| 1. |
- Clapham, Eric
(författare)
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A Note on Embedded Lease Options
- 2003
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Ingår i: Journal of Real Estate Research. - : American Real Estate Society. - 0896-5803 .- 2691-1175. ; 25:3, s. 347-360
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- Buetow and Albert (1998) discuss options embedded in lease contracts. They present a pricing framework, calibrate it using data from the National Real Estate Index and apply it using a numerical method known as the finite difference method with absorbing boundaries. In this note the analysis is extended. Firstly, analytic solutions are presented. Secondly, some of the findings are discussed. Finally, the framework developed by Grenadier is used to compare indexed renewal options for different lease lengths.
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| 2. |
- Clapham, Eric
(författare)
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Essays in real estate finance
- 2005
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- dissertation contains seven papers. The first five are in the field of real estate finance, while the final two are asset pricing papers. The first paper explores equilibrium properties of lease rates. The framework is based on the concept of the term structure of lease rates, or the equilibrium rate as a function of lease length. In particular the analysis sheds light on the relationship between objective rental expectations and forward lease rates. The second, third and fourth papers in the dissertation consider the pricing of explicit real estate contracts. More specifically a type of indexed leases subject to a floor rate, leases with embedded renewal options and a real estate swap contract are analyzed and priced. The fifth paper considers the impact of index revision in the context of home equity insurance schemes. The idea of establishing markets allowing homeowners to hedge housing risk has been given significant attention in recent years. If contract settlement is based on a house price index, it is important to understand the scope of index revision, or the updating of earlier index estimates due to the arrival of new information. Using a rich data set, comprising all arm’s length housing transaction in Sweden during the period 1981-99, the revision properties of hedonic and repeat sales indexes are explored. The final two papers are in the field of asset pricing. The sixth paper revisits the consumption based asset pricing model using Swedish data. The seventh paper is a Monto Carlo study on the properties of different measures of misspecification under varying assumptions of asset return distributions.
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| 3. |
- Clapham, Eric, et al.
(författare)
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Exposure to risperidone versus other antipsychotics and risk of osteoporosis-related fractures : a population-based study
- 2020
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Ingår i: Acta Psychiatrica Scandinavica. - : WILEY. - 0001-690X .- 1600-0447. ; 141:1, s. 74-83
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Tidskriftsartikel (refereegranskat)abstract
- Objective Antipsychotics may increase serum prolactin, which has particularly been observed with risperidone. Further, hyperprolactinemia has been linked to osteoporosis-related fractures. Therefore, we investigated fracture risk in a nationwide cohort exposed to antipsychotics. Methods Swedish registers were used to identify adults with two consecutive dispensations of risperidone (n = 38 211), other atypical antipsychotics not including paliperidone (n = 60 691), or typical antipsychotics (n = 17 445) within three months between 2006 and 2013. An osteoporosis-related fracture was defined as a non-open hip/femur fracture in primary analyses. Cox regression was used to estimate hazard ratios (HRs) and 95% confidence intervals (CIs). Results Risperidone users were on average older (mean age of 68, 44, and 63 years for risperidone, other atypical antipsychotics, and typical antipsychotics respectively). Compared with other atypical antipsychotics, there was no association between risperidone and osteoporosis-related fractures in the overall (HR = 1.04, CI: 0.91-1.19) or age-stratified analyses. A significantly increased risk of typical antipsychotics (HR = 1.24, CI: 1.07-1.45) compared with other atypical antipsychotics remained for ages >45 years. Conclusion Risperidone does not appear to be associated with an increased risk of osteoporosis-related fracture compared with other atypical antipsychotic agents as a group. For typical antipsychotics, a moderately elevated risk of hip fractures was noted compared with other atypical antipsychotics, possibly because of residual confounding.
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| 4. |
- Clapham, Eric
(författare)
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Leases with Upward Only Characteristics
- 2004
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Ingår i: Journal of Property Research. - : Taylor & Francis (Routledge): SSH Titles. - 1466-4453 .- 0959-9916. ; 21:1, s. 31-49
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- This paper considers a class of leases with indexed rents subject to a floor. Such leases have an upward-only flavour to them, although not in exactly the same sense as in the traditional upward-only institutional lease. After deriving a general result, three empirically important cases are considered: a modified upward-only lease, the Swedish standard contract for commercial leases and the percentage lease. Analytical results and numerical examples are used to illustrate how the leases relate to other contract types.
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| 5. |
- Clapham, Eric, et al.
(författare)
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On the pricing of real estate index linked swaps
- 2002
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Ingår i: Journal of Housing Economics. - : Elsevier. - 1096-0791 .- 1051-1377. ; 11:4, s. 418-432
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper in this journal. We show that their results are only approximately correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of the specific model chosen for the index process, the dividend process, and the interest rate term structure. We provide an intuitive economic argument as well as a full mathematical proof of our result. In particular we show that the nonzero result in the previous paper is due to two specific numerical approximations introduced in that paper, and we discuss these approximation errors from a theoretical as well as from a numerical point of view.
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| 6. |
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| 7. |
- 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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| 8. |
- Clapham, Eric, et al.
(författare)
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Suicide Ideation and Behavior as Risk Factors for Subsequent Suicide in Schizophrenia : A Nested Case-Control Study
- 2019
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Ingår i: Journal of Suicide and Life-threatening Behaviour. - : WILEY. - 0363-0234 .- 1943-278X. ; 49:4, s. 996-1005
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Tidskriftsartikel (refereegranskat)abstract
- Objective To investigate suicide ideation and behavior as risk factors for suicide in schizophrenia during varying time periods. Method Cases were 84 patients who died by suicide within 5 years from diagnosis in a source population of patients discharged for the first time from psychiatric hospitals in Stockholm County, Sweden, with a schizophrenia spectrum diagnosis. One control was individually matched with each suicide case. Data were retrieved from clinical records in a blind fashion. Thoughts of death, thoughts of suicide, suicide plan, and suicide attempt during varying time periods were investigated as risk factors for subsequent completed suicide. Results In adjusted analyses, thoughts of suicide, suicide plan, and suicide attempt were significantly associated with subsequent completed suicide in the following year. The highest suicide risk was found within a year following suicide attempt (adjusted OR 9.9, 95% confidence interval 2.5-39.0). The association between suicide ideation and behavior and subsequent suicide declined over time. Conclusions Several types of suicide ideation and behavior were associated with suicide, and the association was stronger for suicidal behavior. The clinical significance of suicidal communication appears highest during the following month or/and year. Many suicides occurred without recorded short-term suicidal communication.
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| 9. |
- Clapham, Eric
(författare)
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Suicide in schizophrenia and adverse events during antipsychotic medication
- 2022
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis considers side effects and other adverse events during treatment with antipsychotic medication. All included studies use an epidemiological methodology with data from Swedish population-based health registers. The first two studies utilise a nested case-control design, whereas the third and fourth studies rely on cohort designs.The first study considers the impact of extrapyramidal symptoms on suicidality in a schizophrenia spectrum patient group in Stockholm County in Sweden. In this sample, extrapyramidal symptoms are found to be associated with a decreased risk of suicide.The second study involves suicidal communication, blindly extracted from patient records, as risk factors for suicide among patients with schizophrenia spectrum disorders. More severe forms of suicidal ideation and behaviour, such as suicide attempt, are associated with a higher risk of death by suicide, which is consistent with current clinical practice regarding suicide risk assessments.The third study considers the risk of bone fracture during treatment with antipsychotic medications. The study finds that risperidone is not associated with an increased risk of fracture compared with first-generation antipsychotics.The fourth study considers the risk of perimyocarditis and heart failure during treatment with clozapine and the chemically similar medications olanzapine and quetiapine. It finds that clozapine is associated with a substantially elevated risk of perimyocarditis in the short term and a more modest risk of heart failure in the long term, compared with no antipsychotic treatment. Treatment with at least one of olanzapine or quetiapine is not found to be associated with an increased risk of these adverse cardiac events, compared with no antipsychotic medication.
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| 10. |
- Clapham, Eric, et al.
