The role of selling (or marketing) period uncertainty in understanding risk associated with property investment is examined in this paper. Using an approach developed by Lin and Vandell [2001, 2005] and Lin [2004], combined with a statistical model of UK commercial property transactions, we show...

The role of selling (or marketing) period uncertainty in understanding risk associated with property investment is examined in this paper. Using an approach developed by Lin and Vandell [2001, 2005] and Lin [2004], combined with a statistical model of UK commercial property transactions, we show...

Much of the literature on pricing commercial mortgages and commercial mortgage-backed securities has assumed homogeneity in prepayment penalty structure. This study provides evidence that such an assumption is inappropriate and examines the effect of penalty structures observed in actual...

This paper is concerned with the extent to which rehabilitation tax credits affect the conditional probability of commercial real estate rehabilitation. The analysis suggests that rehabilitation tax credits have been a significant determinant of the conditional probability of rehabilitation in...

This study examines the return characteristics of a large, well diversified commercial mortgage portfolio. Mortgage specific cash flow histories are constructed for 2,480 loans originated over the period 1974 through 1990, and a contingent-claims approach to pricing risky debt is used to...

Recent Administration proposals intend to increase the homeownership rate by roughly 2.5 percent to 67.5 percent by the year 2000. The possible use of the federal tax code is virtually ignored in these proposals. Using a user cost framework incorporated into a tenure choice equation and both...

This paper proposes and develops a replication method for estimating property values, in which optimal weights of comparable property attributes that best duplicate the subject property are determined. In a setting where the number of comparables is large compared to the number of attributes,...

The cause of the quot;housing bubblequot; associated with the sharp rise and then drop in home prices over the period 1998-2008 has been the focus of significant policy and research attention. The dramatic increase in subprime lending during this period has been broadly blamed for these market...