1,328 research outputs found
Residential Investment and Interest Rates: An Empirical Test of Land Development as a Real Option
No full textIn real options models, investment can increase under some conditions when interest rates rise. This research tests for these positive interest rate responses in the context of the Capozza-Li model of land development. In the model variable capital intensity is a sufficient condition for positive responses to interest rates that can occur when growth rates are high or uncertainty is high. The empirical analysis uses a panel data set on residential investment in the 1980s and finds that 25-50% of the sample lies in the positive response region. Copyright 2001 by the American Real Estate and Urban Ecopnomics Assocaition.
Deconstructing a Mortgage Meltdown: A Methodology for Decomposing Underwriting Quality
No full textPeer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/96275/1/j.1538-4616.2011.00389.x.pd
"Closing the R&D Gap, Evaluating the Sources of R&D Spending"
No full textBoth spending and tax policies have been implemented in the United States with the goal of stimulating private sector research and development (R&D). Karier questions whether current R&D policy, especially the research and experimentation tax credit, can contribute to closing the gap between nondefense expenditures on R&D in the United States and such expenditures in other countries, such as Japan and Germany. He also explores possible changes to our current R&D policy to make it more effective.
Residuals and Influence in Regression
No full textAuthor affiliations: University of Minnesota, Twin Cities, School of Statistics.Cook, R. Dennis; Weisberg, Sanford. (1982). Residuals and Influence in Regression. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/37076
Determinants of Real House Price Dynamics
No full textWe explore the dynamics of real house prices by estimating serial correlation and mean reversion coefficients from a panel data set of 62 metro areas from 1979-1995. The serial correlation and reversion parameters are then shown to vary cross sectionally with city size, real income growth, population growth, and real construction costs. Serial correlation is higher in metro areas with higher real income, population growth and real construction costs. Mean reversion is greater in large metro areas and faster-growing cities with lower construction costs. Empirically, substantial overshooting of prices can occur in high real construction cost areas, which have high serial correlation and low mean reversion, such as the coastal cities of Boston, New York, San Francisco, Los Angeles and San Diego.
The value of risk in real estate markets
No full textIn this article we test the urban asset pricing model of Capozza and Sick (1988) and focus on the empirical dimensions of the effects of risk on urban land prices. The effects of systematic and unsystematic risk are distinguished in the model which incorporates the value of the option to convert land to urban uses into the pricing of urban real estate. We find the value of systematic risk in our Canadian urban areas to be negative and highly statistically significant. We find that approximately 2.5 percent of the value of houses in our sample arises from systematic risk. In our sample, unsystematic risk is a larger proportion of total risk than systematic risk. Therefore, most of the effect of total risk may be ascribed to unsystematic risk. The effect of total risk on land prices is illustrated through the irreversibility premia estimates. These premia vary greatly in size and statistical significance. Thus, the effect of unsystematic risk is highly city specific. In the two regions where the irreversibility premia are statistically significant, it accounts for 22 percent and 53 percent of the average housing price; thus, unsystematic risk can be a very important determinant of housing prices.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/47767/1/11146_2004_Article_BF00216587.pd
Focus, Transparency and Value: The REIT Evidence
No full textPeer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/71733/1/1540-6229.00785.pd
Mortgage Default in Local Markets
No full textPeer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/75179/1/1540-6229.00731.pd
Wall Street versus Main Street: Valuing securitized assets.
No full textReal Estate Investment Trusts (REITs) are similar to closed-end mutual funds and concentrate their investment portfolios in real estate holdings. REITs provide an unique laboratory for the study of valuation, management contracts, capital structure and diversification in corporations since it is possible to estimate the intrinsic value of the underlying real estate assets with precision. A model for REIT property asset valuation (Main Street valuation) is developed based upon value additivity and irrelevant capital structure assumptions. The stock market valuation of REITs (Wall Street valuation) above the values of the underlying properties (the Main Street valuation) is measured by premiums, which is used to test proposed hypotheses. The market values externally advised REITs lower than self-administered REITs. Financial leverage in the absence of corporate tax advantage of debt financing impacts REIT value negatively and most of the leverage effect occurs between the first and second quartiles of leverage. The market places higher values on focused REITs and lower values on diversified REITs. REIT market liquidity, measured by firm size, volume of trade, or dollar volume of trade, has a positive impact on the market value of REIT shares.PhDBusiness AdministrationUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/104503/1/9527680.pdfDescription of 9527680.pdf : Restricted to UM users only
Managerial Style and Firm Value
No full textPeer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/74402/1/1540-6229.00741.pd
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