共查询到20条相似文献,搜索用时 280 毫秒
1.
Velma Zahirovic-Herbert Geoffrey K. Turnbull 《The Journal of Real Estate Finance and Economics》2008,37(2):113-130
This paper develops an empirical framework for taking into account the effects of endogenous liquidity on price capitalization
estimates. Changes in school attendance zones in the East Baton Rouge Parish public school district provide a natural experiment
for studying how changes in school characteristics affect house prices and liquidity. House price and selling time, or liquidity,
are simultaneously determined in search markets. The empirical model exploits variation in the surrounding neighborhood market
conditions pertinent to each house to identify the system of price and liquidity equations. The estimates are consistent with
search-market theory in that liquidity absorbs part of the capitalization of school quality.
相似文献
Velma Zahirovic-HerbertEmail: |
2.
Spatial Dependence,Housing Submarkets,and House Price Prediction 总被引:1,自引:0,他引:1
Steven C. Bourassa Eva Cantoni Martin Hoesli 《The Journal of Real Estate Finance and Economics》2007,35(2):143-160
This paper compares alternative methods of controlling for the spatial dependence of house prices in a mass appraisal context.
Explicit modeling of the error structure is characterized as a relatively fluid approach to defining housing submarkets. This
approach allows the relevant submarket to vary from house to house and for transactions involving other dwellings in each
submarket to have varying impacts depending on distance. We conclude that—for our Auckland, New Zealand, data—the gains in
accuracy from including submarket variables in an ordinary least squares specification are greater than any benefits from
using geostatistical or lattice methods. This conclusion is of practical importance, as a hedonic model with submarket dummy
variables is substantially easier to implement than spatial statistical methods.
相似文献
Martin HoesliEmail: |
3.
Julie Mueller John Loomis Armando González-Cabán 《The Journal of Real Estate Finance and Economics》2009,38(2):155-172
Unlike most hedonic studies that analyze the effects of a one-time event, this paper analyzes the effects of forest fires
that are several years apart in a small geographical area. We find that repeated forest fires cause house prices to decrease
for houses located near the fires. We test and reject the hypothesis that the house price reduction from one fire is equal
to the house price reduction from a second fire. The first fire reduces house prices by about 10%, while the second fire reduces
house prices by nearly 23%, a statistically significant difference. The pattern of these results are robust to several alternative
econometric specifications.
相似文献
John Loomis (Corresponding author)Email: |
4.
Paul K. Asabere Forrest E. Huffman 《The Journal of Real Estate Finance and Economics》2009,38(4):408-419
This study examines the impacts of trails and greenbelts and other amenities on home value. Using the hedonic framework the
study provides analyses of a database consisting of roughly 10,000 sales of homes occurring from April 2001 to March 2002
in and around San Antonio, Bexar County, Texas. Among other things, our study shows that trails, greenbelts, and trails with
greenbelts (or greenways) are associated with roughly 2, 4, and 5%, price premiums, respectively. The following amenities:
proximity to golf course, neighborhood playground, tennis court, neighborhood pool, view, and cul-de-sac, all add significantly
to home value.
相似文献
Forrest E. HuffmanEmail: |
5.
Geoffrey K. Turnbull Jonathan Dombrow 《The Journal of Real Estate Finance and Economics》2007,35(1):57-76
This study examines how individual agents affect house selling prices and time on the market while controlling for brokerage
firm-specific effects as well as supply and demand conditions that vary by neighborhood. Firm size effects disappear once
firm specialization and agent characteristics are taken into account but geographic concentration by firms leads to higher
selling prices. For individual agents, neither sex nor selling own listings affects price or selling time, but there are gains
from partnering transactions across firms. Agents who specialize in listing properties obtain higher prices for their sellers
while those who specialize in selling obtain lower prices for their buyers. Houses nearer to other transactions of an agent
sell for higher prices. Finally, greater scale of listing and selling activity by an agent tends to lower selling price or
lengthen the time on the market.
相似文献
Geoffrey K. TurnbullEmail: |
6.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
7.
Patricia Fraser Martin Hoesli Lynn McAlevey 《The Journal of Real Estate Finance and Economics》2008,37(1):71-91
This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970–2005.
Utilizing a dynamic present value model, we find disparities between actual and fundamental house prices in the early 1970s
and 1980s and from 2000 to date. We model the bubble component that is related to fundamentals (the intrinsic component),
making it possible to highlight whether a bubble still exists after that component is accounted for. We then analyze any remaining
bubble to detect any momentum behavior. Much of the overvaluation of the housing market is found to be due to price dynamics
rather than an overreaction to fundamentals.
相似文献
Lynn McAleveyEmail: |
8.
