摘要:

In this paper we develop a general method for valuing adjustable rate mortgages and by producing a set of simulation results, we show that our approach can be implemented. While the simulations are of interest in their own right, we view the approach itself as the major contribution of the paper.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00344

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY

摘要:

This paper uses a two‐period model to analyze the borrower's choice of an optimal time pattern of mortgage payments in a world where future house values are uncertain. Since a decline in values can make the borrower's equity negative, leading to default on the mortgage, lenders in the model will require the purchase of mortgage insurance. The premium on the insurance policy will depend on the riskiness of the mortgage, which in turn depends on the magnitude of the initial mortgage payment. Mortgages with large (small) first payments will carry low (high) insurance premiums. Taking this fact into account, the borrower decides on the optimal riskiness of his mortgage. Borrowers who discount the future heavily choose risky mortgages carrying high insurance premiums, while those who place a higher value on future consumption opt for less risky contracts carrying low (or zero) premium

ISSN:1080-8620    

DOI:10.1111/1540-6229.00345

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY

摘要:

This paper values the real estate option to purchase contract in a contingent claims framework. The model is an application of the Black and Scholes option pricing model. Observed market data on the sale of condominiums are used to test if the option is competitively priced under various assumptions regarding the expected instantaneous variance of the condominium price. Simulation results suggest that standard industry practices of charging a fixed amount for the option to purchase roughly conform to pricing behavior dictated by the option pricing model.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00346

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY

摘要:

Real estate limited partnerships have become an increasingly popular form of investment over the past decade. Many investors have been drawn to these investment vehicles because of the high claimed rates of return earned by investors in previous partnerships. However, there has been little analysis of the historical rates of return on these investments other than that provided by the syndicators in offering prospectuses. This paper examines the returns earned by investors in real estate limited partnerships over the past decade. These results are compared with previous studies of the investment performance of real estate. Because of the importance of the tax shield aspects of these investments, we calculate the after‐tax rate of return for investors in several marginal tax bracket

ISSN:1080-8620    

DOI:10.1111/1540-6229.00347

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY

摘要:

This study examines the current deregulated environment for and the financial position of savings and loan associations. It is argued that in a less regulated, more competitive environment managers of savings and loan associations will have to become more proficient in using financial management techniques to assure the survival and the return to profitability of their associations. One aspect of financial management is a more careful estimation of and use of the cost of equity capital, especially for the increasing number of associations that have converted from mutual to stock organizations. Different approaches to the estimation of the cost of equity capital are discussed and monthly stock prices of 35 stock savings and loan associations are used to estimate representative costs of equity capital.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00348

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY

摘要:

The same factors that determine the current market price of a property also determine the price of a future investor will pay for that property. Previous researchers had no means available to endogenize future resale prices and future optimal holding periods. Using dynamic programming, we simultaneously determine both a price path and the corresponding optimal holding periods for all owners during the economic life of an income‐producing property. The model can be extended to the problem of estimating real rent patterns from observed patterns of used property price

ISSN:1080-8620    

DOI:10.1111/1540-6229.00349

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY

摘要:

In this paper, a new and superior alternative mortgage design is presented and evaluated. The mortgage design is motivated by a desire to reduce the exposure of both borrowers and lenders to risks that result from high and variable interest rates, while at the same time providing a mechanism by which changes in the real value of payments and rates of amortization can be controlled. In addition to a theoretical discussion of the merits of this design a simulation of the mortgage's performance is provided that uses market data from the period 1965 to 1983.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00350

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY