The Experts below are selected from a list of 22551 Experts worldwide ranked by ideXlab platform
David Geltner - One of the best experts on this subject based on the ideXlab platform.
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Real Estate Price dynamics and the value of flexibility
Social Science Research Network, 2017Co-Authors: David Geltner, Richard De NeufvilleAbstract:This paper presents a model of Real Estate asset Price dynamics based on empirical evidence, economic theory, and common sense. We note important differences between Real Estate versus stock market Price dynamics. We then use this model to simulate the investment performance of archetypical property investments, in stabilized income-producing property, and in multi-asset development projects. We quantitatively explore the effects of uncertainty on investment performance, for example, the positive skew in the valuation distribution and the positive bias in the pro-forma return compared with the expected return due to Jensen’s Inequality. We then focus on the value added by flexibility, including various types of Real options in development projects. We consider the value of resale timing flexibility in stabilized property investment, and the value of production delay and product switching options in the development project. We find that with typical Real Estate Price dynamics, flexibility adds considerable value, and greatly improves the expected return. In stabilized property investment, resale timing flexibility can add 25% to the private valuation of the property. In multi-asset development, we find that timing options are redundant within themselves, but additive with product type options. Delay options provide significant downside protection, and combined with product switching can add over one-third to the value of the project as measured by its implied bid-Price for the land.
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Real Estate Price indices and Price dynamics an overview from an investments perspective
Review of Financial Economics, 2015Co-Authors: David GeltnerAbstract:This article reviews the state of the art in Real Estate Price indexing and the state of knowledge about Real Estate Price dynamics, with a focus on investment property, or income-generating commercial property. Investment properties form a large component of the national wealth and of capital markets and represent a major investment asset class. They are characterized by various types of heterogeneity, including among assets, markets, and data sources, making the study of Real Estate pricing uniquely challenging. Yet in recent decades, urban economists and econometricians have pioneered major new Price indexing methodologies that, combined with new types of data sources, are shedding light on the nature of commercial property Price dynamics, revealing both important commonalities and unique differences compared with equities and fixed-income securities pricing.
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Real Estate Price indices and Price dynamics an overview from an investments perspective
Social Science Research Network, 2014Co-Authors: David GeltnerAbstract:This article reviews the state of the art in Real Estate Price indexing and, related to that, the current state of knowledge about Real Estate Price dynamics, with a primary focus on investment property, income generating commercial properties. Such assets form a large component of the national wealth and of the capital markets, and represent a major investment asset class. They are characterized by heterogeneity of various types, among assets, markets, and data sources, making the study of Real Estate pricing uniquely challenging. Yet urban economists and econometricians have pioneered major new Price indexing methodologies in recent decades which, combined with new types of data sources, are now shedding new light on the nature of commercial property Price dynamics, revealing both important commonalities as well as unique differences compared with equities and fixed-income securities pricing.
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controlling for the impact of variable liquidity in commercial Real Estate Price indices
Real Estate Economics, 2003Co-Authors: Jeffrey Fisher, David Geltner, Dean H Gatzlaff, Donald R HaurinAbstract:Liquidity in private asset markets is notoriously variable over time. Therefore, indices of changes in market value that are based on asset transaction Prices will systematically reflect intertemporal differences in the ease of selling a property. We define and develop a concept of “constant-liquidity value” in the context of a model that is characterized by pro-cyclical volume of trading. We then present an econometric model that allows for estimation of both a standard transaction-based Price index and a constant-liquidity index. Our application to the NCREIF database reveals that, in the case of institutional commercial Real Estate investment, constant-liquidity values tend to lead transaction-based and appraisal-based indices in time, and also to display greater volatility and cycle amplitude. The differences can be significant for strategic investment policy viewed from a mean-variance portfolio optimization perspective.
Michael Ziegelmeyer - One of the best experts on this subject based on the ideXlab platform.
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wealth differences across borders and the effect of Real Estate Price dynamics evidence from two household surveys
Research Papers in Economics, 2014Co-Authors: Thomas Y Matha, Alessandro Porpiglia, Michael ZiegelmeyerAbstract:Crossing borders, be it international or regional, often go togther with Price wage or indeed wealth discontinuities. This paper identifies substantial wealth differences between Luxembourg resident households and cross-border commuter households despite their similar incomes. The av-erage (median) net wealth difference is estimated to be €367,000 (€129,000) and increases for higher percentiles. Using several different regression and decomposition techniques, spatial (regional) dif-ferences in Real Estate Price developments, and thus differences in accumulated nominal capital gains are shown to be one main driving factor for these wealth differences. Other factors contribut-ing to the observed wealth differences are differences in age, income, education and other house-hold characteristics.
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wealth differences across borders and the effect of Real Estate Price dynamics evidence from two household surveys
Social Science Research Network, 2014Co-Authors: Thomas Y Matha, Alessandro Porpiglia, Michael ZiegelmeyerAbstract:Crossing borders, be it international or regional, often go together with Price, wage or indeed wealth discontinuities. This paper identifies substantial wealth differences between Luxembourg resident households and cross-border commuter households despite their similar incomes. The average (median) net wealth difference is estimated to be €367,000 (€129,000) and increases for higher percentiles. Using several different regression and decomposition techniques, spatial (regional) differences in Real Estate Price developments, and thus differences in accumulated nominal capital gains are shown to be one main driving factor for these wealth differences. Other factors contributing to the observed wealth differences are differences in age, income, education and other household characteristics.
