摘要:

In this article we use Monte Carlo simulation to study the statistical properties of real estate returns. We set up a model where transactions prices are noisy signals of true prices. We then consider a number of appraisal rules, derived from Bayesian and non‐Bayesian theory, to estimate the current true price and rate of return. The class of exponential smoothing and Kalman filter rules perform well at both the disaggregate (returns on an individual property) and aggregate (returns on a real property portfolio) levels. A special case of exponential smoothing (α= 1.0) places all weight on current market data. Since this case eliminates smoothing, our results suggest that appraisers should place all weight on current data (no weight on past data) provided that they want to estimate returns rather than values. However, these results should be used with caution if sales prices are very noi

ISSN:1080-8620    

DOI:10.1111/1540-6229.00570

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

This article presents a further test for market segmentation between the real estate market and the capital markets. We use rescaled range analysis developed in the fractal geometry literature to test for nonlinear trends in the returns series for different asset classes. We make three major conclusions: (1) the stock market displays tendencies consistent with a random walk, (2) portfolios of mortgage and equity REIT returns display tendencies consistent with a random walk and, (3) conditional upon the methods used, segmentation does not exist between different real estate markets and between the real estate and stock markets.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00571

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

This study has two objectives: (1) it directly evaluates the relationship between commercial mortgage default incidence and characteristics of the mortgage, borrower, property, market, and general economic conditions, and (2) it uses this relationship to predict the exposure of life insurers to future mortgage defaults and to examine the relative importance of various causes of current and past credit quality problems. A theoretical model of the default decision predicts that the decision would be expected to be driven primarily by the borrower's current equity stake in the property, or the ratio of the market value of the loan to property value (Mt/Vt), but that the presence and magnitude of transaction costs associated with default would be expected to result in underexercise of the default option. Empirical estimation making use of American Council of Life Insurance (ACLI) and National Council of Real Estate Investment Fiduciaries (NCREIF) data confirms both expectations. A high proportion of the longitudinal variation in foreclosure incidence is explained by variations in Mt/Vt, but even at high ratios Mt/Vtin excess of 1.1. only 5% to 8% of mortgagors default, although this magnitude of underexercise is probably overstated because of problems in measuring Mtand for other reasons. Simulations using the model provide a pessimistic outlook for future defaults. Default rates are predicted to double in the five‐year period 1988–93. Other simulations examine the relative importance of interest rate fluctuations, property value declines, and geographic or temporal correlations in lending during the 1976–88 period on current default exper

ISSN:1080-8620    

DOI:10.1111/1540-6229.00572

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

This article investigates the principal‐agent relationship between the owner of a house and her real estate broker. The principal's (owner's) problem is to design a contract that induces the agent (broker) to adopt a selling strategy that maximizes the owner's expected return. A sequential search model is utilized to analyze this principal‐agent relationship. Three different systems for paying the broker are considered: fixed‐percentage commission, flat‐fee, and consignment. Both the discount factors of the owner and the broker and the net costs of ownership incurred while attempting to sell the house play a central role in determining the nature of the optimal contract. The analysis demonstrates that the fixed‐percentage commission system is the only one of the three systems considered that can induce a first‐best, incentive‐compatible contract. A numerical analysis provides insights regarding the effect of the fixed‐percentage commission system on competition in the real estate bro

ISSN:1080-8620    

DOI:10.1111/1540-6229.00573

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

Vandell (1991) recently developed a rigorous minimum variance technique for selecting and weighting comparables in real estate appraisal. This article extends Vandell's methodology in three areas: (1) an alternative objective function; (2) an approach that explicitly recognizes the non‐negativity constraint on comparable weights; and, (3) a more robust comparable inclusion process. Using Vandell's data, we show how our methodology modifies Vandell's result

ISSN:1080-8620    

DOI:10.1111/1540-6229.00574

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

This article develops an income property valuation model that explicitly incorporates the effects of local market conditions. In particular, the model allows real rents to respond to a change in tax law, or to any exogenous shock to the system, with the dynamics of the rent change over time dependent upon current local supply and demand conditions and on the expected rate of economic growth in the local economy. Application of the model to an analysis of reduced capital gain taxation demonstrates that a partial reversal of TRA86's real estate provisions would disproportionately benefit those markets, and related lending institutions, which are most in need of a bolstering of real estate values.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00575

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

This paper investigates the price effects of cash versus mortgage transactions. Our hypothesis that home sales involving all‐cash transactions will sell at discount is borne out by the results of this study. Analyzing a sample of comparable row home dwelling units, we find that all‐cash transactions are associated with roughly a 13% price discount relative to transactions involving financing terms that are typical of the market. Cash is King. The findings are consistent with theories regarding buyer—seller beh

ISSN:1080-8620    

DOI:10.1111/1540-6229.00576

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY