The Journal of Real Estate Finance and Economics最新文献

This study examined contagion involving the aggregate and regional housing markets of the United States (US) with other asset markets using multichannel tests during the 2007-2008 global financial crisis based on a unique high-frequency, i.e., daily data set. To arrive at bias free results several contagion tests: the Forbes and Rigobon (FR) correlation test for contagion, the Fry, Martin and Tang coskewness (CS) test for contagion, the Hsiao cokurtosis (CK) test for contagion and the Hsiao covolatility (CV) test for contagion were employed. At the country level, the linear (correlation) channel indicates that contagion is present from (to) average housing returns to (from) the S&P500, with the correlation contagion also running from average housing returns to REITs. Moreover, the coskewness, cokurtosis and covolatility channels are strongly active with contagion running only from average housing returns to the S&P500, bond returns and REITs. At the Metropolitan Statistical Area (MSA) level, our results indicate that the linear (correlation) channel of contagion is relatively inactive, but the coskewness, cokurtosis and covolatility channels are strongly active with contagion running mostly from housing returns to the S&P500. Our results have important implications for investor and policymakers, given the possibility of differential results based on tests and whether we rely on regional or aggregate data.

We rely on novel textual analysis of real estate listings and identify renovated dwellings in a dataset of Norwegian transactions to estimate the renovation premium in an urban housing market. The renovation premium is estimated in a hedonic framework by classical regression approaches and a random forest algorithm. The strength of the latter is that it allows for a more complex interplay between the renovation premium and explanatory variables. We estimate a significant positive renovation premium of 5–7 percent for renovated dwellings and a negative premium of 9–10 percent for unmaintained/neglected dwellings. These averages mask significant variations in these premiums over time, particularly, a counter-cyclical effect. Omitting renovation information also has implications for estimated short-term house price growth. Unmaintained dwellings tend to transact more in the fourth quarter, indicating that parts of the seasonal price variation reported in the literature are due to compositional variation with respect to renovation. This composition effect bias price movement estimates downward, if uncontrolled for, as unmaintained dwellings transact at significantly lower prices.

Virtual tours such as pre-recorded videos or self-guided virtual reality (VR) tours represent marketing strategies that agents can use to promote homes for sale. Assuming agents aim at maximizing their net commissions, we expect virtual tours, which require more agent effort and are more costly, to be used for homes that are difficult to show due to being owner- or tenant-occupied. Using 34,359 single-family transactions from multiple US markets, we show that virtual tours impact the sales prices of occupied homes (1) directly (main effect) and (2) indirectly through an interaction with time on market (TOM). However, this impact differs in directionality and size across price segments and occupier type. The use of virtual tours has no effect on the sales prices of vacant homes. Our results suggest that virtual tours are effective strategies to overcome the difficulty of showing homes and moderate the price-TOM relation.

Housing markets display several correlations to multiple economic sectors of an economy. Their enormous impact on economies’ health, wealth, and stability is uncontroversial. Interestingly, the forms of financing residential property vary widely between the different countries in terms of both, the available product types and the institutions offering them. This research examines the implications of different financial intermediaries on housing market cycles with special emphasis on two institutional types, conventional banks and building and loan associations. Introducing a heterogeneous agent-based model, the interactions of buyers, sellers, and the two types of credit institutions are assessed. Heterogeneous economic principles and expectations of agents create endogenous market conditions which are strongly influenced by the lending practices of financial intermediaries.

Focusing primarily on collateral values to decide about lending, conventional banks may contribute to volatile housing markets which are prone to recessions. Building and loan associations, on the other hand, rely to a greater extent on endogenously created borrower information. Thus, they are able to cushion the volatility of house prices caused by procyclical mortgage lending of conventional banks and increase the stability of the housing market. Simulations show that the most stable market conditions are attained if both types of financial intermediaries serve the mortgage lending market jointly. Furthermore, transaction and homeownership rates are the highest in this market setting. These findings advocate in favor of diversified financial markets.