使用收入和租金比率信号的房地产投资者决策

IF 1.6 Q3 BUSINESS, FINANCE Journal of Property Investment & Finance Pub Date : 2021-02-19 DOI:10.1108/JPIF-03-2020-0031
B. Brotman
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引用次数: 0

摘要

本文以个案研究的形式,考察收入比和租金比是否跟踪住宅价格峰值的形成及其崩溃。这些比率衡量的是与房价稳定相关的风险。它们可能表明房地产投资者是否应该考虑购买房地产、继续持有房地产还是考虑出售房地产。达拉斯联邦储备银行(Dallas Fed)计算并公布经济合作与发展组织成员国的收入比率,以衡量“非理性繁荣”,这是衡量特定国家住房市场的房价风险的一种指标。美国是该组织的成员之一。收入比率的概念正被重新定义为房地产投资者的买入/卖出信号。设计/方法/方法达拉斯联邦储备银行计算的收入比率和本案例研究的比率都加盖了日期戳,并绘制了图表,以确定是否可以从视觉上检测到2006-2008年的房地产“泡沫和破裂”。使用自变量收入比、租金比和密歇根大学消费者信心指数,对1990年至2019年的数据进行了普通最小二乘回归,将数据转换为对数,并对结构数据进行了回归。描述性统计数据显示,在遭受意外的外源性金融冲击之前,这些比率逐渐上升,而这种冲击经历了几个月的增长和崩溃。有间断的回归分析表明,收入比可以用2个月的先行值来预测房价的变化。房地产投资者在预先设定的限制下逐步提高比率,可能会在达到比率的特定比率时触发卖出决定,即使房价仍在上涨。自变量均显著,但租金率只有采用带时间间隔回归模型才有正确的符号。使用达拉斯联邦储备银行的收入比率和本研究的收入比率计算的房价飙升表明,房地产的繁荣和崩溃发生得很快。当使用比率分析时,繁荣似乎不是房价持续上涨然后突然下跌。随着时间的推移,收入比显著,但租金比和消费者信心指数在多次休息时不显著。研究局限/启示投资者在购买物业时,应考虑邻近住宅的相对价格,以及当地市场的收入和租金比率趋势。较高的相对收入比率可能表明,当意外的不利事件发生时,房地产市场可能进入危机状态。相对房价收入比表明房价稳定风险正在上升。我们使用的是全国的汇总数据,而房地产价格也受到当地条件的显著影响。实际意义比率趋势可能使房地产投资者和房主能够在价格崩溃之前决定何时出售房地产投资并保留财富,否则将导致权益损失。较高的繁荣比率应导致贴现率的增加,从而导致较低的估值,通过公式计算净营业收入股息除以贴现率。它还可以发出何时开始对房地产进行再投资的信号,因为房地产价格正在上涨,与收入相比比率相对较低。社会含义图形描述性描述似乎表明,由于峰值形成和崩溃的速度,政府在峰值形成时对房地产市场进行干预可能是不可能的。预期收入下降将导致收入比率发生变化,并发出房价将开始下降的信号。自2008年以来,美国住房市场的收入和租金比率都在持续上升。独创性/价值在分析中加入了消费者情绪变量。先前的研究人员建议在模型中加入消费者情绪解释变量。为这个变量生成的结果是违反直觉的。联邦住房金融局(FHFA)的价格指数结果与使用标准普尔/凯斯-席勒房价指数时不同,在不同的年份显示了变化。许多先前的研究使用了联邦住房金融局的价格指数。他们强调了与不断变化的繁荣比率水平相关的监管问题。本案例研究将这些想法应用于衡量风险的相对增加,这将影响用于估计住宅物业内在价值的贴现率。
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Property investor decisions using income and rental ratio signals
PurposeThis paper, a case study, aims to consider whether the income ratio and rental ratio tracks the formation of residential housing price spikes and their collapse. The ratios are measuring the risk associated with house price stability. They may signal whether a real estate investor should consider purchasing real property, continue holding it or consider selling it. The Federal Reserve Bank of Dallas (Dallas Fed) calculates and publishes income ratios for Organization for Economic Cooperation and Development countries to measure “irrational exuberance,” which is a measure of housing price risk for a given country's housing market. The USA is a member of the organization. The income ratio idea is being repurposed to act as a buy/sell signal for real estate investors.Design/methodology/approachThe income ratio calculated by the Dallas Fed and this case study's ratio were date-stamped and graphed to determine whether the 2006–2008 housing “bubble and burst” could be visually detected. An ordinary least squares regression with the data transformed into logs and a regression with structural data breaks for the years 1990 through 2019 were modeled using the independent variables income ratio, rent ratio and the University of Michigan Consumer Sentiment Index. The descriptive statistics show a gradual increase in the ratios prior to exposure to an unexpected, exogenous financial shock, which took several months to grow and collapse. The regression analysis with breaks indicates that the income ratio can predict changes in housing prices using a lead of 2 months.FindingsThe gradual increases in the ratios with predetermine limits set by the real estate investor may trigger a sell decision when a specified rate is reached for the ratios even when housing prices are still rising. The independent variables were significant, but the rent ratio had the correct sign only with the regression with time breaks model was used. The housing spike using the Dallas Fed's income ratio and this study's income ratio indicated that the housing boom and collapse occurred rapidly. The boom does not appear to be a continuous housing price increase followed by a sudden price drop when ratio analysis is used. The income ratio is significant through time, but the rental ratio and Consumer Sentiment Index are insignificant for multiple-time breaks.Research limitations/implicationsInvestors should consider the relative prices of residential housing in a neighborhood when purchasing a property coupled with income and rental ratio trends that are taking place in the local market. High relative income ratios may signal that when an unexpected adverse event occurs the housing market may enter a state of crisis. The relative housing prices to income ratio indicates there is rising housing price stability risk. Aggregate data for the country are used, whereas real estate prices are also significantly impacted by local conditions.Practical implicationsRatio trends might enable real estate investors and homeowners to determine when to sell real estate investments prior to a price collapse and preserve wealth, which would otherwise result in the loss of equity. Higher exuberance ratios should result in an increase in the discount rate, which results in lower valuations as measured by the formula net operating income dividend by the discount rate. It can also signal when to start reinvesting in real estate, because real estate prices are rising, and the ratios are relative low compared to income.Social implicationsThe graphical descriptive depictions seem to suggest that government intervention into the housing market while a spike is forming may not be possible due to the speed with which a spike forms and collapses. Expected income declines would cause the income ratios to change and signal that housing prices will start declining. Both the income and rental ratios in the US housing market have continued to increase since 2008.Originality/valueA consumer sentiment variable was added to the analysis. Prior researchers have suggested adding a consumer sentiment explanatory variable to the model. The results generated for this variable were counterintuitive. The Federal Housing Finance Agency (FHFA) price index results signaled a change during a different year than when the S&P/Case–Shiller Home Price Index is used. Many prior studies used the FHFA price index. They emphasized regulatory issues associated with changing exuberance ratio levels. This case study applies these ideas to measure relative increases in risk, which should impact the discount rate used to estimate the intrinsic value of a residential property.
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