A Theory of Predictable Excess Returns in Real Estate
AbstractA principal-agent model is employed to characterize the equilibrium mortgage contract. The value of a house depends on the actions of its owner but affects the wealth of both the owner and the lender who writes the mortgage contract with which the house is purchased. Because of this, the buyer is exposed to moral hazard. In some situations, this can lead to inefficient maintenance and predictable excess returns to home ownership. Even though there are potential buyers willing to pay back more money, the bank will not write loans for these consumers because of the adverse incentive effects of such an action. Copyright 1992 by Kluwer Academic Publishers
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Bibliographic InfoArticle provided by Springer in its journal Journal of Real Estate Finance & Economics.
Volume (Year): 5 (1992)
Issue (Month): 4 (December)
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Web page: http://www.springerlink.com/link.asp?id=102945
Other versions of this item:
- Spiegel, M. & Strange, W., 1989. "A Theory Of Predictable Excess Returns In Real Estate," Papers fb-_89-09, Columbia - Graduate School of Business.
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- Spiegel, Matthew, 1999. "Housing Return and Construction Cycles," Research Program in Finance, Working Paper Series qt8647j8gq, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Dietz, Robert D. & Haurin, Donald R., 2003. "The social and private micro-level consequences of homeownership," Journal of Urban Economics, Elsevier, vol. 54(3), pages 401-450, November.
- Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
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