Domino Effects Within a Housing Market: The Transmission of House Price Changes Across Quality Tiers 总被引:1,自引:0,他引:1
Lok Sang Ho Yue Ma Donald R. Haurin 《The Journal of Real Estate Finance and Economics》2008,37(4):299-316
We argue that shocks to a housing market are transmitted through the hierarchy of quality tiers within a housing market. The
result is the prediction of waves of house price changes accompanied by changes in transaction volume. Our study is related
to existing models of spatial ripple effects across housing markets. The data are from the Hong Kong housing market. The findings
from Granger causality tests strongly support the argument that domino effects within a single housing market occur in response
to external shocks.
相似文献
Donald R. HaurinEmail: |
9.
Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little
guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches
based on exponential and power utility functions. A number of problems are identified with both types of spectral risk measure.
The general lesson is that users of spectral risk measures must be careful to select utility functions that fit the features
of the particular problems they are dealing with, and should be especially careful when using power SRMs.
相似文献
Ghulam SorwarEmail: |
10.
Determinants of House Prices: A Quantile Regression Approach 总被引:1,自引:0,他引:1
Joachim Zietz Emily Norman Zietz G. Stacy Sirmans 《The Journal of Real Estate Finance and Economics》2008,37(4):317-333
OLS regression has typically been used in housing research to determine the relationship of a particular housing characteristic
with selling price. Results differ across studies, not only in terms of size of OLS coefficients and statistical significance,
but sometimes in direction of effect. This study suggests that some of the observed variation in the estimated prices of housing
characteristics may reflect the fact that characteristics are not priced the same across a given distribution of house prices.
To examine this issue, this study uses quantile regression, with and without accounting for spatial autocorrecation, to identify
the coefficients of a large set of diverse variables across different quantiles. The results show that purchasers of higher-priced
homes value certain housing characteristics such as square footage and the number of bathrooms differently from buyers of
lower-priced homes. Other variables such as age are also shown to vary across the distribution of house prices.
相似文献
G. Stacy SirmansEmail: |
11.
Carl R. Chen Peter P. Lung F. Albert Wang 《Review of Quantitative Finance and Accounting》2009,32(4):317-349
This paper employs the Campbell-Shiller (Rev Financ Stud 1:195–228, 1988) VAR model to derive a model-based mispricing measure that captures investor overreaction to growth. Using this mispricing
measure, we find that stocks with low levels of mispricing outperform otherwise similar stocks. The long–short mispricing
strategy generates statistically and economically significant returns over the sample period of July 1981 to June 2006. Moreover,
this mispricing strategy outperforms the contrarian strategy using various accounting-fundamental-to-price ratios. Our results
cast doubt on the risk story in explaining the abnormal returns of the mispricing strategy. Rather, our evidence suggests
that asset prices reflect both covariance risk and mispricing.
相似文献
F. Albert WangEmail: |
12.
Asymmetric timeliness tests of accounting conservatism 总被引:7,自引:1,他引:6
J. Richard Dietrich Karl A. MullerIII Edward J. Riedl 《Review of Accounting Studies》2007,12(1):95-124
Recent accounting research employs an asymmetric timeliness measure to test the hypothesis that reported accounting earnings
are “conservative.” This research design regresses earnings on stock returns to examine whether “bad” news is incorporated
into earnings on a more timely basis than “good” news. We identify properties of the asymmetric timeliness estimation procedure
that will result in biases in the test statistics except under very restrictive conditions that are rarely met in typical
empirical settings. Using data series that are devoid of asymmetric timeliness in reported earnings, we show how these biases
result in evidence consistent with conservatism. We conclude that the biased test statistics inherent in the asymmetric timeliness
research design preclude using this method to measure conservatism; that these biases are irresolvable as they originate in
the test’s specification; and that studies employing asymmetric timeliness tests cannot be interpreted as providing evidence
of conservatism.
相似文献
Edward J. RiedlEmail: |
13.
The effect of accessibility upon rent is investigated for office properties located in Downtown Stockholm. Starting from the
firm’s cost minimization problem, a translog hedonic model is derived. The results suggest the model has good predictive power
in explaining the variation in the log of the rent. A negative rent gradient is obtained with a base approximately 90 m from
the postulated focal point. It appears as if Space Syntax adds important information to the understanding of the intraurban
office rent pattern.
相似文献
Olof NetzellEmail: |
14.
Mark Bertus Harris Hollans Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,37(3):265-279
Until the recent introduction of real estate futures on the Chicago Mercantile Exchange (CME), there have been few opportunities
to manage house price risk. This paper examines whether house price risk can be effectively hedged in Las Vegas, one of the
CME contract cities. The analysis considers hedging from the viewpoint of real estate investment groups, mortgage portfolio
investors, builder/developers and individual homeowners. For investment groups and mortgage holders holding a mix of new and
existing home assets, CME futures would have reduced house price risk by more than 88% over the 1994–2006 period. Similarly,
homeowners implicitly hedging price volatility of existing homes also would have fared well over the sample period. However,
builder/developers worried about new home price appreciation would have been much less successful in managing their risk.