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wealth differences across borders and the effect of Real Estate Price dynamics evidence from two household surveys
Journal of Income Distribution, 2014Co-Authors: Thomas Y Matha, Alessandro Porpiglia, Michael ZiegelmeyerAbstract:Crossing institutional or regulatory boundaries often goes together with discontinuities, be it Price, wage or indeed wealth discontinuities. This paper identifies substantial wealth differences between Luxembourg resident households and cross-border commuter households. The average (median) net wealth difference is estimated to be €367,000 (€129,000) and increases for higher percentiles. Using several different regression and decomposition techniques, spatial (regional) differences in Real Estate Price developments, and thus differences in accumulated nominal capital gains, are shown to be the main driving factor for these wealth differences. Other contributing factors are differences in age, income, education and other household characteristics.
Martin Hoesli - One of the best experts on this subject based on the ideXlab platform.
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three new Real Estate Price indices for geneva switzerland
Social Science Research Network, 1997Co-Authors: Martin Hoesli, Carmelo Giaccotto, Philippe FavargerAbstract:The purpose of this paper is to develop constant quality Price indices for three categories of Real Estate: apartment building, vacant land, and condominiums for the city of Geneva, Switzerland. We use both the hedonic and repeat sales models to estimate the Price level and, in turn, the rate of Price change. The general pattern of each series suggests that Real Estate Prices in Geneva were fairly stable throughout the 1970s, increased sharply during the 1980s, but gave back some of these gains in the early 1990s. Interestingly, the sharp rise in Prices in the second half of the eighties is very similar to that found in some regions of the U.S. We also consider the problem - implicit in the repeat sales method, of revisions in previously estimated Price indices as additional data become available in later years.
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three new Real Estate Price indices for geneva switzerland
Journal of Real Estate Finance and Economics, 1997Co-Authors: Martin Hoesli, Carmelo Giaccotto, Philippe FavargerAbstract:This paper develops constant-quality Price indices for three categories of Real Estate-apartment buildings, vacant land, and condominiums—for the city of Geneva, Switzerland. We use both the hedonic and repeat sales models to estimate the Price level and, in turn, the rate of Price change. The general pattern of each series suggests that Real Estate Prices in Geneva were fairly stable throughout the 1970s, increased sharply during the 1980s, but gave back some of these gains in the early 1990s. Interestingly, the sharp rise in Prices in the second half of the 1980s is very similar to that found in some regions of the United States. We also consider the problem, implicit in the repeat sales method, of revisions in previously estimated Price indices as additional data become available in later years.
Thomas Y Matha - One of the best experts on this subject based on the ideXlab platform.
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wealth differences across borders and the effect of Real Estate Price dynamics evidence from two household surveys
Research Papers in Economics, 2014Co-Authors: Thomas Y Matha, Alessandro Porpiglia, Michael ZiegelmeyerAbstract:Crossing borders, be it international or regional, often go togther with Price wage or indeed wealth discontinuities. This paper identifies substantial wealth differences between Luxembourg resident households and cross-border commuter households despite their similar incomes. The av-erage (median) net wealth difference is estimated to be €367,000 (€129,000) and increases for higher percentiles. Using several different regression and decomposition techniques, spatial (regional) dif-ferences in Real Estate Price developments, and thus differences in accumulated nominal capital gains are shown to be one main driving factor for these wealth differences. Other factors contribut-ing to the observed wealth differences are differences in age, income, education and other house-hold characteristics.
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wealth differences across borders and the effect of Real Estate Price dynamics evidence from two household surveys
Social Science Research Network, 2014Co-Authors: Thomas Y Matha, Alessandro Porpiglia, Michael ZiegelmeyerAbstract:Crossing borders, be it international or regional, often go together with Price, wage or indeed wealth discontinuities. This paper identifies substantial wealth differences between Luxembourg resident households and cross-border commuter households despite their similar incomes. The average (median) net wealth difference is estimated to be €367,000 (€129,000) and increases for higher percentiles. Using several different regression and decomposition techniques, spatial (regional) differences in Real Estate Price developments, and thus differences in accumulated nominal capital gains are shown to be one main driving factor for these wealth differences. Other factors contributing to the observed wealth differences are differences in age, income, education and other household characteristics.
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wealth differences across borders and the effect of Real Estate Price dynamics evidence from two household surveys
Journal of Income Distribution, 2014Co-Authors: Thomas Y Matha, Alessandro Porpiglia, Michael ZiegelmeyerAbstract:Crossing institutional or regulatory boundaries often goes together with discontinuities, be it Price, wage or indeed wealth discontinuities. This paper identifies substantial wealth differences between Luxembourg resident households and cross-border commuter households. The average (median) net wealth difference is estimated to be €367,000 (€129,000) and increases for higher percentiles. Using several different regression and decomposition techniques, spatial (regional) differences in Real Estate Price developments, and thus differences in accumulated nominal capital gains, are shown to be the main driving factor for these wealth differences. Other contributing factors are differences in age, income, education and other household characteristics.
Dogan Tirtiroglu - One of the best experts on this subject based on the ideXlab platform.
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temporal and spatial information diffusion in Real Estate Price changes and variances
Social Science Research Network, 1997Co-Authors: Walter Dolde, Dogan TirtirogluAbstract:This article examines patterns of temporal and spatial diffusion of Real Estate Price changes. In addition to means, changes in volatility are tracked in reaction to substantial new information, estimated with GARCH-M methods. The data covers towns in Connecticut and near San Francisco. There is evidence of negative feedback at short lags, contrary to previous research on housing and other assets. There is also evidence of a moving average error process which tends to reverse recent shocks. Significantly positive spatial information diffusion is found from neighboring towns in Connecticut but none in control tests on non-neighboring towns. The results also include evidence of a risk-reward tradeoff in housing Price changes in the San Francisco area.
