Swap spreads predicted by the traditional risk-neutral valuation models are much lower than the quoted market spreads for property index linked swaps (Patel and Pereira, Journal of Real Estate Finance and Economics, 36:5-21, 2008). This paper attempts to develop a utility indifference-based...

Since the loan limit of a reverse mortgage is a major concern for the borrower as well as the lender, this paper attempts to develop an option-based model to evaluate the loan limits of reverse mortgages. Our model can identify several crucial determinants for reverse mortgage loan limits, such...

This paper proposes an intensity-based pricing model with default dependence structure for CMBS bonds. Three features are incorporated into the proposed model. First, default is a Poisson jump process defined as a function of mortgage rating information in the model. Second, underlying property...

In pricing real estate with indifference pricing approach, market incompleteness is shown to significantly alter the conventional pricing relationships between real estate and financial asset. Specifically, we focus on the pricing implication of market comovement because comovement tends to be...

This paper develops a utility indifference model for evaluating various prices associated with forward transactions in the housing market, based on the equivalent principle of expected wealth utility derived from the forward and spot real estate markets. Our model results show that forward...

Home-purchase limits, introduced by China's central government in April 2010 and afterward implemented by the local governments of major cities successively, were usually regarded as the most stringent policy instruments regulating over-heated Chinese housing markets over recent years. Our study...

This study empirically tests volatility effects on land development options using data on the government's land sales by tender for the period from 1995 to 2018. We find that development land option premiums increase by 6% on average with one standard deviation increase in conditional...

Numerous Chinese families choose to reside together with their elderly parents due to the considerable impacts of conventional values such as filial duty in Chinese society. However, as house prices rocketed up in major Chinese cities over the past decade, this category of residential...

This study investigates the impact of corporate fraud on household investment choices. We conjecture that by undermining trust in the financial and insurance market, corporate fraud behaviour would decrease households' investment in risky financial assets and increase investment in non-financial...

We show that the traditional western style corporate governance tools are ineffective in Chinese real estate firms from 2000 to 2012. Instead, we find evidence of effective state governance such as corruption cleanups and financial market liberalization. Specifically, the less state-connected...