Pub Date : 2022-04-01DOI: 10.1007/s11146-022-09899-9
Tianwei Yang, Derek Huo, L. Choy, K. Chau
{"title":"The Impact of Measurement and Pricing Cost on Rental Transaction Prices – Evidence from the Institutional Rental Housing Market in Beijing","authors":"Tianwei Yang, Derek Huo, L. Choy, K. Chau","doi":"10.1007/s11146-022-09899-9","DOIUrl":"https://doi.org/10.1007/s11146-022-09899-9","url":null,"abstract":"","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"37 1","pages":"119-140"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89305371","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-29DOI: 10.1007/s11146-022-09902-3
Robert Forster, Xiaojin Sun
This paper develops a theoretical and empirical framework to assess the heterogeneous effects of mortgage rates on housing returns when accounting for the zero lower bound regime of the policy interest rate and local market supply and demand conditions. Based on an interacted panel VAR, estimated on a dataset comprising of 146 metropolitan statistical areas for a time period between January 1995 and December 2020, our empirical findings show that the response of housing returns to a mortgage rate shock is larger in magnitude when the federal funds rate is at its zero lower bound. Various supply and demand conditions, including housing permits, personal income, employment, and population, matter for the transmission of a mortgage rate shock to housing returns in local markets. A partial equilibrium model supports our empirical results.
{"title":"Heterogeneous Effects of Mortgage Rates on Housing Returns: Evidence from an Interacted Panel VAR.","authors":"Robert Forster, Xiaojin Sun","doi":"10.1007/s11146-022-09902-3","DOIUrl":"10.1007/s11146-022-09902-3","url":null,"abstract":"<p><p>This paper develops a theoretical and empirical framework to assess the heterogeneous effects of mortgage rates on housing returns when accounting for the zero lower bound regime of the policy interest rate and local market supply and demand conditions. Based on an interacted panel VAR, estimated on a dataset comprising of 146 metropolitan statistical areas for a time period between January 1995 and December 2020, our empirical findings show that the response of housing returns to a mortgage rate shock is larger in magnitude when the federal funds rate is at its zero lower bound. Various supply and demand conditions, including housing permits, personal income, employment, and population, matter for the transmission of a mortgage rate shock to housing returns in local markets. A partial equilibrium model supports our empirical results.</p>","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"24 1","pages":"1-28"},"PeriodicalIF":0.0,"publicationDate":"2022-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8960701/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83293018","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-28DOI: 10.1007/s11146-022-09897-x
Masudul Alam
{"title":"Volatility in U.S. Housing Sector and the REIT Equity Return","authors":"Masudul Alam","doi":"10.1007/s11146-022-09897-x","DOIUrl":"https://doi.org/10.1007/s11146-022-09897-x","url":null,"abstract":"","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"70 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85697717","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-25DOI: 10.1007/s11146-022-09898-w
Sercan Demiralay, Erhan Kilincarslan
In this paper, we attempt to explore the effects of various uncertainty measures - namely, implied volatility (VIX), tail risk (SKEW), economic policy uncertainty (EPU) and partisan conflict (PCI) indices-, on U.S. REITs returns at sector level, using the non-linear Markov regime-switching model. Our empirical results reveal that uncertainty measures have regime-dependent impacts and do not affect the return dynamics of REIT sectors in a uniform way. Office and hotel & lodging REITs exhibit the strongest sensitivity to VIX and EPU, respectively, during bearish market periods. While residential REITs are the most resilient to uncertainties, healthcare REIT returns are negatively affected from all the uncertainty factors only in the low variance regime. Hence, our findings show evidence of asymmetric, non-linear and sector-dependent linkages between REITs and uncertainties. These results provide valuable insights and important implications for REIT investors.