One important caveat, minimum variance hedge ratios change over time and may cause hedge performance to suffer.
相似文献
Steve Swidler (Corresponding author)Email: |
15.
Ben R. Marshall Martin R. Young Rochester Cahan 《Review of Quantitative Finance and Accounting》2008,31(2):191-207
We show that candlestick charting, the oldest known form of technical analysis, is not profitable in the Japanese equity market
over the 1975–2004 period. Candlestick technical analysis, which was developed in Japan in the 1600s, is deeply intertwined
with Japanese culture and is very popular in Japan. However, there is no evidence candlestick technical trading strategies
add value in either the entire 30 year period, in three 10 year sub-periods or in bull or bear markets.
相似文献
Rochester CahanEmail: |
16.
An owner delegates investment decisions to a better informed manager whose time preferences are unknown to the owner. Due
to exogenous capital constraints, not all profitable projects can be undertaken, and therefore the owner wants the manager
to select the NPV-maximizing set of projects. We show that the relative benefit cost allocation scheme proposed by prior literature
does not solve this problem. Adopting the same information structure as in Rogerson (J Polit Econ 105, 770–795, 1997) and
Reichelstein (Rev Account Stud 2, 157–180, 1997), we demonstrate how to obtain robust goal congruence using residual income.
The resulting revenue recognition and cost allocation rules lead to a performance measure reflecting the expected NPV-ranking
of projects in each and every period.
相似文献
Moshe BareketEmail: |
17.
Hsuan-Chu Lin 《Review of Quantitative Finance and Accounting》2007,29(2):173-180
This paper identifies and corrects a typographical error in Black and Cox (J Finance 31:351–367, 1976). While the typographical error is seemingly trivial, the magnitude of the pricing error that it generates can be substantial.
相似文献
Hsuan-Chu LinEmail: |
18.
Taxation on Land Value and Development When There Are Negative Externalities from Development 总被引:2,自引:1,他引:1
This article employs a real options framework to investigate the design of taxation on both land value and development in
a competitive real estate market. We assume that developed properties reduce open space, and thereby harm urban residents.
However, ignoring this negative externality, landowners will develop properties sooner than is socially optimal. A regulator
can correct this tendency by imposing a positive tax on development or a negative tax on land value. Alternatively, the regulator
can implement both instruments simultaneously, in which case an increase in the tax rate on development will be accompanied
by an increase in the tax rate on land value, and vice versa.
相似文献
Tan Lee (Corresponding author)Email: |
19.
Seow Eng Ong Poh Har Neo Yong Tu 《The Journal of Real Estate Finance and Economics》2008,36(3):265-287
Where borrowers are personally liable for shortfalls when they default on their mortgages, lenders have to exercise a duty
of good faith in securing a reasonable value for the foreclosed property. The lender is entitled to recover the outstanding
loan as quickly as possible, and is not bound to sell the foreclosed property at the highest price. Such an institutional
setting allows us to study lender and borrower behavior, specifically the influence of price expectations, volatility and
equity losses on foreclosure transactions using non-foreclosure transactions as a comparison. Our results show that differences
in seller response to market expectations and equity losses exist across foreclosure and non-foreclosure transactions. Seller
behavior matters. While price expectations, volatility and equity losses are influential factors for individual households,
past price movements is the most important. This study also further seeks to distinguish loss aversion from disposition effect.
By controlling for properties that suffered losses in equity but did not sell, we are able to examine the disposition effect
in house owners. The result shows that there is disposition effect for non-foreclosure properties, where individual homeowners
are reluctant to sell if the properties suffer losses.
相似文献
Seow Eng OngEmail: |
20.
Asset Price Spillover,Collateral and Crises: with an Application to Property Market Policy 总被引:1,自引:0,他引:1
Nan-Kuang Chen Charles Ka Yui Leung 《The Journal of Real Estate Finance and Economics》2008,37(4):351-385
This paper studies the impact of land supply elasticity and land use regulation. For sufficiently adverse shocks constrained
entrepreneurs liquidate their assets for debt repayment. This effect can spillover to the residential property market. A crisis
occurs when households are forced to default on their mortgages as well. While both converting costs and land use regulation
tend to magnify the effect of adverse shock, the former generates an asymmetric effect between a positive and a negative shock
on the land market, and the latter tends to raise the likelihood of a crisis, by raising the threshold value of liquidation.
相似文献
Charles Ka Yui LeungEmail: |