摘要:

A model of tenure choice is presented which treats the benefits and costs of homeownership from a theory of finance perspective. The incremental benefits from homeownership over renting housing services are from two sources: protection against rental price risk (a forward transaction in the housing market) and from a possible capital gain from the eventual sale of a house (substitutes for portfolio investment). The cost of these benefits is higher initial outlay on housing, which reduces the funds available for portfolio investments. The comparative statics of this model is presented. It is shown that rental risk and portfolio risk add to the value of homeownership. Since homeownership is a partial substitute for portfolio investment, it is shown that the lower the covariance between portfolio returns and future home prices the more valuable is homeownership. In the presence of differential borrowing opportunities it is shown that the leverage available to housing significantly increases the value of homeownership.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00393

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

It has been shown that in a world of certainty, individuals with rising income streams will choose a graduated payment mortgage over the standard flat payment mortgage. The present paper extends this analysis by introducing uncertainty about future inflation rates. We show that the risk‐averse individual, when faced with uncertainty, will choose a less graduated payment path than in the certainty situation. While not conclusive, the analysis may cast some doubt on the suboptimality of the standard flat payment mortgag

ISSN:1080-8620    

DOI:10.1111/1540-6229.00394

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

This paper analyzes the returns of a sample of Real Estate Investment Trusts and examines their risk‐adjusted performance using both single index (i.e., CAPM) and multiple index (i.e., APT) models. It is shown that while the performance rankings of the investment trusts are not very sensitive to the risk‐adjustment model, the actual performance measures do sometimes differ substantially. Unfortunately, because of the high volatility of these real estate investments, the differences in investment performance across trusts generally are not statistically signific

ISSN:1080-8620    

DOI:10.1111/1540-6229.00395

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

In this study we examine the effects of economic fluctuations on the repayment behavior of a portfolio of adjustable‐rate mortgages (ARMs). Because the U.S. experience with ARMs is quite recent, we have used data on a form of ARM used in Canada, the rollover mortgage. The results of our analysis suggest that use of ARMs similar to the rollover mortgage may reduce but not eliminate interest‐rate risk for lenders, as borrowers, albeit constrained, prepay above‐market‐rate loans. In addition, we find that the periodic payment change inherent in the rollover mortgage does not lead to higher default rates and, therefore, cred

ISSN:1080-8620    

DOI:10.1111/1540-6229.00396

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

This paper applies two familiar causality detection techniques to the issue of whether it is costs that determine prices or vice versa in the mortgage loan market. The question is posed in terms of causal priority: Are savings and loan deposit rates causally prior to mortgage loan rates or is it the other way around? For the time period prior to the onset of deposit interest rate deregulation, the evidence that emerges is consistent with the view that lenders raised their loan rates in response to higher deposit rates of interest. However, for the more recent period of deregulation, the evidence is not consistent with this view.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00397

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY

摘要:

When a real asset rises in price faster than inflation (as real estate did in the late 1970s) and rises significantly in price over an extended period (as real estate has done for the last decade and one‐half), it concerns valuation and investment professionals who fear about it being over‐valued. One of the reasons for such price performance may be an increase in demand due to the portfolio characteristics of the asset during the period of time in question. For real estate this means the proportion included in optimal portfolios should be significant and increasing as individual tax rates increase in an environment of increasing average tax rates.This study uses six tax brackets (0%, 10%, 20%, 30%, 40%, 50%) and portfolios consisting of three traditional assets (NYSE common stocks, corporate bonds and small stocks) plus three types of real estate (residential, business and farmland) to demonstrate that this is what has transpired in the real estate markets. Optimal portfolio weights are derived for each asset for after‐tax portfolios. Real estate in general and residential real estate especially increased as a proportion of the optimal after‐tax portfolio as individual tax rates increased. Other studies are used to demonstrate an environment of increasing average ta

ISSN:1080-8620    

DOI:10.1111/1540-6229.00398

出版商:Blackwell Publishing Ltd    

年代:1986

数据来源: WILEY