. 相似文献
6.
The Journal of Real Estate Finance and Economics - 相似文献
7.
中国地震灾害发生频率高、范围广、强度高、震源浅、空间异质性高,造成了大量的人员伤亡和经济损失。相对于发达国家,中国地震灾害风险管理更多依赖政府救援。因此,中国政府和学界开始积极探索地震保险的重要作用,将其视为综合风险防范中关键的组成部分。作为一种创新型的市场驱动地震灾害风险分散工具,地震指数保险能够为灾后救助和恢复重建快速提供充足的资金。选择合适的保险指数是地震指数保险产品设计中至关重要的环节。因此,本文以农房为研究对象,通过梳理地震灾害系统和成灾致损的关键过程,构建地震指数保险指标体系,并从数据可获取性及时空覆盖度、效率、居民认知度和基差风险等角度对不同的地震指数进行对比分析,选择适用于中国农房地震指数保险的最优指数。 相似文献
8.
This article investigates how trade imbalances affect prices in the S&P 500 Long‐term Equity Anticipation Securities (LEAPS) market. From 1994 to 1996, put volume was 30 times higher than call volume, and public purchases of puts vastly outnumbered sales. We find that LEAPS put quotes are revised following trade imbalances by more than can be explained by information effects, suggesting that put prices are subject to price pressure or inventory effects. The results suggest market frictions are important in the pricing of options, at least in settings in which arbitrage is particularly costly and public demand leans toward one type of order. 相似文献
9.
当前我国劳动力逐渐短缺,职工退休年龄直接关系到我国劳动力供给的数量和结构。使用2011年在广东省21个地市的问卷调查数据,研究影响职工退休年龄问题的影响因素。实证研究表明,工资、工龄对职工退休年龄的影响显著为正。养老金对男职工退休年龄的影响显著为负。机关事业单位职工的退休年龄更晚。教育年限对女职工的影响显著为正。已婚、... 相似文献
10.
《新兴市场金融与贸易》2013,49(1):75-86
We investigate the impact of the U. S. subprime crisis on the stock markets of the Asia-Pacific countries on various event dates. Using data from Hong Kong, Indonesia, Malaysia, Singapore, and Taiwan, we find that the subprime crisis negatively affects these stock markets and investor behavior, especially in Hong Kong and Taiwan. In addition, the subprime crisis generally works through more financial linkages than trade linkages. However, when the subsamples are classified according to industry, this result exists only for the banking industry, but both financial and trade linkages become important to explain the impact of the crisis on the manufacturing industry. 相似文献
11.
Bryan Mase 《The Financial Review》2007,42(3):461-484
This paper investigates FTSE 100 index membership changes, which are determined quarterly by market capitalization and should have no information content. Return reversal around index additions and deletions suggests that buying (selling) pressure moves prices temporarily away from equilibrium, consistent with short‐term downward sloping demand curves. In contrast to widely reported results for the S&P 500, there is no evidence of permanent price effects. Further results suggest that investor awareness and monitoring due to index membership do not explain the price effects. There is statistically significant anticipatory trading in stocks that just fail to be promoted to the FTSE 100. 相似文献
12.
Cristina Vespro 《European Financial Management》2006,12(1):103-127
This paper provides further evidence of price and volume effects associated with index compositional changes by analysing the inclusions (exclusions) from the French CAC40 and SBF120 indices, as well as the FTSE100. I find evidence supporting the price pressure hypothesis associated with index fund rebalancing, but weak or no evidence for the imperfect substitution, liquidity and information hypotheses. The results improve on recent evidence from the S&P500 index. The evidence for the FTSE100 additions shows, in particular, that markets learn about an imminent inclusion and incorporate this information into prices, even before the announcement date. 相似文献
13.
