房地产投资风险管理

对房地产投资开发过程中所存在的各种风险进行了分析,运用数学和概率统计的知识,分析了衡量房地产投资风险大小的几种方法,并提出了针对各种潜在风险的规避与控制措施。     

Equilibrium Real Options Exercise Strategies with Multiple Players: The Case of Real Estate Markets

This article derives a closed-form solution for an equilibrium real options exercise model with stochastic revenues and costs for monopoly, duopoly, oligopoly and competitive markets. Our model also allows one option holder to have a greater production capacity than others. Under a monopolistic environment we find that the optimal option exercise strategy in real estate markets is dramatically opposite to that in a financial (warrant) market, indicating the importance of paying attention to the institutional details of the underlying market when analyzing option exercise strategies. Our model can be generalized to the pricing of convertible securities and capital investment decisions involving both stochastic revenues and costs under different types of market structures.     

房地产开发风险的多因素层次模糊综合评价模型

房地产开发活动受到诸多风险因素的影响,对风险预期估计的不足会导致开发商蒙受巨大的损失,甚至破产。从开发商的角度出发,分析房地产开发中存在的主要风险因素,通过建立房地产开发风险因素多层次模糊综合评价模型,索取专家数据,计算风险因素的权重并进行分析,旨在为开发商对开发项目风险的判别起到积极作用,以达到不断提高开发商的自身竞争力。     

Real Estate Returns and Risk with Heterogeneous Investors

This article develops a theoretical framework and formulates a unified risk metric that integrates both real estate price risk and uncertainty of time on market (TOM). We demonstrate that real estate sellers with different degrees of financial distress face not only different marketing period risks, but also receive different return distributions upon successful sales. The major findings of this article can be summarized as follows. First, we show that real estate return and risk, which account for both price and TOM risk, are investor specific, varying over investors with different financial circumstances and holding periods. Second, the traditional valuation of real estate return and risk, which is based solely on the return distribution of a successful sale without considering the uncertainty of TOM and the investor's financial circumstances, underestimates real estate risk and exaggerates real estate return. Third, our empirical applications in both residential and commercial real estate markets show that the Sharpe ratio estimated by the traditional approach is seriously overstated—to the largest extent for investors with high financial distress. In addition, we find that, given the typical 5‐ to 7‐year holding period for real estate, the Sharpe ratios estimated by integrating both price and TOM risk are much in line with the performance of financial assets. These findings can help to explain the apparent “risk‐premium puzzle” in real estate.     

Demand Uncertainty,Development Timing and Leasehold Land Valuation: Empirical Testing of Real Options in Residential Real Estate Development

This article develops and tests a long‐dated American call option pricing model for valuing development land under leasehold. We analyze and test option values in ten detailed Hong Kong cases involving purchase, holding, converting and developing land. We also test for optimal exercise of long‐dated American calls using processes based on the optimal trigger ratio feature of the perpetual American call option model. Generally, the empirical results confirm presence of a positive and nontrivial option premium (mean +5.274%) in the cases, and that developers appear to delay exercise to the point predicted by the real options model.     

基于中国市场的房地产期权研究

面对日渐繁荣的中国房地产市场,房价涨幅过快、过高已经是一个不容回避的问题。房地产期权作为一种创新型投资理财工具,在欧美和亚洲金融衍生品市场几乎完全空白,能够有效对冲房价过快上涨的风险,改变中国购房者传统购房观念,间接缓解房地产价格过快上涨的压力。本文基于中国市场对以房地产价格为标的物的期权产品进行研究,以西安市房地产市场为例进行模拟分析,结果表明,房地产期权可以满足普通购房者对冲房价过快上涨的避险需求,转变传统购房观念,缓解短期购房压力,降低房地产市场的整体风险,在一定程度上促进房地产市场平稳有序的发展,具有十分显著的现实应用价值。     

Dynamic Programming Model of Real Estate Multi-project and Multi-stage Development Decision

针对房地产开发中多项目开发的优化决策问题,通过建立有针对性的项目开发方案评估体系,在完成对各项目的开发方案评估的基础上,将多项目的优化决策转换为多阶段优化决策,以所有项目的总效益达到最优为目标,创新性地运用动态规划的方法来求解最优的多项目开发策略.实证研究表明:文章所建立的决策方法和动态规划模型是有效的,并且能够针对项目外部及内部变化做出相应调整,体现了该动态规划模型的适用性.     

