| 1. |
- Hacker, R Scott
(författare)
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The Effect of Residential Crowding on Labor Productivity with Evidence from the Twilight of Polish Socialism
- 1999
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Ingår i: Real estate economics (Print). - : Wiley. - 1080-8620 .- 1540-6229. ; 27:1, s. 135-167
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Tidskriftsartikel (refereegranskat)abstract
- This paper considers the effect of low per capita housing stock on labor productivity. Theoretically, a negative effect may be expected. Low per capita housing leads to greater difficulty in finding housing, which in turn leads to reduced labor mobility and a less productive allocation of labor. A dynamic model is developed which displays this relationship and which takes into account inter-regional migratory flows induced by regional labor productivity differentials. The empirical part of the paper focuses on cross-sectional information, using primarily 1989 Polish data aggregated at the regional level.
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| 2. |
- Cronqvist, Henrik, et al.
(författare)
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Why Agency Costs Explain Diversification Discounts
- 2001
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Ingår i: Real Estate Economics. - : Wiley. - 1080-8620 .- 1540-6229. ; 29:1, s. 85-126
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Tidskriftsartikel (refereegranskat)abstract
- We study diversificsation within the real estate industry because of its relative transparency: portfolio management of assets with well-defined market prices. Diversification is over property types and geographical regions. The major cause of the diversification discount is not diversification per se but anticipated costs due to rent dissipation in future diversifying acquisitions. Firms expected to pursue nonfocusing strategies do indeed diversify more, are valued ex ante at a 20% discount over firms anticipated to follow a focusing strategy, are predominantly privately controlled and use dual-class shares extensively. The ex ante diversification discount is, therefore, a measure of agency costs.
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| 3. |
- Lanot, Gauthier, 1965-, et al.
(författare)
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Mortgage Loan Characteristics, Unobserved Heterogeneity and the Performance of United Kingdom Securitized Subprime Loans
- 2016
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Ingår i: Real estate economics (Print). - : Wiley. - 1080-8620 .- 1540-6229. ; 44:4, s. 771-813
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Tidskriftsartikel (refereegranskat)abstract
- We estimate a competing risk model of mortgage terminations on samples of U.K. securitized subprime mortgages. Given the role of these loans in the recent financial crisis it is important to understand their performance and supposed idiosyncratic behavior. We use a flexible modelling of unobserved heterogeneity over several dimensions, controlling for selection issues involving initial mortgage choices and dynamic selection over time. We estimate the characteristics of the unobserved heterogeneity and determine the correlation between the unobserved components of default and prepayment. The paper demonstrates the need to estimate initial household choices and the durations to default or prepayment jointly.
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| 4. |
- Clapham, E., et al.
(författare)
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Rental expectations and the term structure of lease rates
- 2003
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Ingår i: Real estate economics (Print). - : Wiley. - 1080-8620 .- 1540-6229. ; 31:4, s. 647-670
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Tidskriftsartikel (refereegranskat)abstract
- We consider the term structure of lease rates in a general setting where both rents and interest rates are stochastic. The framework is applicable to any leasing market, but we focus on real estate. We find that the expectations hypothesis, that is, forward rates are unbiased estimators of future rents, requires similar assumptions as in interest rate theory to hold. To study bias magnitude, simulations are performed using a parameterization of the general framework. Different realistic values for risk aversion and interest rate stochastics can generate widely different shapes of the term structure, holding objective expectations constant. Thus an expected increase in rent is consistent with a downward-sloping term structure and vice versa.
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| 5. |
- Clapham, Eric, et al.
(författare)
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Revisiting the Past and Settling the Score:Index Revision for House Price Derivatives
- 2006
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Ingår i: Real Estate Economics. - : Wiley. - 1080-8620 .- 1540-6229. ; 34:2, s. 275-302
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Tidskriftsartikel (refereegranskat)abstract
- This paper examines index revision in measuring the prices for owner-occupied housing. We consider the context of equity insurance and the settlement of futures contracts. In addition to other desirable characteristics for aggregate price indexes, their usefulness in these contexts requires stability as they are revised. Methods that are subject to substantial or complex revision raise questions about the viability of derivatives markets. Of course, all indexes are subject to revision as the result of new information. Nevertheless, we find that the most-widely used house price indexes are not equally exposed to volatility in revision. Hedonic indexes appear to be substantially more stable than repeat-sales indexes and are less prone to substantial revision in the light of new information. Moreover, we find that the repeat-sales indexes are subject to systematic downward revision. We analyze alternative settlement procedures and contracts to mitigate the impact of revision associated with repeat sale indexes.
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| 6. |
- Englund, Peter, et al.
(författare)
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Adjustment in property space markets : Taking long-term leases and transaction costs seriously
- 2008
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Ingår i: Real estate economics (Print). - : Wiley. - 1080-8620 .- 1540-6229. ; 36:1, s. 81-109
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Tidskriftsartikel (refereegranskat)abstract
- Markets for property space adjust only gradually because tenants and landlords are constrained by long-term leases and transaction and information costs. Not only do rents adjust slowly, but space occupancy, which depends on historical rents, often differs from demand at current rent. This creates "hidden vacancies," vacancies that will develop in the future if market rent and the space demand driver are unchanged. That is, if current rent is greater/lesser than average rent, then hidden vacancies are positive/negative. Moreover, because of hidden vacancies, open vacancies and rent are not mirror images of each other. Thus it is necessary to estimate both rental and vacancy rate adjustment processes. We do this using annual data for Stockholm offices during the 1977-2002 period and simulate the response of rent and vacancies (open and hidden) to an employment shock.
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| 7. |
- Englund, P., et al.
(författare)
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Implicit forward rents as predictors of future rents
- 2004
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Ingår i: Real estate economics (Print). - : Wiley. - 1080-8620 .- 1540-6229. ; 32:2, s. 183-215
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the relation between the term structure of rents and future spot rents. A rich database of office rental agreements for various maturities is used to estimate the term structure of rents, and from this structure implicit forward rents are extracted. The data pertain to commercial properties in the three largest Swedish cities for the period 1998-2002. A positive relation between forward and spot rents is found in some regions, but forward rents underestimate future rent levels. Another contribution of the paper lies in the area of rental index construction. We provide evidence that rental indices should not only be quality constant (i.e., control for characteristics), but should also be maturity constant.
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| 8. |
- Gunnelin, Åke, et al.
(författare)
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Determinants of cross-sectional variation in discount rates, growth rates and exit cap rates
- 2004
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Ingår i: Real estate economics (Print). - : Wiley. - 1080-8620 .- 1540-6229. ; 32:2, s. 217-237
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Tidskriftsartikel (refereegranskat)abstract
- This study investigates the determinants of key input variables in valuers' discounted cash flow models used for estimating market values for offices. Data from 599 valuations in 2000 from Stockholm, Gothenburg and Malmo are used to explain variation in discount rates, expected growth rates in net operating income and exit cap rates. Our ability to explain the relatively wide variation in appraisal assumptions with plausible covariates generates confidence in the appraisal process. This has important implications because most value and returns indices of commercial real estate worldwide are appraisal based.
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| 9. |
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