基于中国老年健康影响因素跟踪调查2014年的数据,使用主成分分析法从9个测量指标中提取测度老年人“美好生活”的3个一级指数——安全指数、生存指数和享受指数,并合成老年人“美好生活”综合指数(BLI-E)。分项来看,生存指数、综合指数呈对称的正态分布,安全指数右偏分布水平较高,享受指数左偏分布水平偏低;分地区来看,各省份的老年人“美好生活”指数差异不大,养老服务供给不充分问题更突出;分组来看,老年人中女性比男性、农村比城镇、高龄与低龄、居家养老比独居或机构养老的“美好生活”水平更低。当前制约我国老年人实现“美好生活”的主要瓶颈是养老资源供给不足情况下的共享不均衡问题。建议加大力度解决我国老年人“美好生活”发展不充分的问题,着重解决不平衡问题,打造综合性、全方位的老年人“美好生活”保障体系。 相似文献
14.
我国出口退税政策调整的影响效应分析 总被引:8,自引:0,他引:8
新一轮出口退税机制对我国的财政、经济均有一定的影响。此出口退税机制将进一步加剧地方保护主主义,不利于国内市场的统一。但将优化出口产品结构,缓解人民币升值的压力。 相似文献
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16.
This paper provides empirical analyses of three explanations for the observed positive autocorrelation of short-horizon stock index returns, using NYSE/AMEX and NASDAQ data. Results indicate that index autocorrelation cannot be substantially explained by either autocorrelated, time-varying expected returns, or nonsynchronous trading. The third explanation for index autocorrelation, the nonsynchronous information transfer hypothesis, states that stocks incorporate market-wide information on a nonsynchronous basis due to information and transaction costs. Evidence from analyses of mean returns on various portfolios following large returns on the S 500 futures contract, as well as regressions of portfolio returns on current and lagged futures returns, support this explanation. Small (large) firms collectively require approximately 7 (1-2) weeks to fully incorporate new market information on average, and this delayed impoundment accounts for the bulk of the observed autocorrelation. 相似文献
17.
近期,我国机关事业单位养老保险改革已是大势所趋,却又是难中之难,阻碍重重。南非的公务员养老保险制度向主权养老基金的成功转型的实践及其成熟经验,可以为中国的改革提供有益的借鉴,即建立一只完全积累的、中央集中管理的、缴费确定型的主权养老基金,来取代当前的"国家保险"型公务员养老金制度。 相似文献
18.
本文以货币政策传导机制理论为基础,通过构建面板模型,对货币政策的区域效应进行定量分析,研究结果表明,中国货币政策存在明显的区域效应差异。从贷款投放对经济增长的刺激作用来看,中部、东北和东部地区省份的效果比较明显,而西部地区的效果较差。对于资本投入相对不足的西部地区,要加快实施西部大开发战略、调整区域经济结构、推动产业转移;对于资本积累充足的东部地区,要提高资本的边际产出率,提高经济效率。 相似文献
19.
选取2015年6月15日至8月26日股灾期间沪深300股指期货与沪深300指数5分钟高频数据,通过E-G两步协整检验、格兰杰因果检验、脉冲响应模型等,对股灾期间股指期货市场价格发现功能及波动溢出效应进行实证研究.结果表明:股灾期间沪深300股指期货仍具备价格发现功能,但存在对现货市场的单向波动溢出,具有一定的"助跌"效应. 相似文献
20.
This paper describes a two-factor model for a diversified index that attempts to explain both the leverage effect and the
implied volatility skews that are characteristic of index options. Our formulation is based on an analysis of the growth optimal
portfolio and a corresponding random market activity time where the discounted growth optimal portfolio is expressed as a
time transformed squared Bessel process of dimension four. It turns out that for this index model an equivalent risk neutral
martingale measure does not exist because the corresponding Radon-Nikodym derivative process is a strict local martingale.
However, a consistent pricing and hedging framework is established by using the benchmark approach. The proposed model, which
includes a random initial condition for market activity, generates implied volatility surfaces for European call and put options
that are typically observed in real markets. The paper also examines the price differences of binary options for the proposed
model and their Black-Scholes counterparts.
Mathematics Subject Classification: primary 90A12; secondary 60G30; 62P20
JEL Classification: G10, G13 相似文献