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Dealing with the quality of real estate data: some issues for financial institutions
Sampagnaro, Gabriele; Battaglia, Francesca; Porzio, Claudio - In: International Journal of Financial Services Management 6 (2013) 1, pp. 17-38
This paper addresses the issue of data quality in the real estate market. In many countries, the returns indices for direct markets are provided by several sources differing in terms of the methodology adopted and index weights. These differences produce a lack of informative standardisation,...
Persistent link: https://www.econbiz.de/10010668722
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Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis
Brandtner, Mario - In: Journal of Banking & Finance 37 (2013) 12, pp. 5526-5537
We study portfolio selection under Conditional Value-at-Risk and, as its natural extension, spectral risk measures, and compare it with traditional mean–variance analysis. Unlike the previous literature that considers an investor’s mean-spectral risk preferences for the choice of optimal...
Persistent link: https://www.econbiz.de/10010709479
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Flips, flops and foreclosures: anatomy of a real estate bubble
II, Craig A. Depken; Hollans, Harris; Swidler, Steve - In: Journal of Financial Economic Policy 3 (2011) February, pp. 49-65
Purpose – This paper aims to examine the anatomy of a real estate bubble. In the process, the paper identifies three phases of the market's evolution: flips, flops and foreclosures. An examination of the Las Vegas real estate market illustrates the three phases. Design/methodology/approach –...
Persistent link: https://www.econbiz.de/10009142655
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Loss severities on residential real estate debt during the Great Recession
Andersson, Fredrik; Mayock, Tom - In: Journal of Banking & Finance 46 (2014) C, pp. 266-284
This study develops estimates of expected loss severities on mortgage exposures using data from Florida during the Great Recession. This paper marks the first attempt at addressing sample selectivity in the context of loss models. We also construct measures of home equity that are more accurate...
Persistent link: https://www.econbiz.de/10010907103
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Cyclical default and recovery in stress testing loan losses
Jokivuolle, Esa; Virén, Matti - In: Journal of Financial Stability 9 (2013) 1, pp. 139-149
-known positive relationship between probability of default (PD) and loss given default (LGD; i.e., the inverse of recovery) and their … counter-cyclical movement with the business cycle. In the absence of proper micro data on LGD, we use a random-sampling method … to estimate the annual average LGD. We specify a two equation model for PD and LGD which is estimated with Finnish time …
Persistent link: https://www.econbiz.de/10010636145
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Chapter 13. The Microstructure of Housing Markets : Search, Bargaining, and Brokerage
Han, Lu; Strange, William C. - In: Handbook of regional and urban economics : volume 5, (pp. 813-886). 2015
This chapter surveys the literature on the microstructure of housing markets. It considers one-sided search, random matching, and directed search models. It also examines the bargaining that takes place once a match has occurred, with the bargaining taking various forms, including two-party...
Persistent link: https://www.econbiz.de/10014025302
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Shortage function and portfolio selection: On some special cases and extensions
Briec, Walter; Oms, Laurence; Paget-Blanc, Eric - In: Finance Research Letters 11 (2014) 3, pp. 295-302
The shortage function has recently been introduced in portfolio selection theory for measuring efficiency. In this paper we focuss on the case of shortselling. We show that, in such a case, the shortage function can be computed in closed form. Some issues concerning duality are also analyzed. We...
Persistent link: https://www.econbiz.de/10010940029
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Are public and private asset returns and risks the same? : evidence from real estate data
Hoesli, Martin; Oikarinen, Elias - 2013
This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...
Persistent link: https://www.econbiz.de/10010256953
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The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis
Mian, Atif; Sufi, Amir - National Bureau of Economic Research (NBER) - 2008
We demonstrate that a rapid expansion in the supply of mortgages driven by disintermediation explains a large fraction of recent U.S. house price appreciation and subsequent mortgage defaults. We identify the effect of shifts in the supply of mortgage credit by exploiting within-county variation...
Persistent link: https://www.econbiz.de/10005714377
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Tax Values and Market Prices of Real Estate in Bulgaria
Yotov, Stefan - In: Economic Thought journal (2005) 5, pp. 71-79
There has been a significant rise in prices of real estate in Bulgaria for the last several years, whereas their tax values remained the same. It is a common practice to declare the tax value as a transaction price, when a transaction with a real estate is done. This leads to a number of risks...
Persistent link: https://www.econbiz.de/10005570047