A model is developed and utilized in this paper to value a life-of-loan interest-rate cap on an ARM that reprices monthly. The value of the cap is seen to depend importantly on both the slope of the term structure and the variance of the 1-month rate. However, the cap value is not sensitive to...

This paper computes how coupon rates on hypothetical default-free 1- 3- and 5-year adjustable rate mortgages with various caps and teaser rates issued during the 1970-76 period would have had to be set in order for the ARMs to have earned the market rate of return over a 7 1/2-year holding...

This paper makes two contributions. First, an internally consistent annual data set is constructed for the housing-units identity. For the 1961-85 period, data are computed for completions, mobile home placements, the change in households, the change in vacancies, and, residually, net other...

We analyze monthly returns on an equally weighted index of eighteen to twenty-three equity (real property) real estate investment trusts (REITs) that were traded on major stock exchanges over the 1973-87 period. We employ a multifactor Arbitrage Pricing Model using prespecified macroeconomic...

Spreads between yields on different mortgage instruments and comparable maturity portfolios of Treasury securities have been computed and compared with quoted yields over the 1974-82 period for three different mortgage instruments: GNMA pass-throughs, FHLMC participation certificates, and...

Forecasting changes in housing finance (instruments and institutions), housing demand (tenure, quantity, and real price), and housing production requires forecasting numerous exogenous factors-inflation, government policy, and demographic forces being the most obvious-and interpreting their...

AREUEA is pleased to acknowledge the support of the National Association of REALTORS for this special issue on house prices. We are particularly grateful to John Tuccillo, Senior Vice President and Chief Economist at NAR, for recognizing the importance of this emerging research area. The editors...

Early federal housing finance policy appears to have been largely directed at making mortgages more marketable. The creation of FHA, FNMA and FHLMC were designed to homogenize the mortgage instrument and to develop a secondary market for it. Apparently because of a lack of demand for...

Much progress has been achieved in the valuation of call options and mortgages. Preliminary evidence suggests that the observed term structure of interest rates (the full structure, not just the end-points) and a reasonable estimate of the volatility of spot rates is sufficient for pricing...

This study investigates the determinants of key input variables in valuers' discounted cash flow models used for estimating market values for offices. Data from 599 valuations in 2000 from Stockholm, Gothenburg and Malmö are used to explain variation in discount rates, expected growth rates in...