Time Series Modeling of Real Estate Prices: Theory and Evidence
| Project/Area Number |
24510204
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Chuo University |
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Principal Investigator |
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| Co-Investigator(Renkei-kenkyūsha) |
MAEDA Akira 東京大学, 大学院総合文化研究科, 教授 (30317309)
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000)
Fiscal Year 2014: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2013: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2012: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
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| Keywords | ファイナンス / 不動産 / 不動産ファイナンス / 資産価格評価 / 時系列分析 / 混合効果モデル / Webアプリケーション / 資産価格評価理論 / 不動産と金融資産 / 動学的確率的一般均衡 / 金融工学 / 理論と実証 / リスクとリターン / インデックスと指数 |
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| Outline of Final Research Achievements |
As real estate and financial asset markets are now merging, we need a theoretical foundation for analysis of real estate investments in conjunction with both domestic and international financial investments. This study presents a methodology for evaluating real estate values. Specifically, we extend a classical hedonic model to a sophisticated one that allows us to generate “implied” capital returns on real estate and to estimate risks and returns on real estate investments. The results of our theory and statistical analysis here highlight the role of real estate investments in contrast to that of financial securities.
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Report
(4 results)
Research Products
(22 results)
