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.     

实物期权在房地产投资决策中应用研究

房地产项目投资具有不可逆性、高度不确定性和管理的灵活性,运用传统的净现值法不能挖掘出项目投资的这些性质所带来的价值,而应用实物期权方法进行房地产投资决策研究,不仅考虑到了房地产投资的不确定性,还体现了投资决策者的柔性管理和战略投资的价值.文章分析了传统净现值法的一些不足,介绍了实物期权的基本理论,并采用了B-S期权定价模型对房地产投资决策过程中蕴含的增长期权进行了案例分析,使得房地产投资决策更加科学合理.     

Personal Residential Real Estate Investment in Australia: Investor Characteristics and Investment Parameters

To date our understanding of the factors affecting the housing supply stem from the private provision of new units through real estate development. This article investigates a different aspect of housing supply, the private provision of rental housing through investment in existing properties. Using logistic regression and a series of micro data sets of Australian households, we examine the investment decision of residential rental property investors over the period 1990–2004. The sample period incorporates a full real estate cycle. Our results indicate that wealth-related factors are the dominant factors driving these investments. Life-cycle factors such as marriage and children play a less important role. Most of the determinants of income property investment do not vary with the property cycle. Marriage is an exception. It became more important as house prices rose.     

实物期权理论在房地产投资决策中应用

房地产业是我国经济增长的引擎和支柱产业,又是一个涉及到各行各业的产业,其受国家政策、环境变化、地区经济和文化影响大,存在很大的不确定性。针对这种不确定性,引入实物期权理论研究了房地产投资决策架构和投资分析方法。     

互补性资产研究综述

本文在归纳不同产业领域中互补性资产的影响和作用基础上,对互补性资产的衡量指标的研究进行了评价分析,认为互补性资产的研究应结合相关领域,研究方法和衡量标准应该符合各产业的实际情况。本文结合建立自主创新型国家、提科研能力的目标,提出从多学科、多角度综合集成的视角探究互补性资产的影响,以及影响的机制和途径。     

商业地产投资的实物期权特性及应用框架研究

商业地产开发投资中存在投资的不可逆性、外部环境的不确定性和决策的灵活性,因而具有实物期权特性。从确定要解决的问题、分析不确定性的来源、鉴别关键的不确定性因素、识别实物期权类型、构建期权定价模型、计算项目价值、检查计算结果和重新设计8个方面,构建了商业地产投资决策的实物期权分析框架。     

Residential Immobility of the Elderly: An Empirical Investigation

This paper investigates the reasons for the substantially lower residential mobility rates among the elderly than the non-elderly. Households with low propensities to move are posited to be those that face few benefits from moving—that is, they are near equilibrium with respect to their housing consumption and tenure choice—or those that face large costs to moving. Using household data from the Panel Study of Income Dynamics, measures of housing disequilibrium and tenure disequilibrium were constructed. Elderly renters were found to be largely in equilibrium and would benefit little from moving. In contrast, elderly homeowners are more likely to be in substantial disequilibrium than their younger counterparts. Conclusions as to which costs to moving are most salient could not be made.     

An Investment Analysis and Decision Making Framework for Real Estate Development*

Recent research analyzing real estate investment decisionmaking has concentrated upon existing income properties. Projects planned for future development have been analyzed as though they were completed and generating rental income. Such analysis has not considered the impact of development period decisions upon operating cash flow and hence project value. This paper proposes a framework for investment analysis which accurately reflects the interrelatedness of the development and operating periods of the real estate development process. A stochastic Markov process is used to develop a model which treats the development and operating periods as an integrated system. The resulting model allows project investment decisions to be made on the basis of a minimum expected profitability index distribution and/or terminal value.     

A Test of Weak-Form Efficiency in Residential Real Estate Returns

This paper tests weak-form efficiency of residential real estate returns for the city of Memphis, Tennessee. The database for the study is comprised of the population of all sales of single-unit residential property over a fifteen-year period, 1970–1984. The city was divided into ten submarkets based on Memphis City Planning Commission planning districts. An analysis of variance procedure was utilized to stabilize the variance both within and across submarkets and nonmarket financing was partially controlled by eliminating transactions with loan-to-value ratios greater than 95%. The remaining transactions were then used to generate a mean return series. The advantage of the mean over the single transaction series used by Gau is that it represents the most likely outcome for the investor trying to duplicate investment performance since "property unique" features would be expected to cancel. Seven of the ten submarkets exhibited time patterns; however, after adjusting for transaction costs, all ten submarkets were determined weak-form efficient for the period 1970–1984. This was not true for the short horizon holding period, 1970–1975. In four sub-markets an asymmetric version of Alexander's filter rule was able to outperform a buy-and-hold, even for round- trip transaction costs as high as 10%.     

Riskiness of Real Estate Development: A Perspective from Urban Economics and Option Value Theory

In this article, we define a new construct for urban economic and investment analysis, which revisits the conventional wisdom that investment in real estate development is riskier than investment in stabilized property assets. This new construct, referred as a “development asset value index” (DAVI), is a value index for newly developed properties (only) in a given geographical property market. It tracks longitudinal changes in the highest and best use (HBU) value of locations, and it reveals developer and landowner behavior taking advantage of the optionality inherent in land ownership. In particular, the DAVI reflects developers' use of flexibility in the exercise of the call option to (re)develop the property to any legal use and density. We empirically estimate a DAVI for commercial property (i.e., central locations) and compare it with a corresponding traditional transaction‐price‐based property asset price index (PAPI) corrected for depreciation. We believe that the difference primarily reflects the realized value of flexibility in land development. We find that the DAVIs display greater value growth and are smoother over time and less cyclical than their corresponding PAPIs for the same locations. This suggests that developers successfully use flexibility, and that development may be riskier than stabilized property investment due primarily only to leverage effects (construction costs). Practical implications are also discussed.     

