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  • 1
    Electronic Resource
    Electronic Resource
    THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper, novel singular perturbation techniques are applied to price European, American, and barrier options. Employment of these methods leads to a significant simplification of the problem in all cases, by reducing the number of parameters. For American options, the valuation problem is reduced to a procedure that may be performed on a rudimentary handheld calculator. The method also sheds light on the evolution of option prices for all of the cases considered, the results being particularly illuminating for American and barrier options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00224.x
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  • 2
    Electronic Resource
    Electronic Resource
    Spatial Heterogeneity in Mortgage Terminations by Refinance, Sale and Default (2005)
    Oxford, UK and Boston, USA : Blackwell Publishing, Inc.
    Real estate economics 33 (2005), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This article investigates the impact of spatially correlated unobservable variables on the refinancing, selling and default decisions of mortgage borrowers. Virtually the entire mortgage literature acknowledges that borrower-specific characteristics, such as culture, education or access to information, play an important role in mortgage termination decisions. While we do not observe these variables directly, we note that borrowers of similar background tend to cluster together in neighborhoods. We estimate a competing risks hazard model with random effects using a three-stage maximum likelihood estimation approach. We utilize the space-varying coefficient method to modify the covariance structure according to the spatial distribution of the observations. Beyond a significant improvement of the model performance, this yields a number of insightful implications for mortgage termination behavior. For instance, borrowers of the affluent “West Side” of Los Angeles County both refinance and move at a higher rate than predicted by the standard maximum likelihood estimation method. At the same time, borrowers from some lower-valued neighborhoods tend to stay longer than expected with their mortgages and properties.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1540-6229.2005.00137.x
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  • 3
    Electronic Resource
    Electronic Resource
    Appraisal, Agency and Atypicality: Evidence from Manufactured Homes (2005)
    Oxford, UK and Boston, USA : Blackwell Publishing, Inc.
    Real estate economics 33 (2005), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The appraisal of the “market value” of homes serving as the collateral for mortgages is a fundamental part of the underwriting process. If a loan should default, however, it is not the retail market value that the lender obtains, but rather the “recovery value.” In this research, we show how recovery values differ from market values at origination and explore the reasons for the differences. Using a large sample of chattel mortgages on manufactured homes, we explore the relationship among the selling prices, the book values, and the fitted values from simple hedonic models with spatial autocorrelation. We then address the differences between selling prices at origination and recoveries from repossessed homes. We find that the spread between them varies systematically with home characteristics and especially with “atypicality,” that is, with measures of how unusual a home is. Selling prices both at origination and recovery affect borrower defaults.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1540-6229.2005.00128.x
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  • 4
    Electronic Resource
    Electronic Resource
    Self-Selection and Discrimination in Credit Markets (2005)
    Oxford, UK and Boston, USA : Blackwell Publishing, Inc.
    Real estate economics 33 (2005), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: In this article we make two contributions toward a better understanding of the causes and consequences of discrimination in credit markets. First, we develop an explicit theoretical model of loan underwriting in which lenders use a simple Bayesian updating process to evaluate applicant creditworthiness. Using a signal correlated with an applicant's true creditworthiness and their prior beliefs about the distribution of credit risk in the applicant pool, lenders are able to evaluate an applicant's expected or “inferred” creditworthiness to determine which loans to approve and which to deny. Second, we explicitly model the self-selection behavior of individuals. Because these decisions shape lenders' prior beliefs about the distribution of credit risk, they also affect the Bayesian posterior from which lenders compute an applicant's inferred creditworthiness, implying that statistical discrimination can arise endogenously. As an example, we show that in a market in which only some lenders have Beckerian tastes for discrimination there are conditions under which lenders without racial animus will also discriminate. Our model's flexibility makes it ideal for analyzing a wide variety of empirical and policy questions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1540-6229.2005.00118.x
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  • 5
    Electronic Resource
    Electronic Resource
    Investor Rationality: Evidence from U.K. Property Capitalization Rates (2005)
    Oxford, UK and Boston, USA : Blackwell Publishing, Inc.
    Real estate economics 33 (2005), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Recent analyses have suggested the irrationality of Australian and U.S. office property investors in that they have failed to raise capitalization rates sufficiently at rental cyclical peaks to account for the obvious mean reversion in real rents and thus have significantly overvalued properties. In this article, we present a model of capitalization rates and explain U.K. office and retail cap rates in an error correction framework. We demonstrate that our proxies for expected real rental growth do, in fact, forecast future real growth and that cap rates reflect rational expectations of mean reversion in future real cash flows. Moreover, property cap rates are linked to the equity capitalization rate (dividend/price ratio) and expected real dividend growth in the expected manner.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1540-6229.2005.00120.x
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  • 6
    Electronic Resource
    Electronic Resource
    Real Estate and Economies of Scale: The Case of REITs (2005)
    Oxford, UK and Boston, USA : Blackwell Publishing, Inc.
    Real estate economics 33 (2005), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Building on past research in the economies-of-scale debate, we test for scale economies in real estate investment trusts (REITs) by examining growth prospects, revenue and expense measures, profitability ratios, systematic risk and capital costs. Overall, we find that large REITs are increasing growth prospects while succeeding at lowering costs, leading to a direct relationship between firm profitability and firm size. Additionally, we find an inverse relationship between equity betas and firm size, and for all cost of capital measures we find significant scale economies. Further evidence from the stochastic frontier analysis suggests efficiency opportunities appear possible through continued growth and consolidation in REITs.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1540-6229.2005.00121.x
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  • 7
    Electronic Resource
    Electronic Resource
    Introduction to the Special Issue (2005)
    Oxford, UK and Boston, USA : Blackwell Publishing, Inc.
    Real estate economics 33 (2005), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1080-8620.2005.00109.x
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