| 1. |
- Axelsson, Birger
(författare)
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US Equity REIT Returns and Digitalization
- 2023
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Licentiatavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This licentiate thesis is a collection of two essays that utilize time-series econometric methods in real estate finance. The first essay applies econometric modelling on Real Estate Investment Trust (REIT) index returns, focusing on estimating the effect of the quantitative easing (QE) and quantitative tightening (QT) programmes on U.S. equity REIT index returns, while controlling for several other important macro-financial factors. The second essay instead focuses on forecasting U.S. equity REIT index returns empirically, where the performance of a traditional econometric model (ARIMA) is compared to a modern state-of-the-art deep learning-based model (LSTM).Digitalization, which encompasses a broad range of technological advancements, is the main factor that we study for its impact on REIT investments. One perspective on the impact of digitalization on REITs is its effect on inflation. Digitalization has the potential to increase productivity and reduce costs, which could help to keep inflation low. This, in turn, has in the recent decades provided a supportive environment for REIT investments through lower interest rates, which we partly investigate in the first essay.Another perspective is that digitalization has not only led, but is also expected to lead, to significant innovations in the field of artificial intelligence (AI) and machine learning (ML), including deep learning (DL), which is a subset of ML. Many researchers and market practitioners are currently working to develop models that can use large amounts of data to make better forecasts and investment decisions. If successful, these models could significantly improve the performance of REIT investments. Can DL models be trained to make better forecasts for making investments? This is a question we ask ourselves in the second essay.The study of digitalization and its effects on inflation has been a growing area of interest in recent years, with researchers exploring the potential impact of technological advancements on macroeconomic trends, which founded the base to our studies. However, recent developments in the global economy have shifted the focus of this research, as inflation levels have unexpectedly risen from what was previously believed to be a low and stable environment. As a result, the setting and framework for our research on digitalization and inflation have been significantly altered, as we have tried to adapt to this changing landscape.
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| 2. |
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| 3. |
- Caesar, Carl, 1982-, et al.
(författare)
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The impact of leasehold status on apartment price
- 2019
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Ingår i: Journal of Housing Economics. - : Academic Press. - 1051-1377 .- 1096-0791. ; 46
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Tidskriftsartikel (refereegranskat)abstract
- Based upon cooperative apartments sold in Stockholm, Sweden during the period of 2012 to mid-2014, we find that leasehold status (meaning that the cooperative does not own the land that the apartment building occupies) has a small but statistically significant impact on price of 2.3% when controlling for location and apartment characteristics in a hedonic model. At the time of renegotiation (i.e. a lease duration of 0), leasehold depreciates price with 4.2%. We also apply propensity score matching, which results in slightly larger negative impact on the price being estimated. As current lease payments are covered by monthly fees that are to be paid to the cooperative, a negative effect on price should mostly be attributed to an increased uncertainty of future levels of monthly fees. We therefore extend the existing literature by examining the impact on price by the remaining leasehold term whilst still controlling for monthly fees. Consistent with our hypothesis, apartment prices are found to increase with 0.22% for each additional year that remains until renegotiation of the lease contract.
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| 4. |
- Donner, Herman, et al.
(författare)
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An income-distributional analysis of the rent control subsidy
- 2023
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Ingår i: Journal of Housing and the Built Environment. - 1566-4910. ; 38:4, s. 2729-2749
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Tidskriftsartikel (refereegranskat)abstract
- Rent control measures are typically in place to assist low-income households and decrease segregation. Yet, there is little empirical research on the social impact of such policies and specifically the role of how rent-controlled apartments are allocated. This study analyzes the income-distributional effects of rent control with a novel dataset that includes characteristics of those who received rent-controlled apartments between 2011 and 2016 in central Stockholm, Sweden. Specifically, this paper provides analysis of the impact of allocating apartments through a centrally managed queue with apartments from both public and private landlords. To quantify the rent subsidy, we estimate hypothetical market rents by taking the owner-occupied market as a point of deviation. We find a positive relationship between the rent subsidy and time in que. Apartments in the fourth quartile of subsidy require on average 21 years in que, while those in the first quartile require 10 years on average. There is considerably heterogeneity in the level of rent subsidy, and tenant income. Even as allocating through queuing should benefit high-income households less than allocation based on landlord preferences, we find several regressive effects. Controlling for time in queue, we find that tenants in the fourth quartile of annual income receive monthly rent subsidies that are substantially higher than renters in the first quartile of income. Similarly, rental apartments in the fourth quartile of the subsidy have older tenants with substantially higher incomes compared to less subsidized apartments. The regressive effect is driven by high earners renting larger apartments with larger absolute subsidies and being able to wait longer in queue.
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| 5. |
- Donner, Herman, et al.
