In modelling real estate assets, the assumption of market completeness is violated. In this work we introduce indifference pricing in the valuation of development projects for the first time in the context of real option analysis. We model both a simple call option to defer and a compound put...

[abstract missing - contribution appeared in the programme]

ERES:conference

In an asset allocation process, correlations are particularly important if one includes 'alternative investments' such as real estate, commodities and hedge funds, which have been proclaimed to provide diversifying benefits within the overall portfolio context. While many studies have found that...

Margrabe (1978) developed the first option pricing model to value the exchange of two financial assets. One of its main applications is the pricing of M&A activities. In the real estate industry, however, the development of some sector-specific measures and the (real) nature of underlying assets...

Research into market liquidity has increasingly focused on transaction (trade-by-trade) data. This has been valuable but has also increased the costs of studying the behavior of liquidity over longer periods of time. It has, however, also been shown that daily data can be examined in such as way...

This paper examines the empirical impact of trade openness on the short-run underpricing of real estate IPOs in China, on a city level. To our knowledge, this represents the first paper which employs a macroeconomic argument to explain the real estate IPO performance. Our work is based on the...

Traded securities have been mainly used to study the two-way causality between returns and liquidity in the finance literature. We argue that this issue is even more important for unlisted funds, particularly if they invest in very illiquid assets. Using the investment performance of UK Real...

A Valuation-Based Index (e.g. NCREIF and IPD) requires a set of information that is normally difficult to be collected ñ the main issue being the availability of annual valuations. This issue is even worse when we want to construct historical indices for markets with thin information. In this...

If in equity markets style analysis has been studied extensively, in real estate ones it is only now emerging as a valuable tool for measuring and benchmarking performance and risk. So far studies in the property market have identified three investment categories (rather than styles): sectors...