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The financial crisis and diverging house prices : evidence from the Copenhagen Metropolitan Area

Mulalic, Ismir; Rasmussen, Holger; Rouwendal, Jan; … - 2017 - This version: 24/08/2017

This paper investigates the development of house prices in Copenhagen in the period 1994-2013, while paying special attention to the heterogeneous impact of the boom and bust periods along the dimensions of housing type (single vs multifamily housing), geography and quality. To allow for price...

Persistent link: https://www.econbiz.de/10011720315

Information asymmetry, lease incentives, and the role of advisors in the market for commercial real estate

Dröes, Martijn; Ziermans, Boris; Koppels, Philip - 2017 - This version: 03 November 2017

Using a unique transactions dataset from the Amsterdam office market, this paper examines the determinants of property lease incentives. The study focuses on the type of landlord involved (institutional/private) and whether the tenant or landlord used an advisor (professional broker) to help...

Persistent link: https://www.econbiz.de/10011772996

State-aided price coordination in the dutch mortgage market

Dijkstra, Mark A.; Schinkel, Maarten-Pieter - 2019 - Revision: July 2019

This paper shows how price leadership bans imposed, as part of the European Commission's State aid control, on all main mortgage providers but the largest bank shifted the Dutch mortgage market from a competitive to a collusive price leadership equilibrium. In May 2009, mortgage rates in The...

Persistent link: https://www.econbiz.de/10011979609

Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1998

Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested … pricing errors and allowing for asymmetry or leverageeffect'' in the SV models does help to explain the skewness of the … largely reduce theoption pricing errors, suggesting the importance of incorporating theinformation in the options market in …

Persistent link: https://www.econbiz.de/10011284060

The forward premium puzzle only emerges gradually

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

Persistent link: https://www.econbiz.de/10011372514

Do firms sell forward for strategic reasons? : an application to the wholesale market for natural gas

Eijkel, Remco van; Moraga-González, José Luis - 2010

Building on a model of the interaction of risk-averse frms that compete in forward and spot markets, we develop an empirical strategy to test whether oligopolistic frms use forward contracts for strategic motives, for risk-hedging, or for both. An increase in the number of players weakens the...

Persistent link: https://www.econbiz.de/10011380799

Is power production flexibility a substitute for storability? : evidence from electricity futures prices

Kilic, Mehtap; Huisman, Ronald - 2010

Electricity is not storable. As a consequence, electricity demand and supply need to be in balance at any moment in time as a shortage in production volume cannot be compensated with supply from inventories. However, if the installed power supply capacity is very flexible, variation in demand...

Persistent link: https://www.econbiz.de/10011381018

The joint estimation of term structures and credit spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

Persistent link: https://www.econbiz.de/10011301164

Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

by the winter-summer price differences. This paper provides a numerical solution for pricing storage capacity, by taking …

Persistent link: https://www.econbiz.de/10011333083

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …

Persistent link: https://www.econbiz.de/10011334345