摘要:

This paper analyzes the effect of information asymmetry between the lender and the borrower (i.e., the borrower knows how long he will reside in his home, whereas the lender does not) on the borrower's choice among the interest rate‐discount points combinations available in the fixed‐rate mortgage market. The analysis shows that if the rate‐points trade‐off of the mortgage menu is either too steep or too flat, then all types of borrowers will choose the same loan contract from the menu. In addition, if the rate‐points trade‐off is not convex to the origin, then only the contracts with extreme rate‐points combinations will be chosen by borrowers; all contracts with intermediate rate‐points combinations are redundant and will not be chosen by any borrowers. Intermediate rate‐points combination mortgage contracts would be chosen by some borrowers only if the mortgage menu were to provide a self‐selection function. Several necessary conditions of a self‐selection mortg

ISSN:1080-8620    

DOI:10.1111/1540-6229.00588

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

Despite the growth of theoretical mortgage‐pricing research, few empirical tests have been published. The primary objective of this paper is to provide an empirical test of the contingent‐claims approach to pricing residential mortgages. This is accomplished by examining the differences between contract mortgage rates generated by the theoretical contingent‐claims model and corresponding actual rates observed for 121 consecutive months from January 1981 through January 1991. We find that the contingent‐claims model produces an unbiased prediction of changes in actua

ISSN:1080-8620    

DOI:10.1111/1540-6229.00589

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

This paper introduces the use of non‐sample, prior information to the problem of predicting prices of heterogeneous products. Using data from the 1983 American Housing Survey, the predictive performance of three Stein‐like empirical Bayes estimation rules are compared to the least squares estimator and the traditional biased estimation technique, ridge regression. The biased estimators improve upon the least squares mean square error of prediction risk under certain design‐related conditions. We provide evidence of this for the housing market in this

ISSN:1080-8620    

DOI:10.1111/1540-6229.00590

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

This paper analyzes the risks and returns of different types of real estate‐related firms traded on the New York and American stock exchanges (NYSE and AMEX). We examine the relation between real estate stock portfolio returns and returns on a standard appraisal‐based index, and find that lagged values of traded real estate portfolio returns can predict returns on the appraisal‐based index after controlling for persistence in the appraisal series. The stock market reflects information about real estate markets that is later imbedded in infrequent property appraisals. Additional analysis suggests that the differences in the return and risk characteristics across different types of traded real estate firms can be explained in part by appealing to real estate market fundamentals relating to the degree of dependence of the real estate firm upon rental cash flows from existing buildings. These findings highlight the heterogeneity of securitized real estate‐relate

ISSN:1080-8620    

DOI:10.1111/1540-6229.00591

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

Large foreign acquisitions of U.S. real estate always seem to generate considerable public concern. Most recently the reaction has been to Japanese purchases, but similar reactions occurred to Arab petro‐dollar purchases in the early 1970s. This study examines the impact of the buyer's nationality on the change in the wealth of the selling firm's shareholders for voluntary sell‐offs of U.S. real estate. In general, this study indicates that voluntary sell‐offs of real estate assets result in a significant increase in the wealth of the selling firm's shareholders. However, the change in the wealth of the selling firm's shareholders for U.S. buyers was not significantly different from that for non‐U.S. buyers. Since no advance is indicated for foreign buyers over domestic buyers, laws or regulations hindering the foreign acquisition of U.S. real estate cannot be supported. The assumption of a “non‐level playing field” for U.S. real estate investors who bid against foreign firms for U.S. real estate assets is

ISSN:1080-8620    

DOI:10.1111/1540-6229.00592

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY