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- 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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| 2. |
- 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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