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Index-Based Futures and Options Markets in Real Estate Author info | Abstract | Publisher info | Download info | Related research | Statistics Karl E. Case (Wellesley College)
Robert J. Shiller () (Cowles Foundation, Yale University )
Allan N. Weiss
Additional information is available for the following
registered author(s):
Most institutional and individual portfolios are very undiversified in real estate: many hold no real estate at all, many have holdings highly concentrated in certain regions or types of real estate. The risk of these concentrated holdings is not hedged. We propose here that cash-settled futures and options markets be opened on real estate to better allow diversification and hedging, and show that these markets solve problems that have hampered other real estate hedging media in the past. Related institutions, such as home equity insurance, might develop around the futures and options markets. The establishment of these markets is likely to increase the quantity of reproducible real estate, and lower rents on real estate. It may also reduce the amplitude of speculative real estate price movements and dampen the business cycle.
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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number
1006.
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Length: 25 pages
Date of creation: Dec 1991Date of revision:
Handle: RePEc:cwl:cwldpp:1006Contact details of provider: Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA Phone: (203) 432-3702 Fax: (203) 432-6167 Web page: http://cowles.econ.yale.edu/ More information through EDIRC
Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Keywords: Real estate ; prices ; portfolio choice ; Other versions of this item:
Find related papers by JEL classification: G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
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Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
François Ortalo-Magné & Matteo Iacoviello, .
"Hedging Housing Risk in London ,"
Wisconsin-Madison CULER working papers
02-03, University of Wisconsin Center for Urban Land Economic Research.
[Downloadable!]
Other versions:
Matteo Iacoviello, 2002.
"Hedging Housing Risk in London ,"
FMG Discussion Papers
dp415, Financial Markets Group.
[Downloadable!] (restricted) Matteo Iacoviello & Francois Ortalo-Magne, 2002.
"Hedging Housing Risk in London ,"
Boston College Working Papers in Economics
539, Boston College Department of Economics.
[Downloadable!] Iacoviello, Matteo & Ortalo-Magne, Francois, 2003.
"Hedging Housing Risk in London ,"
The Journal of Real Estate Finance and Economics ,
Springer, vol. 27(2), pages 191-209, September.
[Downloadable!] (restricted) Raimond Maurer & Martin Pitzer & Steffen Sebastian, 2004.
"Construction of a Transaction-Based Real Estate Index for the Paris Housing Market ,"
Working Paper Series: Finance and Accounting
68, Department of Finance, Goethe University Frankfurt am Main.
[Downloadable!]
Other versions: Buckley, Robert & Karaguishiyeva, Gulmira & Van Order, Robert & Vecvagare, Laura, 2003.
"Comparing mortgage credit risk policies : an options-based approach ,"
Policy Research Working Paper Series
3047, The World Bank.
[Downloadable!]
Peter Englund & Min Hwang & John Quigley, 2006.
"Hedging Housing Risk ,"
Berkeley Program on Housing and Urban Policy, Working Paper Series
1018, Berkeley Program on Housing and Urban Policy.
[Downloadable!]
Other versions:
Peter ENGLUND & Min HWANG & John M. QUIGLEY, 2000.
"Hedging Housing Risk ,"
FAME Research Paper Series
rp26, International Center for Financial Asset Management and Engineering.
[Downloadable!] Englund, Peter & Hwang, Min & Quigley, John M., 2001.
"Hedging Housing Risk ,"
SIFR Research Report Series
2, Institute for Financial Research.
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"Hedging Housing Risk ,"
The Journal of Real Estate Finance and Economics ,
Springer, vol. 24(1-2), pages 167-200, Jan.-Marc.
[Downloadable!] (restricted) Yoon Sook Kim & Paul S. Mills & Todd Groome & François Haas & John Kiff & Shinobu Nakagawa & Parmeshwar Ramlogan & Oksana Khadarina & Nicolas R. Blancher & William Lee, 2006.
"The Limits of Market-Based Risk Transfer and Implications for Managing Systemic Risks ,"
IMF Working Papers
06/217, International Monetary Fund.
[Downloadable!]
Robert J. Shiller & Allan N. Weiss, 1998.
"Moral Hazard in Home Equity Conversion ,"
NBER Working Papers
6552, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Karl E. Case & Robert J. Shiller & Allan N. Weiss, 1995.
"Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate ,"
NBER Working Papers
5078, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Robert J. Shiller, 1992.
"Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures ,"
Cowles Foundation Discussion Papers
1036, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Robert Buckley & Gulmira Karaguishiyeva & Robert Order & Laura Vecvagare, 2006.
"Mortgage credit risk in EU countries: Constraints on exploiting the single currency market ,"
European Journal of Law and Economics ,
Springer, vol. 21(1), pages 13-27, January.
[Downloadable!] (restricted)
Joshua Aizenman & Brian Pinto, 2004.
"Managing Volatility and Crises: A Practitioner's Guide Overview ,"
NBER Working Papers
10602, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Robert J. Shiller & Allan N. Weiss, 1994.
"Home Equity Insurance ,"
Cowles Foundation Discussion Papers
1074, Cowles Foundation, Yale University.
[Downloadable!]
Other versions:
Robert J. Shiller & Allan N. Weiss, 1994.
"Home Equity Insurance ,"
NBER Working Papers
4830, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Shiller, Robert J & Weiss, Allan N, 1999.
"Home Equity Insurance ,"
The Journal of Real Estate Finance and Economics ,
Springer, vol. 19(1), pages 21-47, July.
[Downloadable!] (restricted) John Quigley, 2006.
"Real Estate Portfolio Allocation: The European Consumers' Perspective ,"
Berkeley Program on Housing and Urban Policy, Working Paper Series
1075, Berkeley Program on Housing and Urban Policy.
[Downloadable!]
Other versions: Robert J. Shiller, 1993.
"Aggregate Income Risks and Hedging Mechanisms ,"
Cowles Foundation Discussion Papers
1048, Cowles Foundation, Yale University.
[Downloadable!]
Other versions:
Robert J. Shiller, 1993.
"Aggregate Income Risks and Hedging Mechanisms ,"
NBER Working Papers
4396, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Shiller, Robert J., 1995.
"Aggregate income risks and hedging mechanisms ,"
The Quarterly Review of Economics and Finance ,
Elsevier, vol. 35(2), pages 119-152.
[Downloadable!] (restricted) Rady, Sven & Ortalo-Magné, François, 2002.
"Homeownership ,"
Discussion Papers in Economics
28, University of Munich, Department of Economics.
[Downloadable!]
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