摘要:

This paper develops a model of the market for commercial real estate loans based on the variables used by investors and lenders in property decision‐making: the income capitalization (cap) rate, the debt‐coverage ratio and the loan‐to‐value ratio. Empirical results for aggregate United States real estate originations and commitments for 1970–93 indicate that loan demand is sensitive to the cap rate and to building permit issuance. The dominant criterion used by lenders is the debt‐coverage ratio as opposed to the loan‐to‐value ratio, a finding which may have implications for underwriting standards an

ISSN:1080-8620    

DOI:10.1111/1540-6229.00677

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

When a leveraged real estate project experience cash‐flow problems, the owner must either inject additional cash or default on the mortgage. We show that it is not optimal for the owner to default as soon as net cash flow becomes negative. Surprisingly, the owner can expropriate some of the mortgage lender's wealth by injecting cash and continuing to pay interest. When the owner has cash constraints, outside investors may be able to extract significant economic rents by financing distressed real estate projects. These results have interesting implications for mortgage lending and the pattern of real estate transaction volum

ISSN:1080-8620    

DOI:10.1111/1540-6229.00678

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

This paper concerns the conditions under which borrowers select fixed and adjustable rate mortgages. The novelty of the paper lies in its capability to analyze the effect of nominal and real shocks separately. The fixed rate mortgage (FRM) versus the adjustable rate mortgage (ARM) choice is determined by the expected real interest rate differential, initial wealth, income, expected real and nominal income risk exposure—measured by different parameters—the value of the house, the appreciation of the house and the influence of the variance of nominal and real shocks. Results differ according to whether or not borrowers are restricted by the loan‐to‐value con

ISSN:1080-8620    

DOI:10.1111/1540-6229.00679

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

Recent studies have found that banks with low capital ratios have significantly decreased their lending to the real estate sector. This correlation between real estate lending and bank capital could be the result of voluntary decisions by banks to recapitalize, or it could be the result of direct actions taken by bank regulators. We find that banks with low capital ratios reduce their real estate lending substantially more after formal regulatory actions have been initiated by regulators. Furthermore, this reduction in lending is particularly large for the categories of real estate borrowers most likely to be bank dependent.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00680

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

This paper investigates the degree of substitutability between securitized real estate assets and real estate assets whose prices are appraisal‐based. Given the insensitivity of unsecuritized asset's returns to the returns on stock market indices, equilibrium asset pricing models cannot be used to compare these two avenues of investment. Two assets are deemed substitutable if the information sets underlying unbiased, minimum error variance estimates of their pricing parameters are identical. The empirical evidence shows that the prices of the transactions‐based assets—real estate investment trusts and the stock price index of the home building industry—follow a random walk while the prices of the appraisal‐based assets—FRC/NCREIF indices—do not. The variance decompositions of the vector autoregressions also show that the level of economic activity helps predict the price indices of appraisal‐based assets while the stock market index and the term structure of interest rates are better predictors of the prices of transacti

ISSN:1080-8620    

DOI:10.1111/1540-6229.00681

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

This note characterizes the set of Pareto optimal and stable matchings among buyers and sellers and examines the optimality of matching strategies employed by brokers under different commission structures. It is shown that the profit‐maximizing matching strategy for the broker under percentage commission and flat‐fee systems also maximizes the number of houses sold, but it minimizes the buyers' and sellers' surplus. On the other hand, net listing results in the sale of fewer houses, but it yields larger surplus for buyers and sell

ISSN:1080-8620    

DOI:10.1111/1540-6229.00682

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

Homeowners do not diversify their risky home equity because of fixed costs of issuing securities and information costs. An asset pricing model is developed for homeowners with the undiversifiable home equity asset. Homeowner value and house value to diversified landlords are compared, and a tenure choice equation is developed. We demonstrate the existence of a rational expectations equilibrium under appropriate conditions.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00683

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY