Pub Date : 2023-09-14DOI: 10.1080/08965803.2023.2254581
Xun Bian, Zifeng Feng, Zhenguo Lin, Yingchun Liu
AbstractWe document that households relocated during the 2007-2009 Great Recession and its aftermath were substantially more likely to hold their previous homes for an extended period of time. We identify two contributing factors to this phenomenon. First, falling house prices pushed many homes into the “negative-equity” and “near-negative-equity” territories, and this made it challenging for owners to sell their homes. Second, we also show that falling home values had a more widespread effect that made all homeowners, regardless of their equity positions, more reluctant to sell. Additionally, we find households without mortgages are more likely to hold previous homes. Overall, we show the relationship between the loan-to-value (LTV) ratio and the likelihood of holding is U-shaped. We further examine the impact of holding previous homes on post-move housing tenure and housing consumption choices. We find that holding previous homes is associated with renting for a longer period. For households that bought new homes after relocation, holding previous homes is associated with the new residences that are less expensive and smaller. Our results suggest that, for households that moved during the housing bust, the Great Recession has a long-lasting effect on their housing consumption choices.Keywords: Housing consumptionthe Great Recessionloan-to-value ratio Disclosure statementNo potential conflict of interest was reported by the author.Notes1 75,000,000×4.5%×6=20,250,000. To be conservative, we use the annual moving rate of 4.5% in 2011 for our calculation. This is the lowest moving rate of homeowner households during the 2006–2018 period (Frost, Citation2020).2 The U.S. Census reports 2.62 per household during the 2015–2019 period. Homeowner households tend to be larger than renter households. Therefore, our estimate is relatively conservative: 20,250,000×2.62=53,055,000.3 Bian et al. (Citation2018) show that housing prices can be distorted and inflated with mortgage financing, and such distortion is even more severe for subprime mortgages, which lead to the housing bubble eventually resulting in the 2007–2009 housing crash due to borrowers’ defaults for various economic and behavioral reasons (e.g. Green & Wachter, Citation2005, Seiler, Citation2015a, Seiler, Citation2015b, Seiler, Citation2018).4 In addition to these effects, other factors linking house prices and household mobility include seasonality (Goodman, Citation1993) and corporate relocation assistance (Allen et al., Citation1997).5 See Ferreira et al. (Citation2010), Schulhofer-Wohl (Citation2011), and Coulson and Grieco (Citation2013).6 Coulson et al. (Citation2002) provides an excellent review of the social benefits of homeownership and some related issues.7 The PSID was conducted annually from 1968 to 1997 and biennially after 1997.8 We eliminate from our sample the small fraction of mobile homeowners due to the idiosyncrasies of their housing arrangements and mobility patterns.9 Each
{"title":"Holding Onto the Past: Previous Homes, Post-Move Housing Consumption, and the Great Recession","authors":"Xun Bian, Zifeng Feng, Zhenguo Lin, Yingchun Liu","doi":"10.1080/08965803.2023.2254581","DOIUrl":"https://doi.org/10.1080/08965803.2023.2254581","url":null,"abstract":"AbstractWe document that households relocated during the 2007-2009 Great Recession and its aftermath were substantially more likely to hold their previous homes for an extended period of time. We identify two contributing factors to this phenomenon. First, falling house prices pushed many homes into the “negative-equity” and “near-negative-equity” territories, and this made it challenging for owners to sell their homes. Second, we also show that falling home values had a more widespread effect that made all homeowners, regardless of their equity positions, more reluctant to sell. Additionally, we find households without mortgages are more likely to hold previous homes. Overall, we show the relationship between the loan-to-value (LTV) ratio and the likelihood of holding is U-shaped. We further examine the impact of holding previous homes on post-move housing tenure and housing consumption choices. We find that holding previous homes is associated with renting for a longer period. For households that bought new homes after relocation, holding previous homes is associated with the new residences that are less expensive and smaller. Our results suggest that, for households that moved during the housing bust, the Great Recession has a long-lasting effect on their housing consumption choices.Keywords: Housing consumptionthe Great Recessionloan-to-value ratio Disclosure statementNo potential conflict of interest was reported by the author.Notes1 75,000,000×4.5%×6=20,250,000. To be conservative, we use the annual moving rate of 4.5% in 2011 for our calculation. This is the lowest moving rate of homeowner households during the 2006–2018 period (Frost, Citation2020).2 The U.S. Census reports 2.62 per household during the 2015–2019 period. Homeowner households tend to be larger than renter households. Therefore, our estimate is relatively conservative: 20,250,000×2.62=53,055,000.3 Bian et al. (Citation2018) show that housing prices can be distorted and inflated with mortgage financing, and such distortion is even more severe for subprime mortgages, which lead to the housing bubble eventually resulting in the 2007–2009 housing crash due to borrowers’ defaults for various economic and behavioral reasons (e.g. Green & Wachter, Citation2005, Seiler, Citation2015a, Seiler, Citation2015b, Seiler, Citation2018).4 In addition to these effects, other factors linking house prices and household mobility include seasonality (Goodman, Citation1993) and corporate relocation assistance (Allen et al., Citation1997).5 See Ferreira et al. (Citation2010), Schulhofer-Wohl (Citation2011), and Coulson and Grieco (Citation2013).6 Coulson et al. (Citation2002) provides an excellent review of the social benefits of homeownership and some related issues.7 The PSID was conducted annually from 1968 to 1997 and biennially after 1997.8 We eliminate from our sample the small fraction of mobile homeowners due to the idiosyncrasies of their housing arrangements and mobility patterns.9 Each","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134911205","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-30DOI: 10.1080/08965803.2023.2247293
Jeffrey Cohen, Cletus C. Coughlin, Daniel Soques
,
，
{"title":"Housing Price Cycle Interdependencies and Comovement: A Markov-Switching Approach","authors":"Jeffrey Cohen, Cletus C. Coughlin, Daniel Soques","doi":"10.1080/08965803.2023.2247293","DOIUrl":"https://doi.org/10.1080/08965803.2023.2247293","url":null,"abstract":",","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45958976","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-07-10DOI: 10.1080/08965803.2023.2214467
Jackson T. Anderson, F. Fuerst, R. Peiser, Michael J. Seiler
{"title":"iBuyer’s Use of PropTech to Make Large-Scale Cash Offers","authors":"Jackson T. Anderson, F. Fuerst, R. Peiser, Michael J. Seiler","doi":"10.1080/08965803.2023.2214467","DOIUrl":"https://doi.org/10.1080/08965803.2023.2214467","url":null,"abstract":"","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45791642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-06-30DOI: 10.1080/08965803.2023.2211812
Nandkumar Nayar, S. McKay Price, Ke Shen
Recent research has shown that macroeconomic uncertainty is a significant factor that is contemporaneously incorporated into asset returns. Therefore, it should not have a role in predicting future returns. At the same time, separate research has demonstrated that illiquidity is related to future returns. We examine the interplay between these two dynamics in a commercial real estate setting, where (il)liquidity is a defining characteristic of the asset class. Empirical tests confirm the absence of return predictability for liquid assets (publicly traded property portfolios). However, we find significant return predictability predicated on ex ante macroeconomic uncertainty when we examine assets that are not as liquid (directly held property portfolios). Our findings are robust to several refinements, including adjustments for delays in the transaction closing process to establish transaction prices in the directly held market, controls for leverage inherent in publicly traded real estate asset returns, and pro-cyclical liquidity variation in private real estate markets.
{"title":"Macroeconomic Uncertainty and Predictability of Real Estate Returns: The Impact of Asset Liquidity","authors":"Nandkumar Nayar, S. McKay Price, Ke Shen","doi":"10.1080/08965803.2023.2211812","DOIUrl":"https://doi.org/10.1080/08965803.2023.2211812","url":null,"abstract":"Recent research has shown that macroeconomic uncertainty is a significant factor that is contemporaneously incorporated into asset returns. Therefore, it should not have a role in predicting future returns. At the same time, separate research has demonstrated that illiquidity is related to future returns. We examine the interplay between these two dynamics in a commercial real estate setting, where (il)liquidity is a defining characteristic of the asset class. Empirical tests confirm the absence of return predictability for liquid assets (publicly traded property portfolios). However, we find significant return predictability predicated on ex ante macroeconomic uncertainty when we examine assets that are not as liquid (directly held property portfolios). Our findings are robust to several refinements, including adjustments for delays in the transaction closing process to establish transaction prices in the directly held market, controls for leverage inherent in publicly traded real estate asset returns, and pro-cyclical liquidity variation in private real estate markets.","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136016766","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-06-30DOI: 10.1080/08965803.2023.2208896
Shuling Chiang, M. Tsai
{"title":"Valuation of Mortgages by Using Lévy Models","authors":"Shuling Chiang, M. Tsai","doi":"10.1080/08965803.2023.2208896","DOIUrl":"https://doi.org/10.1080/08965803.2023.2208896","url":null,"abstract":"","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46292817","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-06-30DOI: 10.1080/08965803.2023.2209478
Zifeng Feng
{"title":"Household Income Growth and Firm Valuation: Evidence from REITs","authors":"Zifeng Feng","doi":"10.1080/08965803.2023.2209478","DOIUrl":"https://doi.org/10.1080/08965803.2023.2209478","url":null,"abstract":"","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43520113","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-06-27DOI: 10.1080/08965803.2023.2214469
Velma Zahirovic-Herbert, K. Gibler
{"title":"Residential Marketing Duration: Film Studios as Neighborhood Sales Accelerators","authors":"Velma Zahirovic-Herbert, K. Gibler","doi":"10.1080/08965803.2023.2214469","DOIUrl":"https://doi.org/10.1080/08965803.2023.2214469","url":null,"abstract":"","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45363197","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-06-07DOI: 10.1080/08965803.2023.2206285
Constant Tra
The COVID-19 pandemic transformed the everyday life of U.S. families during 2020. This paper examines how the dramatic changes to schooling during the COVID-19 pandemic impacted the capitalization of established good schools into home prices in the Las Vegas urban area. Our findings show evidence that the pandemic changes negatively impacted the capitalization of school compared to the pre-pandemic period. We provide hypotheses tests for the potential mechanisms behind this effect. We find that the estimated pandemic effect was driven by the combination of a strong housing demand and a more elastic housing supply during the pandemic period. We estimate a flexible hedonic specification which accounts for unobserved neighborhood quality using a combination of spatial and temporal neighborhood fixed effects. Our estimates account for the spatial distribution in COVID-19 cases, school peer effects, alternative school choices and changes in the housing demand and supply over the pandemic period. Overall, the results tend to suggest that the changes took place during the COVID-19 pandemic adversely affected homebuyers’ preferences for neighborhood public schools.
{"title":"The Value of School Quality during a Pandemic","authors":"Constant Tra","doi":"10.1080/08965803.2023.2206285","DOIUrl":"https://doi.org/10.1080/08965803.2023.2206285","url":null,"abstract":"The COVID-19 pandemic transformed the everyday life of U.S. families during 2020. This paper examines how the dramatic changes to schooling during the COVID-19 pandemic impacted the capitalization of established good schools into home prices in the Las Vegas urban area. Our findings show evidence that the pandemic changes negatively impacted the capitalization of school compared to the pre-pandemic period. We provide hypotheses tests for the potential mechanisms behind this effect. We find that the estimated pandemic effect was driven by the combination of a strong housing demand and a more elastic housing supply during the pandemic period. We estimate a flexible hedonic specification which accounts for unobserved neighborhood quality using a combination of spatial and temporal neighborhood fixed effects. Our estimates account for the spatial distribution in COVID-19 cases, school peer effects, alternative school choices and changes in the housing demand and supply over the pandemic period. Overall, the results tend to suggest that the changes took place during the COVID-19 pandemic adversely affected homebuyers’ preferences for neighborhood public schools.","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135404733","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-05-26DOI: 10.1080/08965803.2023.2206284
J. Braun
{"title":"Taming Housing and Financial Market Instability: The Effect of Heterogeneous Banking Regulations","authors":"J. Braun","doi":"10.1080/08965803.2023.2206284","DOIUrl":"https://doi.org/10.1080/08965803.2023.2206284","url":null,"abstract":"","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"60006770","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-05-18DOI: 10.1080/08965803.2023.2196181
Jan Muckenhaupt, Martin Hoesli, Bing Zhu
This paper extends the empirical evidence on the relationship between the performance of public real estate companies (PRECs) and the industrial sector of their tenants. By investigating the performance of a large sample of European real estate firms from 2010 to 2019 and information pertaining to the firms’ tenants, we find that the systematic risk in the tenants’ industry sectors is capitalized in real estate company equity returns. Our results remain robust after correcting for stock beta modifications, tenant sector alpha, tenant anchor effects, and other tenant characteristics. We consider a hypothetical trading strategy that assumes a long position on PRECs whose occupier base is dominated by tenants belonging to riskier sectors, while the trading strategy shortens PRECs whose tenants belong to less risky sectors. The adoption of this strategy yields benchmark-adjusted annual returns of 3.68%.
{"title":"Tenant Industry Sector and European Listed Real Estate Performance","authors":"Jan Muckenhaupt, Martin Hoesli, Bing Zhu","doi":"10.1080/08965803.2023.2196181","DOIUrl":"https://doi.org/10.1080/08965803.2023.2196181","url":null,"abstract":"This paper extends the empirical evidence on the relationship between the performance of public real estate companies (PRECs) and the industrial sector of their tenants. By investigating the performance of a large sample of European real estate firms from 2010 to 2019 and information pertaining to the firms’ tenants, we find that the systematic risk in the tenants’ industry sectors is capitalized in real estate company equity returns. Our results remain robust after correcting for stock beta modifications, tenant sector alpha, tenant anchor effects, and other tenant characteristics. We consider a hypothetical trading strategy that assumes a long position on PRECs whose occupier base is dominated by tenants belonging to riskier sectors, while the trading strategy shortens PRECs whose tenants belong to less risky sectors. The adoption of this strategy yields benchmark-adjusted annual returns of 3.68%.","PeriodicalId":51567,"journal":{"name":"Journal of Real Estate Research","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135717302","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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