摘要:

In an efficient market, the no‐arbitrage condition implies that the price difference between any two assets must be the market value of all differences in their cash flows. We use this logic to deduce the price of the prepayment option embedded in fixed‐rate Government National Mortgage Association (GNMA) mortgage‐backed securities. The option price equals the difference between an observed GNMA price and the cost of a synthetic, nonprepayable GNMA constructed from the least expensive portfolio of Treasury securities that exactly replicates the promised GNMA cash flow stream, assuming prepayment is precluded. We regress the option prices on variables found significant in previous prepayment studies, finding that five key regressors explain more than 90% of the prepayment option value in pooled time‐series cross‐sectional analysis. We also show that the time value of the prepayment option calculated by our method displays a pattern similar to that produced by the Black‐Scholes (1973) option pricing model. An additional empirical result is the existence of negative option prices and negative time value of the option prices. We attribute these to the fact that homeowners sometimes exercise their prepayment options when they are out‐of‐the‐money, and to refinancing transaction costs. Our method is independent of assumptions regarding interest rate processes and the homeowner's prepayment behavior, and it provides a benchmark for testing theoretical

ISSN:1080-8620    

DOI:10.1111/1540-6229.00655

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

This paper examines the securitized (public) and unsecuritized (private) commercial property markets in the United States and the United Kingdom for evidence of price discovery. Appraisal‐based returns are corrected for smoothing, without presupposing the true returns to be uncorrelated or unpredictable across time. Real Estate Investment Trusts (REITs) and property company returns are corrected for leverage. We find evidence that price discovery occurs in the securitized market structure in both countries, and that this price information does not fully transmit to the unsecuritized markets for a year or more. In Britain, the unsecuritized market appears to be more closely and immediately linked to the securitized market than is the case in the U.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00656

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

This study examines the liquidity of Real Estate Investment Trusts (REITs), as measured by their bid‐ask spread. We find that REIT spreads have increased over the period 1986–1990, are inversely related to market capitalization, and are similar in magnitude to spreads on other stocks of comparable size. Analysis of variance tests indicate that REIT spreads are similar across equity, mortgage and hybrid asset types. Multivariate regression results indicate that market capitalization is the primary determinant of REIT bid‐ask spreads, and spreads are larger for National Association of Securities Dealers Automated Quotations (NASDAQ) REITs than for New York Stock Exchange (NYSE) REITs. The regression results also indicate that spreads are lower for equity REITs than for mortgage or hybrid REITs, and are inversely related to the fraction of the REIT's shares held by institutional investors. The similarity between REIT spreads and those of other common stocks holds in both bull and bear real estate markets and suggests that, from a liquidity perspective, REITs are similar to other common s

ISSN:1080-8620    

DOI:10.1111/1540-6229.00657

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

This paper is distinguished from previous papers by its focus on income‐producing properties, rather than owner‐occupied single‐family residential properties. The real estate investor's strategy, in terms of choosing an interest rate‐discount points combination, is analyzed by using a discounted cash flow approach. Under this framework, the investor with a lower marginal tax rate, lower required rate of return and longer investment horizon tends to negotiate for a mortgage contract with a higher number of discount points and lower interest rate. In addition, an intermediate rate‐points combination is preferred by an investor only when the lender's required interest rate is a decreasing convex function of the number of discou

ISSN:1080-8620    

DOI:10.1111/1540-6229.00658

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

This paper examines the Real Estate Investment Trust (REIT) market microstruc‐ture and its relationship to stock returns. When compared with the general stock market, REIT stocks tend to have a lower level of institutional investor participation and are followed by fewer security analysts. In addition, REIT stocks that have a higher percentage of institutional investors or are followed by more security analysts tend to perform better than other REIT stocks. Our results seem to confirm Jensen's (1993, p. 868) proposition that ownership structure (that is, who owns the firm's securities) affects the value of the firm. Our findings also have implications about the well documented phenomenon that the financial performance of Commingled Real Estate Funds (CREFs) is better than that of REIT

ISSN:1080-8620    

DOI:10.1111/1540-6229.00659

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY