2002 Fiscal Year Final Research Report Summary
A Study on Real Estate Pricing Mechanism by Financial Engineering Approach
| Project/Area Number |
13630012
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
経済理論
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| Research Institution | OKAYAMA UNIVERSITY |
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Principal Investigator |
NAKAMURA Ryohei Okayama University Economics Professor, 経済学部, 教授 (20172463)
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| Co-Investigator(Kenkyū-buntansha) |
TAKATSUKA Hajime Kagawa University Economics Associate Professor, 経済学部, 助教授 (50304572)
KAWAGUCHI Yuichiro Meikai University Real Estate Science Professor, 不動産学部, 教授 (30245162)
SEKO Miki Keio University Economics Professor, 経済学部, 教授 (60120490)
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| Project Period (FY) |
2001 – 2002
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| Keywords | Exprectation Formation / Bubbke Period / Housing Demand / Mixed Logit Model / Real Eatate Dvelopment / Real Option / Optimal Development Timinf / Brownian Motion |
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| Research Abstract |
Firsrt, pricing mechanism is formulated by several types of expectation formation assumptions and is estimated using data on Apartment for sale in Capital region. Next, using commercial property data the hedonic equations are estimated. By constructed hedonic indexes an nformation efficiency is tested and time varying risk premium is verified. (Nakamura)
The comparative study on housing demand in Germany and Japan. The primary task undertaken is to separate cross-national differences in the structure of housing demand by differing preferences and differing socioeconomic characteristics, exploiting the available cross-country variation in survey data from both countries. This study features the application of a mixed logit model that allows for a flexible substitution pattern among unobservable characteristics. (Seko)
Using the real option theory, new model of risk analysis and its pricing for real estate development projects has been developed. In this research, the method of treating it
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quantitatively using the compound real option of Staging was created. This technique is applicable to a land development projevts, the rebuilding projects of a building, and a redevelopment projects. Many papers since then have used the Fisher-Geltner-Webb unsmoothing technique to desmooth commercial property returns. We show that there is an inherent bias in Fisher-Geltner-Webb unsmoothing technique and propose a simple extension of their model to correct for this bias. We then compare the performance of our improved specification to that of the Fisher-Gelter-Webb model. (Kawaguchi)
A type of optimal investment problem can be regarded as an optimal stopping problem in the field of applied stochastic analysis. This study derives the existence conditions of the optimal stopping time when the stochastic process is a geometric Brownian motion or an arithmetic Brownian motion. The conditions concern the intrinsic value function and are natural extensions of the certainty case. Additionally, they are essential for a well-known result in recent investment theory. They are also applied to an optimal land development problem. The analyses give existing studies rigorous foundations and generalize them. (Takatsuka) Less
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