The Journal of Real Estate Finance and Economics
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A Spatial Model of Housing Returns and Neighborhood Substitutability
The Journal of Real Estate Finance and Economics - Tập 14 - Trang 11-31 - 1997
This article provides a method for estimating housing indices at the local level. It develops a ““distance-weighted repeat-sales”” procedure to exploit the factor structure of the error-covariance matrix in the repeat-sales model. A distance function defined in characteristic and geographical space provides weights for the generalized least-squares model, and allows the use of all of the repeated ......
Private Investment, Public Aid and Endogenous Divergence in the Evolution of Urban Neighborhoods
The Journal of Real Estate Finance and Economics - Tập 32 - Trang 83-100 - 2006
This paper offers a novel explanation for urban blight and endogenous divergence in the overall quality and wealth of neighborhoods and simultaneously derives the salient features of actual urban renewal and other aid programs from optimizing government behavior based on collective public preferences. These features appear when the objective of such public aid programs is to restore the ex ante di......
Modeling Space Market Dynamics: An Illustration Using Panel Data for US Retail
The Journal of Real Estate Finance and Economics - - 2013
Regulatory Capital Arbitrage and the Potential Competitive Impact of Basel II in the Market for Residential Mortgages
The Journal of Real Estate Finance and Economics - Tập 35 - Trang 197-219 - 2007
U.S. banking regulators have proposed a bifurcated system of capital regulation where the largest, internationally active banking organizations would be subject to significantly more risk sensitive regulatory capital requirements than are currently in place, while most others would remain subject to the current rules. The proposed new capital regime has the potential to affect the competitive land......
Performance based mortgage-backed securities indexing
The Journal of Real Estate Finance and Economics - Tập 1 - Trang 185-193 - 1988
The traditional approaches to indexing first developed for equities and then adapted to bonds are not effective for mortgage-backed securities. This paper details a new technique for indexing portfolios of mortgage-backed securities which rectifies the deficiencies of the older cellular method. By focusing on the performance characteristics of the bonds adjusted for their embedded options, we at o......
Investor efficiency in the face of takings
The Journal of Real Estate Finance and Economics - Tập 12 Số 1 - Trang 23-35 - 1996
Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance
The Journal of Real Estate Finance and Economics - Tập 45 - Trang 364-382 - 2010
This study investigates the effect of changes in monetary policy on US equity real estate investment trust (EREIT) returns in lower and higher return ranges during bull, bear, and volatile stock market states using quantile regression. Results show that EREIT returns are sensitive to changes in monetary policy at different EREIT return ranges in different market states. During bull markets, change......
Usefulness of the Information Contained in the Prediction Sample for the Spatial Error Model
The Journal of Real Estate Finance and Economics - Tập 47 - Trang 169-195 - 2011
A recent study proposed an estimation approach that uses data on the independent variables and location for the prediction sample, and suggested that it may improve estimation and prediction. This is an incomplete data approach following an iterative process along the lines of the EM algorithm. The present study compares this approach with a partial data approach that uses only data on the depende......
Energy Efficiency Information and Valuation Practices in Rental Housing
The Journal of Real Estate Finance and Economics - Tập 60 - Trang 181-204 - 2019
The consensus in the academic literature is that energy efficiency is associated with transaction value premiums, but it is not clear to what extent property appraisers take account of this. We decompose external appraisals of rental housing by international valuation firms in England and the Netherlands in two waves, keeping the samples of valued homes constant between these years. We find a nota......
Cambridge-UNC Charlotte Symposium 2006 Real Estate Risk Management and Property Derivatives
The Journal of Real Estate Finance and Economics - Tập 36 Số 1 - Trang 1-4 - 2008
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