{"title":"Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment.","authors":"Sercan Demiralay, Erhan Kilincarslan","doi":"10.1007/s11146-022-09898-w","DOIUrl":"10.1007/s11146-022-09898-w","url":null,"abstract":"<p><p>In this paper, we attempt to explore the effects of various uncertainty measures - namely, implied volatility (VIX), tail risk (SKEW), economic policy uncertainty (EPU) and partisan conflict (PCI) indices-, on U.S. REITs returns at sector level, using the non-linear Markov regime-switching model. Our empirical results reveal that uncertainty measures have regime-dependent impacts and do not affect the return dynamics of REIT sectors in a uniform way. Office and hotel & lodging REITs exhibit the strongest sensitivity to VIX and EPU, respectively, during bearish market periods. While residential REITs are the most resilient to uncertainties, healthcare REIT returns are negatively affected from all the uncertainty factors only in the low variance regime. Hence, our findings show evidence of asymmetric, non-linear and sector-dependent linkages between REITs and uncertainties. These results provide valuable insights and important implications for REIT investors.</p>","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"14 1","pages":"1-40"},"PeriodicalIF":0.0,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8947960/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84319673","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-25DOI: 10.1007/s11146-022-09896-y
Mingzhi Hu, Zhenguo Lin, Yingchun Liu
{"title":"Amenities, Housing Affordability, and Education Elites","authors":"Mingzhi Hu, Zhenguo Lin, Yingchun Liu","doi":"10.1007/s11146-022-09896-y","DOIUrl":"https://doi.org/10.1007/s11146-022-09896-y","url":null,"abstract":"","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"30 1","pages":"141-168"},"PeriodicalIF":0.0,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77559695","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-05DOI: 10.1007/s11146-022-09890-4
B. Zhu, C. Lizieri
{"title":"Local Beta: Has Local Real Estate Market Risk Been Priced in REIT Returns?","authors":"B. Zhu, C. Lizieri","doi":"10.1007/s11146-022-09890-4","DOIUrl":"https://doi.org/10.1007/s11146-022-09890-4","url":null,"abstract":"","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82002735","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-02-14DOI: 10.1007/s11146-022-09891-3
M. Doszyń
{"title":"Might expert knowledge improve econometric real estate mass appraisal?","authors":"M. Doszyń","doi":"10.1007/s11146-022-09891-3","DOIUrl":"https://doi.org/10.1007/s11146-022-09891-3","url":null,"abstract":"","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84185566","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-02-06DOI: 10.1007/s11146-022-09889-x
Zhengyi Zhou, Hongchang Li, Anming Zhang
With unique datasets, this paper studies the effects of dockless bike sharing on house prices. We find that in neighborhoods relatively far from subway stations, house prices increase with the usage intensity of shared bikes. This indicates a positive value of bike sharing as a complement to the subway network. Meanwhile, shared bike usage intensity also has a negative impact on house prices. The negative effect is mitigated for luxury neighborhoods and neighborhoods near City Management Teams, suggesting that the negative effect is related to bike misplacement. Since the breakout of COVID-19, both the positive and negative price impacts have become more evident. This is consistent with the fact that the user base of shared bikes, which allow for social distancing in an open space, has increased during the pandemic. This may enhance people's confidence in the long survival of the bike sharing industry.
{"title":"Does Bike Sharing increase House Prices? Evidence from Micro-level Data and the Impact of COVID-19.","authors":"Zhengyi Zhou, Hongchang Li, Anming Zhang","doi":"10.1007/s11146-022-09889-x","DOIUrl":"10.1007/s11146-022-09889-x","url":null,"abstract":"<p><p>With unique datasets, this paper studies the effects of dockless bike sharing on house prices. We find that in neighborhoods relatively far from subway stations, house prices increase with the usage intensity of shared bikes. This indicates a positive value of bike sharing as a complement to the subway network. Meanwhile, shared bike usage intensity also has a negative impact on house prices. The negative effect is mitigated for luxury neighborhoods and neighborhoods near City Management Teams, suggesting that the negative effect is related to bike misplacement. Since the breakout of COVID-19, both the positive and negative price impacts have become more evident. This is consistent with the fact that the user base of shared bikes, which allow for social distancing in an open space, has increased during the pandemic. This may enhance people's confidence in the long survival of the bike sharing industry.</p>","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"8 1","pages":"1-30"},"PeriodicalIF":0.0,"publicationDate":"2022-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8817944/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82158629","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-02-03DOI: 10.1007/s11146-021-09885-7
Fredrika Hansson
{"title":"Pricing Radioactive Pollutants: Evidence from the Swedish Housing Market","authors":"Fredrika Hansson","doi":"10.1007/s11146-021-09885-7","DOIUrl":"https://doi.org/10.1007/s11146-021-09885-7","url":null,"abstract":"","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"42 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85677801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-02-02DOI: 10.1007/s11146-021-09882-w
G. Turnbull, Arno J. van der Vlist
{"title":"After the Boom: Transitory and Legacy Effects of Foreclosures","authors":"G. Turnbull, Arno J. van der Vlist","doi":"10.1007/s11146-021-09882-w","DOIUrl":"https://doi.org/10.1007/s11146-021-09882-w","url":null,"abstract":"","PeriodicalId":22891,"journal":{"name":"The Journal of Real Estate Finance and Economics","volume":"78 1","pages":"422-442"},"PeriodicalIF":0.0,"publicationDate":"2022-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76559840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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