A Simple Search and Bargaining Model of Real Estate Markets

This paper examines the impact of brokers on buyers' and sellers' search behavior and on the transaction prices in real estate markets. It is shown that the seller and the buyer search less intensively if the house is listed with a broker. The seller gets a higher price when he employs a broker, but the increase in price is smaller than the commission fee. More specifically, the portion of the commission covered by the increase in price is directly related to the bargaining powers of the buyer and the seller. In the special case where the price is determined according to the Nash bargaining solution, the increase in price is shown to be half of the commission fee. It is also shown that an increase in the commission rate increases the equilibrium price but decreases the equilibrium search intensities.     

实物期权在石油开发中的应用

传统净现值法主要适用于不确定性很小的投资项目，不适用于如石油开发这种高风险的项目。文章介绍了一种新的评估方法：实物期权法。以石油开发为例，介绍了实物期权的模型及类型，并对该方法的的适用性做了简单评述。     

房地产开发项目并行式建设组织模式及实施

文章基于并行工程的理论要求,从房地产开发项目的组织结构变革入手,形成并行式建设组织模式.对建立项目信息门户、形成并行式开发流程、实现协同管理3个方面进行了研究,以实现房地产开发项目并行式组织与管理.     

Return Risk and Cash Flow Risk with Long-term Riskless Leases in Commercial Real Estate

This paper presents a conceptual analysis of some of the key fundamentals that underlie the risk characteristics of commercial real estate returns. In particular, the relationship between the property's return risk and its cash flow risk is explored. This relationship is important because it is the return risk that should matter most to investors, yet it is the cash flow risk or market risk about which we may have the most objective information and the most intuition. This is because real estate assets are generally unsecuritized and trade too infrequently to observe time series of returns (including appreciation) that could be used to directly study the risk characteristics of the returns. By explicitly incorporating the possibility of cash flows governed by riskless long-term leases, this paper also explores the relationship between lease term and both cash flow risk and return risk.     

关于房地产投资风险类型的研究

本借鉴了证券投资组合理论和资本资产定价模型的思想，将房地产投资风险划分为系统风险和非系统风险，并结合我国的实际情况，对房地产投资风险的类型进行了深入的研究。     

The Risk and Return of Commercial Real Estate: A Property Level Analysis

I compare the performance of the index‐based time series approach and the cross‐sectional approach in estimating factor loadings of nontraded assets, and show that the latter likely provides less biased and more efficient estimates. I then use the cross‐sectional approach to estimate the loadings of privately owned commercial real estate on the Fama and French (1993) factors, the Pastor and Stambaugh (2003) liquidity factor, and two bond market factors, using a sample of 14,115 properties in the 1977–2012 period. I find statistically significant loadings, of which the signs seem consistent across property types, but the magnitude varies. Using the time series approach on the same data, I find insignificant loadings on virtually all factors. To investigate the sources of the weak results from the time series approach, I conduct a Monte Carlo simulation in which both approaches are correctly specified and indices can be estimated perfectly. Simulation results suggest that the cross‐sectional approach provides more accurate estimates under reasonable market conditions.     