(författare)
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The association between exposure to clozapine, olanzapine, and quetiapine and the outcomes perimyocarditis and heart failure : A population-based cohort study
- 2023
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Ingår i: Psychiatry Research. - : Elsevier. - 0165-1781 .- 1872-7123. ; 326
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Tidskriftsartikel (refereegranskat)abstract
- The risk of cardiac adverse events following clozapine use is debated and is unknown for the chemically related and widely used antipsychotics olanzapine and quetiapine. National Swedish registers were used to identify all patients 16-75 years old with antipsychotic dispensations between 2005 and 2018. The short-term outcome was a diagnosis of perimyocarditis (pericarditis and/or myocarditis) within two months of first dispensation, and the long-term outcome was heart failure (including cardiomyopathy) within three years. Cox regressions with time varying exposure were used to estimate hazard rates (HR) and their 95% confidence intervals (CI). A total of 201,045 individuals were included in the cohort. The risk of developing perimyocarditis during clozapine treatment tripled compared to no antipsychotic treatment (HR 3.4, CI 1.6-7.3), although the absolute rate remained comparably low. The long-term risk of heart failure during clozapine treatment was also elevated (HR 1.3, CI 1.1-1.7). Treatment with either or both olanzapine or quetiapine was not associated with an increased relative risk of perimyocarditis, or heart failure compared to no antipsychotic treatment. Clozapine use is therefore associated with a substantially elevated short-term risk of perimyocarditis and an increased risk of heart failure within three years.
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| 11. |
- Clapham, Eric, et al.
(författare)
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The CCAPM : Interaction Between Market Frictions and Habit Formation
- 2002
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- This paper tests the consumption capital asset pricing model on American quarterly data. To address the empirical failure of the CCAPM, considerable attention has been devoted to market frictions as well as alternative utility specifications. Both of these strands can claim some success, but they have until now been considered separately. The focus of this study is therefore to consider both in the same study. Furthermore, market frictions have in the previous literature been found to have a potentially large impact. However, a weak test based on the Hansen and Jagannathan bound, which only gives a necessary condition for model correctness, has been used. To shed further light on the issue, we therefore consider the same authors’ measure test, which is based on a condition that is both necessary and sufficient. Finite sample versions of the tests will also be used since the asymptotic distribution has been shown to be a poor approximation for the sample sizes considered in this study. Different utility specifications are found to have considerably less impact than the introduction of market frictions, which in general has a significant impact, and the model is often accepted.
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| 12. |
- Menkveld, Albert J., et al.
(författare)
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Nonstandard Errors
- 2024
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Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 13. |
- Nilsson, Roland, et al.
(författare)
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A Monte Carlo Study of L1-Norm Based Measures of Model Misspecification
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Hansen and Jagannathan (1997) introduced a measure of model misspecification based on the L2-norm. It is however well-known that L1-norm methods may show good properties in the presence of non-normal distributions. In this paper we therefore introduce some L1-norm based measures of misspecification. We also provide an easy algorithm which simplifies the computation of the gain-loss ratio presented by Bernardo and Ledoit (2000). Two Monte Carlo simulations are undertaken to assess the performance of the measures under varying distributional assumptions. We provide evidence that L1-norm based measures tend to perform better in small and non-normally distributed samples.
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| 14. |
- Reutfors, Johan, et al.
(författare)
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Suicide risk and antipsychotic side effects in schizophrenia : nested case-control study.
- 2016
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Ingår i: Human Psychopharmacology. - : Wiley. - 0885-6222 .- 1099-1077. ; 31:4, s. 341-345
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Tidskriftsartikel (refereegranskat)abstract
- OBJECTIVE: This study explores suicide risk in schizophrenia in relation to side effects from antipsychotic medication.METHODS: Among patients with a first clinical discharge diagnosis of schizophrenia or schizoaffective disorder in Stockholm County between 1984 and 2000 (n = 4000), those who died by suicide within 5 years from diagnosis were defined as cases (n = 84; 54% male). For each case, one individually matched control was identified from the same population. Information on antipsychotic side effects, including extrapyramidal symptoms (EPS) and akathisia, as well as prescriptions of anticholinergic medication, was retrieved from clinical records in a blinded fashion. Adjusted odds ratios (aORs) with 95% confidence intervals (CIs) of the association between suicide and side effects as well as anticholinergic medication were estimated using conditional logistic regression.RESULTS: A lower suicide risk was found in patients with a history of EPS (aOR 0.33, 95% CI 0.12-0.94). There was no statistically significant association between akathisia or anticholinergic medication use and the suicide risk.CONCLUSIONS: A lower suicide risk identified among patients with EPS could potentially reflect higher antipsychotic adherence, exposure to higher dosage, or polypharmacy among these patients.
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| 15. |
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