Walter I. Boudry , Crocker H. Liu , Tobias Mühlhofer , Walter N. Torous
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引用次数: 0
Abstract
Pseudo-market prices of infrequently traded assets with scheduled cash flows – commercial real estate appraisals and matrix prices of commercial mortgage backed securities – are compared against a VAR model to assess the extent to which these widely-used proxies are grounded in economic fundamentals. Property appraisals fail to fully incorporate the economic fundamentals underlying commercial real estate transactions. During the financial crisis, CMBS matrix prices captured underlying economic fundamentals and exhibited little pricing bias. However, matrix prices no longer exhibited such economic discipline after the financial crisis. Incorporating VAR forecasts considerably improves the predictive ability of appraisals and matrix prices.
将具有预定现金流的非经常交易资产的伪市场价格--商业房地产评估和商业抵押贷款支持证券的矩阵价格--与 VAR 模型进行比较，以评估这些广泛使用的替代物在多大程度上以经济基本面为基础。财产评估未能充分纳入商业房地产交易的经济基本面。在金融危机期间，CMBS 矩阵价格捕捉到了基本的经济基本面，几乎没有表现出定价偏差。然而，金融危机之后，矩阵价格不再表现出这种经济规律。纳入 VAR 预测大大提高了评估和矩阵价格的预测能力。
期刊介绍：
The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.
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