政府支出、房地产投资与经济增长——基于省际面板数据的实证分析

现阶段,我国的经济增长是投资拉动的经济增长,忽视了投资过度膨胀的不利影响。本文利用2000~2011年全国31个省区市财政支出、房地产投资和经济增长的有关数据,通过单位根检验和协整检验,建立面板数据模型,以财政支出、房地产投资与经济增长之间的长期稳定关系为研究对象进行实证性分析。研究表明:政府支出与房地产投资对经济增长具有明显的促进作用,政府支出的产出弹性大于房地产投资产出弹性;财政支出与房地产投资对经济增长的影响程度在各个省份之间存在较大的差异。分析结果表明:财政支出和房地产投资的激增导致了经济体中流动性的增加和通胀危险的加剧,而硬化财政预算约束、优化财政支出结构、提高信贷成本、缩小信贷规模是防范这一风险的重要途径。     

外商直接投资、政府支出对中国技术进步效应的经验分析

本文将外商直接投资和政府支出结合起来,主要通过建立时变参数模型,利用我国2000～2014 年的数据,对比分析外商直接投资、政府支出对我国技术进步的影响。根据分析结果提出对 策建议,加快我国技术进步的速度必须依靠政府的力量,增加教育投入,调整政府科技投入 结构和加强对科技资金的管理以及提高利用外商直接投资的质量。     

Delegation of Authority In Business Organizations: An Empirical Test

This paper tests the predictions of economic theory on the determinants of the allocation of decision-making power through the estimates of ordered probit models with random effects. Our findings show that the complexity of plants' operations and organization, the characteristics of the communication technologies in use, the ownership status of plants and the product mix of their parent companies figure prominently in explaining whether authority is delegated to the plant manager or not. In addition, the nature of the decision under consideration turns out to affect the allocation of authority.     

Students as Arbitrators: An Empirical Investigation

No previous work has examined whether students are appropriate substitutes for arbitrators in research studies, despite the fact that students have been used in at least one experimental study of arbitral decisions. This study compares the decisions rendered by 233 students and 146 practicing arbitrators on two hypothetical discharge cases and finds that there are significant differences between decisions of arbitrators and students.     

The Role of Uncertainty in Investment: An Examination of Competing Investment Models Using Commercial Real Estate Data

Neoclassical investment decision criteria suggest that only the systematic component of total risk affects the rate of investment, as channeled through the built-asset price. Alternatively, option-based investment models suggest a direct role for total uncertainty in investment decisionmaking. To sort out uncertainty's role in investment, we specify and empirically estimate a structural model of asset-market equilibrium. Commercial real estate time-series data with two distinct measures of asset price and uncertainty are used to assess the competing investment models. Empirical results generally favor predictions of the option-based model and hence suggest that irreversibility and delay are important considerations to investors. Our findings also have implications for macroeconomic policy and for forecasts of cyclical investment activity.     

Accelerating New Product Development: A Preliminary Empirical Test of a Hierarchy of Implementation

Although time to market and a product's profitability are closely linked, simply speeding up new product development (NPD) is no guarantee of success. In fact, haphazardly adopting the numerous methods for accelerating NPD may jeopardize the potential success of the new product and the company. An article in a previous issue of The Journal of Product Innovation Management suggests that companies seeking to speed up their NPD process should take a hierarchical approach to implementing the various acceleration techniques. To improve the likelihood that efforts to accelerate NPD will pay off with shorter development time, greater market share, and improved profitability, it is recommended that a company start by focusing on simplification of the NPD process. From there, the company can proceed in sequence through techniques involving the elimination of unnecessary steps in the NPD process, parallel processing (i.e., performing two or more NPD steps at the same time), the elimination of delays, and speeding up of the NPD process. Ed J. Nijssen, Arthur R. L. Arbouw, and Harry R. Commandeur follow up on this earlier work by addressing several key questions regarding the proposed hierarchy of techniques for accelerating NPD. First, do companies that make extensive use of the proposed hierarchy develop new products faster than companies that do not? Second, do companies that make extensive use of the hierarchy enjoy better financial performance than those that do not? Third, regardless of the hierarchy, are products developed faster by companies that make more intensive use of acceleration methods than by companies that use fewer methods of acceleration? Finally, how does financial performance compare among companies that make more intensive use of acceleration methods without following the hierarchy and those that use fewer methods of acceleration? A survey of Dutch companies finds that the proposed hierarchy of techniques has a positive effect on NPD speed. The survey results also suggest that faster NPD is possible through the use of the various acceleration methods without regard for the order in which they are implemented. However, a strong positive relationship is evident between the hierarchy and the profitability of the product and the company. In other words, a random approach to NPD acceleration does not improve financial performance. By trying to accelerate NPD in accordance with the proposed hierarchy of methods, a company can avoid critical mistakes that might otherwise limit financial results.     

An Investment Model of the Demand and Supply For Industrial Real Estate

A recent inventory of industrial building in fifty-two major metropolitan areas of the country indicates that most such space is either owner occupied or single tenant. This suggests that the production of industrial space may be modeled as a firm "investment" decision. Using the completion date of each inventoried building, we construct a time series of plant completions that moves similarly to some other national investment data. We are able to successfully estimate an "accelerator" type model of plant deliveries, driven by movements in employment and the after-tax cost of corporate capital. Our model can be used to estimate a measure of excess plant capacity in the market, and historic values of this measure do move parallel to some recent industrial vacancy data.