(författare)
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An income-distributional analysis of the rent control subsidy
- 2023
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Ingår i: Journal of Housing and the Built Environment. - : Springer Nature. - 1566-4910 .- 1573-7772. ; 38:4, s. 2729-2749
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Tidskriftsartikel (refereegranskat)abstract
- Rent control measures are typically in place to assist low-income households and decrease segregation. Yet, there is little empirical research on the social impact of such policies and specifically the role of how rent-controlled apartments are allocated. This study analyzes the income-distributional effects of rent control with a novel dataset that includes characteristics of those who received rent-controlled apartments between 2011 and 2016 in central Stockholm, Sweden. Specifically, this paper provides analysis of the impact of allocating apartments through a centrally managed queue with apartments from both public and private landlords. To quantify the rent subsidy, we estimate hypothetical market rents by taking the owner-occupied market as a point of deviation. We find a positive relationship between the rent subsidy and time in que. Apartments in the fourth quartile of subsidy require on average 21 years in que, while those in the first quartile require 10 years on average. There is considerably heterogeneity in the level of rent subsidy, and tenant income. Even as allocating through queuing should benefit high-income households less than allocation based on landlord preferences, we find several regressive effects. Controlling for time in queue, we find that tenants in the fourth quartile of annual income receive monthly rent subsidies that are substantially higher than renters in the first quartile of income. Similarly, rental apartments in the fourth quartile of the subsidy have older tenants with substantially higher incomes compared to less subsidized apartments. The regressive effect is driven by high earners renting larger apartments with larger absolute subsidies and being able to wait longer in queue.
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| 6. |
- Donner, Herman, et al.
(författare)
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Analyzing the relationship between housing and social engagement among the elderly
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Utilizing a large-scale public health survey in Sweden, this paper analyzes the relationship between the fraction of elderly above the age of 80 who live in various tenure forms, and their social engagement. Social engagement is a measure of both social interaction with others, and overall engagement in society. This measure has an established relationship with mental and physical health, even as the causal mechanism are still understudied. Across 130 municipalities, we find that a higher fraction of elderly living in elderly housing is associated with a lower fraction of elderly classified as having a low level of social engagement. We also find that a higher fraction of elderly living in single-family houses is associated with a higher fraction of elderly classified as having a low level of social engagement. The results support that closer proximity to neighbors, and potentially the engagement offered through services in elderly care, increases overall social engagement among the elderly, thereby also assumably promoting better mental and physical health. The findings can inform housing policies towards elderly populations.
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| 7. |
- Donner, Herman
(författare)
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Consumption of Housing under Rent Control
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Even as increased demand and misallocation of housing are established consequences of rent controls, there is limited research on how household demand responds to rent subsidies. In a setting with heterogenous households and wide-spread rent controls, a likely consequence is overconsumption of housing that results in a less-than-optimal household-apartment matching. Data from Stockholm, Sweden, with both household and apartment characteristics is analyzed. There is considerable variation in how much apartments are subsidized, household size, and income. On average, regulated rents are 36.1% lower than estimated market rents. Apartment size is regressed on both household characteristics at the time of moving-in, and a measure of the rent subsidy. Controlling for household size, age(s), income, and location, it is found that the average difference between an estimated counterfactual market rent and the regulated rent results in an average household renting an apartment that is 15.9% larger compared to if paying market rent. When regressing the number of rooms, rather than apartment size, the results are consistent. The average annual subsidy per square meter will, on average, result in households renting an apartment with .28 additional rooms. The observed behavior is a consequence of ineffective targeting of rent subsidies. The shift in demand will amplify housing shortages and decrease access to housing and therefore contradict the policy goals. Estimates of housing consumption in a counterfactual setting with market rents, yields a 20.6% larger renter population housed in the existing housing stock.
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| 8. |
- Donner, Herman
(författare)
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Determinants of a Foreclosure Discount
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Using a dataset with individual appraisals of foreclosed apartments sold through auction in Stockholm, Sweden, the issue of selection bias and a potential overestimation of a foreclosure related discount on price is addressed. A mean discount of 7.9% with a corresponding median value of 9.5% is shown. A hedonic model is also applied. It is found that about half of the impact on price caused by a forced sale is attributable to the search process on the real estate market. These results contrasts from earlier research having explained a negative impact on price to seller motivational factors. These results provide insight towards the dynamics of a negative impact on price caused by a forced sale, and has the potential to allow stakeholders to model a potential discount in greater detail for individual foreclosed properties, and contribute to management of credit risk.
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| 9. |
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| 10. |
- Donner, Herman, 1988-
(författare)
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Essays on Foreclosures and Housing Debt
- 2018
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four self-contained essays in the field of real estate economics, and specifically, the market for single-family homes. The first three essays examine sales of foreclosed properties, while essay four is on the conversion process of rental apartments to owner-occupied units in the co-operative form. These topics have a common denominator in the analysis of real estate markets and a link to debt financing. The effect of a foreclosure on price is examined through several methods. In the first essay, a spatial hedonic model is applied on transaction data. In the second essay, the impact on holding-period returns and the rate-of-turnover is estimated through propensity-score matching. Hedonic regressions and appraisal data is used in the third essay, which analyzes the determinants of the price impact caused by a forced sale. The impact of local market conditions is tested and a discount on price is related to the search process among market participants.The second topic of conversions is addressed in essay four, which focuses on an informational asymmetry between tenants involved in the conversion process and other market participants. An incentive to mismanage housing co-operatives financially is examined through hedonic models applied to apartment transaction data.
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