2004 Fiscal Year Final Research Report Summary
Real Estate Finance: Thery and Its Applications
| Project/Area Number |
14203009
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Keio University |
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Principal Investigator |
MORIDAIRA Souichirou Keio University, Faculty of Policy Management, Professor, 総合政策学部, 教授 (50082871)
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| Co-Investigator(Kenkyū-buntansha) |
KOMAI Masaaki Keio University, Faculty of Policy Management, Professor, 総合政策学部, 教授 (10234866)
KOGURE Atsuyuki Keio University, Faculty of Policy Management, Professor, 総合政策学部, 教授 (80178251)
HIBIKI Norio Keio University, Faculty of Science and Technology, Associate Professor, 理工学部, 助教授 (30245609)
KAWAGUCHI Yuichiro Waseda University, Graduate School of Finance, Accounting and Law, Professor, 大学院・ファイナンス研究科, 教授 (30245162)
MAEKAWA Shunichi Meikai University, Faculty of Real Estate Science, Professor, 不動産学部, 教授 (70245158)
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| Project Period (FY) |
2002 – 2004
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| Keywords | Derivatives / Hedonic Model / Vacancy Risk / Real Estate Price Indices / Real Option / Dynamic DCF / Incomplete Markets / Securitization |
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| Research Abstract |
The main issue of contemporary finance theory is to investigate relationship between the risk and return, in another words, how the asset price is determined in the financial markets so as to reflect the risk and return. In studies of the real estate finance, the same argument must be hold.
For this purpose, first we try to identify several key real estate risks such as vacancy, property and land price changes, and credit risk of real estate in micro and macro levels. It is stressed that different statistical and econometric methods, which are not usually used in traditional asset pricing research such that bonds, stocks, and foreign currencies, are employed to measure these risks.
Secondly, several new types of derivatives whose underling is real estate assets are proposed and in the same time pricing model of such derivatives are derived. REITS (Real Estate Investment trust), Reverse Mortgage, options and forward contracts for the real estate indexes, vacancy options (sublease contracts), and many types of "Real Options" are those types of newly developed real estate produces considered in this research. It can be shown that these real estate derivatives are useful to hedge and control risk based on our pricing models proposed in this research.
We put emphasis that our research should reflect not only theoretical aspect of the finance theory, but also current Japanese real estate problems Put anther way, we try to develop pricing models theoretically sound and to keep in mind that the models developed are easy to use and understand by practitioners.
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[Book] 不動産経済学2003
Author(s)
前川俊一
Total Pages
361
Publisher
プログレス
Description
「研究成果報告書概要(和文)」より
