ALBERT

All Library Books, journals and Electronic Records Telegrafenberg

X
feed icon rss

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
  • 1
    Electronic Resource
    Electronic Resource
    Compounding and Discounting With Stochastic Interest Rates (1989)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of business finance & accounting 16 (1989), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1468-5957.1989.tb00051.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    Cash Flow Modelling and Forecasting in Capital Budgeting Under Uncertainty (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Decision sciences 21 (1990), S. 0 
    Details
    ISSN: 1540-5915
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The subject of this paper is modelling and forecasting of cash flows generated by a capital investment. The paper proposes the application of autoregressive, moving average, and mixed autoregressive moving-average processes to capital budgeting. In addition, models for deterministic, stochastic and seasonal trends are considered. For each class of cash flows, analytical expressions are developed for the mean and variance of a project's net present value (NPV). Also considered are several equilibrium pricing models. For two of them, the forecasting methodology developed here is integrated into the pricing equation. Although the overall emphasis of the paper is on modelling and forecasting of cash flows, the implications for NPV pricing and risk analysis are also investigated. Several examples are used to illustrate the impact of particular cash flow models on the price and risk of a project.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1540-5915.1990.tb01252.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    The Long-Run Performance of REIT Stock Repurchases (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 study investigates the long-horizon performance of open-market stock repurchases for real estate investment trusts (REITs). We develop a new methodology to model the autocorrelation of monthly returns into long-horizon buy-and-hold abnormal return estimators. Serial correlation can introduce bias (autocorrelation bias) because the bid-ask bounce may affect monthly returns for sample firms and non-sample firms in a different fashion. Previous long-horizon event studies have overlooked this source of bias. There is compelling evidence that the market underreacts to the stock repurchase announcements. The evidence holds for different measures of the variance and the effects of cross-correlation of abnormal returns. Results are also robust to the traditional buy-and-hold abnormal return and the wealth relative estimators. We investigate the nature of the underreaction and find strong support for the undervaluation hypothesis.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1540-6229.2005.00122.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 4
    Electronic Resource
    Electronic Resource
    Appraisal-Based Real Estate Returns under Alternative Market Regimes (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Real estate economics 20 (1992), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: In this article we use Monte Carlo simulation to study the statistical properties of real estate returns. We set up a model where transactions prices are noisy signals of true prices. We then consider a number of appraisal rules, derived from Bayesian and non-Bayesian theory, to estimate the current true price and rate of return. The class of exponential smoothing and Kalman filter rules perform well at both the disaggregate (returns on an individual property) and aggregate (returns on a real property portfolio) levels. A special case of exponential smoothing (α= 1.0) places all weight on current market data. Since this case eliminates smoothing, our results suggest that appraisers should place all weight on current data (no weight on past data) provided that they want to estimate returns rather than values. However, these results should be used with caution if sales prices are very noisy.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1540-6229.00570
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 5
    Electronic Resource
    Electronic Resource
    Revisions in Repeat-Sales Price Indexes: Here Today, Gone Tomorrow? (1999)
    Oxford, UK : Blackwell Publishing Ltd
    Real estate economics 27 (1999), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Price indexes based on the repeat-sales model are revised all the way to the beginning of the sample every time a new quarter of information becomes available. Revisions can adversely affect practitioners. In this paper we examine this revision process both theoretically and empirically. The theory behind the repeat-sales method says that revisions should lower the standard error of the estimated indexes; we prove that, in fact, the revised index is more efficient than the original one. This implies that large samples should make revisions trivial. However, our data, and the Freddie-Fannie data, suggest that revisions are large, insensitive to sample size and systematic; revisions are more likely to be downward than upward. In Los Angeles and Fairfax, revisions are usually downward and statistically significant. This bias in initial repeat-sales estimates is caused by sample selectivity; properties with only one or two years between sales do not appreciate at the same rate as other properties. We hypothesize that these “flips” are improved (possibly cosmetically) between sales. One implication of our analysis is that flips should be removed or downweighted before calculating repeat-sales indexes. The same model estimated without flips appears free of bias. We find small increases in efficiency from adding up to 4,300 observations to a base of 1,200.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1540-6229.00767
