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Uses of Equilibrium Models in Real Estate Research

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  • Patric H. Hendershott

Abstract

Equilibrium analysis is a valuable tool in real estate investment research. In this survey, I show how equilibrium models have been used to estimate the required risk premium for different classes of real estate, to explain housing prices and rents, and to determine investment rental market adjustment and valuation (as well as to predict future rent, price and value developments). Equilibrium analysis, combined with option theory, has also increased our understanding of differences in coupon/rental rates on loans/leases with different contract provisions (or our understanding of differences in values of contracts with different provisions but the same coupon/rental rates). Because the work on leases has lagged that on loans or mortgages, application of the mortgage research methodology to leases is an especially fertile area for research

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Paper provided by Ohio State University in its series Research in Financial Economics with number 9612.

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Handle: RePEc:wop:ohsrfe:9612

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  1. Patric H. Hendershott & David C. Ling, 1985. "Prospective Changes in Tax Law and the Value of Depreciable Real Estate," NBER Working Papers 1352, National Bureau of Economic Research, Inc.
  2. Patric H. Hendershott & James D. Shilling & Kevin E. Villani, 1983. "Measurement of the Spreads Between Yields on Various Mortgage Contracts and Treasury Securities," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 11(4), pages 476-490.
  3. Jesse M. Abraham & Patric H. Hendershott, 1994. "Bubbles in Metropolitan Housing Markets," NBER Working Papers 4774, National Bureau of Economic Research, Inc.
  4. McConnell, John J. & Schallheim, James S., 1983. "Valuation of asset leasing contracts," Journal of Financial Economics, Elsevier, Elsevier, vol. 12(2), pages 237-261, August.
  5. K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452.
  6. Crocker H. Liu & Terry V. Grissom & David J. Hartzell, 1990. "The Impact of Market Imperfections on Real Estate Returns and Optimal Investor Portfolios," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 18(4), pages 453-478.
  7. Brennan, Michael J. & Schwartz, Eduardo S., 1977. "Savings bonds, retractable bonds and callable bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(1), pages 67-88, August.
  8. Dennis R. Capozza & Paul J. Seguin, 1995. "Expectations, Efficiency, and Euphoria in the Housing Market," NBER Working Papers 5179, National Bureau of Economic Research, Inc.
  9. Capozza, Dennis R. & Helsley, Robert W., 1990. "The stochastic city," Journal of Urban Economics, Elsevier, vol. 28(2), pages 187-203, September.
  10. Patric H. Hendershott & Robert Van Order, 1987. "Pricing Mortgages: An Interpretation of the Models and Results," NBER Working Papers 2290, National Bureau of Economic Research, Inc.
  11. Dunn, Kenneth B & McConnell, John J, 1981. "Valuation of GNMA Mortgage-Backed Securities," Journal of Finance, American Finance Association, American Finance Association, vol. 36(3), pages 599-616, June.
  12. David C. Ling, 1992. "Real Estate Values, Federal Income Taxation, and the Importance of Local Market Conditions," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 20(1), pages 125-139.
  13. Meltzer, Allan H, 1974. "Credit Availability and Economic Decisions: Some Evidence from the Mortgage and Housing Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 29(3), pages 763-77, June.
  14. David Geltner, 1989. "Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal-Based Returns," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 17(4), pages 463-481.
  15. Capozza, Dennis R & Sick, Gordon A, 1991. "Valuing Long-Term Leases: The Option to Redevelop," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 4(2), pages 209-23, June.
  16. Rosen, Kenneth T & Smith, Lawrence B, 1983. "The Price-Adjustment Process for Rental Housing and the Natural Vacancy Rate," American Economic Review, American Economic Association, American Economic Association, vol. 73(4), pages 779-86, September.
  17. John D. Benjamin & Glenn W. Boyle & C. F. Sirmans, 1990. "Retail Leasing: The Determinants of Shopping Center Rents," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 18(3), pages 302-312.
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Cited by:
  1. Zeno Adams & Roland Füss, 2012. "Disentangling the Short and Long-Run Effects of Occupied Stock in the Rental Adjustment Process," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 44(4), pages 570-590, May.

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