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The Value of Risk in Real Estate Markets

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  • Capozza, Dennis R
  • Schwann, Gregory M

Abstract

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Suggested Citation

  • Capozza, Dennis R & Schwann, Gregory M, 1990. "The Value of Risk in Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 3(2), pages 117-140, June.
  • Handle: RePEc:kap:jrefec:v:3:y:1990:i:2:p:117-40
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    References listed on IDEAS

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    1. Leippold, Markus & Wu, Liuren, 2002. "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(02), pages 271-295, June.
    2. Yongheng Deng & John M. Quigley & Robert Van Order, 2000. "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Econometrica, Econometric Society, pages 275-308.
    3. Collin-Dufresne, P & Harding, John P, 1999. "A Closed Form Formula for Valuing Mortgages," The Journal of Real Estate Finance and Economics, Springer, pages 133-146.
    4. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, pages 1343-1376.
    5. Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2007. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," Annals of Operations Research, Springer, vol. 152(1), pages 141-165, July.
    6. Dong-Hyun Ahn & Robert F. Dittmar, 2002. "Quadratic Term Structure Models: Theory and Evidence," Review of Financial Studies, Society for Financial Studies, pages 243-288.
    7. Peng Cheng & Olivier Scaillet, 2002. "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series rp67, International Center for Financial Asset Management and Engineering.
    8. Longstaff, Francis A., 2002. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management qt19k7479t, Anderson Graduate School of Management, UCLA.
    9. Andersen, Leif & Andreasen, Jesper, 2001. "Factor dependence of Bermudan swaptions: fact or fiction?," Journal of Financial Economics, Elsevier, vol. 62(1), pages 3-37, October.
    10. Duffie, Darrell & Huang, Ming, 1996. " Swap Rates and Credit Quality," Journal of Finance, American Finance Association, vol. 51(3), pages 921-949, July.
    11. Kau, James B. & Keenan, Donald C. & Muller III, Walter J. & Epperson, James F., 1995. "The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment," The Journal of Real Estate Finance and Economics, Springer, pages 5-36.
    12. Li Chen & Damir Filipović & H. Vincent Poor, 2004. "Quadratic Term Structure Models For Risk-Free And Defaultable Rates," Mathematical Finance, Wiley Blackwell, pages 515-536.
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    Cited by:

    1. Alexander, David Richard & Mo, Mengjia & Stent, Alan Fraser, 2012. "Arithmetic Brownian motion and real options," European Journal of Operational Research, Elsevier, vol. 219(1), pages 114-122.
    2. Leon G. Shilton & Janet K. Tandy, 1993. "The Information Precision of CBD Office Vacancy Rates," Journal of Real Estate Research, American Real Estate Society, vol. 8(3), pages 421-444.
    3. Capozza, Dennis R. & Seguin, Paul J., 1996. "Expectations, efficiency, and euphoria in the housing market," Regional Science and Urban Economics, Elsevier, pages 369-386.
    4. David Dale-Johnson & W. Jan Brzeski, 2000. "Long-term Public Leaseholds in Poland: Implications of Contractual Incentives," Working Paper 8646, USC Lusk Center for Real Estate.
    5. David E. Frame, 2008. "Regional Migration and House Price Appreciation," International Real Estate Review, Asian Real Estate Society, vol. 11(1), pages 96-112.
    6. David Dale-Johnson, 1999. "Long Term Ground Leases, the Redevelopment Option and Contract Incentives," Working Paper 8653, USC Lusk Center for Real Estate.
    7. Levi, Maurice D. & Venezia, Itzhak & Zhang, Yimin, 1996. "The velocity puzzle revisited: The effects of the housing and stock markets," Journal of Economics and Business, Elsevier, pages 23-32.
    8. repec:gam:jijfss:v:6:y:2018:i:1:p:7-:d:125274 is not listed on IDEAS
    9. Joseph Ooi & Jingliang Wang & James Webb, 2009. "Idiosyncratic Risk and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 38(4), pages 420-442, May.

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