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 6
    Electronic Resource
    Electronic Resource
    Housing Price Indices Based on All Transactions Compared to Repeat Subsamples (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Real estate economics 19 (1991), S. 0 
    Details
    ISSN: 1540-6229
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The set of real properties sold during a given period of time may be subdivided into several subsets comprising those properties that sold only once, only twice, and three or more times. The major reason for subdividing the sample is to allow estimation of residential price indices by the repeat-sales methodology. The purpose of this paper is to compare price indices estimated with the repeat subsample to indices based on the entire sample.Our data for five metropolitan areas indicate that cumulative price trends for the repeat subsamples can differ from the full samples over periods ranging from two to ten quarters. While short-term price trends can differ widely, there are no systematic differences among the samples over periods of three years or more. The data indicate that arbitrage typically forces prices for the repeat sample to grow at the same rate as those for the full sample. Whether this would be the case in areas experiencing greater disequilibrium than our towns in the Hartford area is uncertain.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1540-6229.00553
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 7
    Electronic Resource
    Electronic Resource
    Price Indices Based on the Hedonic Repeat-Sales Method: Application to the Housing Market (1998)
    Springer
    The journal of real estate finance and economics 16 (1998), S. 5-26 
    Details
    ISSN: 1573-045X
    Keywords: real estate price indices ; hedonic repeated measures ; market model for real estate price indices ; assessed-value method
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Shiller (1993) proposes the hedonic repeated-measures (HRM) approach to measuring constant quality price indices for heterogeneous assets such as some bonds and real estate. We derive a mathematical relationship between the coefficients of the HRM model and those from the standard repeat-sales model, and we demonstrate how hedonic characteristics should be chosen for inclusion in the HRM model. Empirical estimates using Fairfax, Virginia, housing transactions data show that the HRM price index evaluated at the mean of the hedonic variable is virtually identical to the standard repeat sales index, just as predicted by our mathematical relationship. But the HRM allows estimation of different price paths for heterogeneous assets. We demonstrate that use of assessed value as the only hedonic characteristic allows parsimonious HRM estimates.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1007729214108
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 8
    Electronic Resource
    Electronic Resource
    Estimating price trends for residential property: A comparison of repeat sales and assessed value methods (1992)
    Springer
    The journal of real estate finance and economics 5 (1992), S. 357-374 
    Details
    ISSN: 1573-045X
    Keywords: Real estate price indices ; Repeat sales ; Assessed value ; Biased samples
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The repeat sales methodology for estimating residential price indices is based on actual appreciation of individual properties. On the other hand, the repeat sales method wastes data, typically discarding a large percentage of all sales. This article explores two issues related to the subsample of repeat sales. First, are paired sales representative of the entire population of properties that sold? Second, is there evidence that sample selectivity biases the price trend estimates? Evidence from five metropolitan areas supports a negative answer to the first question and the second question. It appears that a “lemon” or “starter home” effect causes repeat residential sales to be a biased subsample of all transactions. Cumulative price trends for the repeat subsamples can differ from the full samples over periods ranging from two to ten quarters. While short-term price trends can differ widely, there are no systematic differences among the samples over long periods of time (e.g., three years or more).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00174805
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 9
    Electronic Resource
    Electronic Resource
    Three New Real Estate Price Indices for Geneva, Switzerland (1997)
    Springer
    The journal of real estate finance and economics 15 (1997), S. 93-109 
    Details
    ISSN: 1573-045X
    Keywords: real estate price indices ; hedonic model ; repeat sales ; Geneva ; Switzerland ; revision of price indices
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1007753406308
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
Close ⊗
This website uses cookies and the analysis tool Matomo. More information can be found here...