Compensation Options in Joint Ventures. A Real Options Approach

This research focuses on a cluster of dynamic reallocation and restatement of ownership clauses contained in joint venture agreements. These clauses, with potentially significant financial implications, govern the transfer of rights between the parties on two key financial issues: the allocation of profits and losses and the ownership interests in the joint venture. The central contribution of this research is to consider these clauses themselves as non-standard real options and to propose a methodology for assessing their values. Determination of such values will be essential throughout the joint venture negotiation process. In addition, we provide valuable information on another key question of managerial importance: estimating the downside risk of a clause so that the affected party can design a hedging strategy. Two actual case studies extracted from recent joint ventures have been used to stress the importance of these concepts and to develop suitable valuation techniques. The theoretical framework is based on real options methodologies. However, the clauses studied involve real options with non-standard features (compensation options and options with uncertain initial date). Therefore, we have developed ad hoc valuation models with user-friendly numerical examples in spreadsheet format.     

青岛开发区房地产业发展研究

对青岛开发区房地产市场调查评估，发现房地产投资持续快速发展、商品房销售供给两旺、个人购房比例上升、空置房减少。房地产市场能保持购销两旺成因主要是：社会经济良性发展、居民收入快速提高、城市化进程加快、住房制度改革顺利、国家住房金融政策放宽，以及企业和环境等方面。章分析了其房地产业未来发展趋势及需要注意的一些问题。     

Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach

This paper analyzes the returns of a sample of Real Estate Investment Trusts and examines their risk-adjusted performance using both single index (i.e., CAPM) and multiple index (i.e., APT) models. It is shown that while the performance rankings of the investment trusts are not very sensitive to the risk-adjustment model, the actual performance measures do sometimes differ substantially. Unfortunately, because of the high volatility of these real estate investments, the differences in investment performance across trusts generally are not statistically significant.     

Commercial Real Estate Rental Index: A Dynamic Panel Data Model Estimation

Using the actual quarterly rental income generated in the years between 2001 and 2010 by over 9,000 NCREIF commercial properties, we construct a commercial real estate rental index and estimate the time series properties (e.g., mean‐reversion speed and volatility) of market‐wide rental growth using a dynamic panel data model. The dynamic panel data model has several advantages over a standard hedonic regression. In addition, we incorporate age effects into our panel data model, and by doing so we correct the age bias in the repeated sales method and in the simple average method. Our estimates show that rental growth is cyclical but it generally lags behind broader economic growth. Surprisingly, the long‐term average rental growth is significantly lower than what is usually perceived, and the volatility of rental growth can be significantly under estimated when the conventional methods are adopted. We also find significant cross‐property type and cross‐region variations in the rental adjustment process. In contrast to the existing literature, we find a strong negative relation between rental growth and cap rate, and that this relation is significantly stronger than that between NOI growth and cap rate. Finally, we establish an empirical relation between price return and rental growth in the commercial real estate market.     

Real Estate Returns: A Comparison with Other Investments

Real estate returns, measured unleveraged, have been between those of stocks and bonds over 1960–1982. Due to appraisal smoothing and imperfect marketability, one must be careful about directly comparing measured real estate returns with those on other assets. It is likely, however, that low correlations with stocks and bonds make real estate a diversification opportunity for traditional portfolio managers. In addition, the issue of how various assets are priced is addressed. While stocks are priced primarily on market or beta risk, and bonds are priced primarily on interest rate and default risk, the real estate pricing mechanism includes residual risk and non-risk factors such as taxes, marketability costs and information costs.     

Is There a Risk Premium Puzzle in Real Estate?

This paper is based on my Presidential Address to the American Real Estate and Urban Economics Association delivered at Washington, D.C., in January 2003. The paper asks whether there is a risk premium puzzle in real estate. I examine this question by reporting on an empirical investigation of real estate investors' expectations over the last 15 years. The results suggest that ex ante expected risk premiums on real estate are quite large for their risk, too large to be explained by standard economic models. Further, the results suggest that ex ante expected returns are higher than average realized equity returns over the past 15 years because realized returns have included large unexpected capital losses. The latter conclusion suggests that using historical averages to estimate the risk premium on real estate is misleading.