Generalize Asset Pricing Models to Understand the Japanese and U.S. Real Estate Markets

2021 Fiscal Year Final Research Report

• Project/Area Number: 16H03127
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: Chuo University
• Principal Investigator: Ishijima Hiroshi 中央大学, 法務研究科, 教授 (20317308)
• Project Period (FY): 2016-04-01 – 2021-03-31
• Keywords: ファイナンス / 不動産 / 価格評価 / アセット・プライシング / 日米比較

Outline of Final Research Achievements

Real estate is one of the largest assets in Japan and is a driver of both the overall economy and individual wealth. Real estate markets have merged with financial markets as exemplified by the 2008 financial crisis. It is important to understand pricing in real estate markets in connection with financial markets. In this regard, we developed rational pricing models called “Hedonic DCF Pricing Models.” These models allowed us to understand two sources of real estate prices in the aspects of both cross-sectional and time-series dynamics. More specifically, by conducting empirical analyses, we showed that real estate prices have both hedonic and cashflow values: 1) the former is the monetary value of the benefits which real estate provides by consuming a bundle of attributes such as square footage, age, walking distance from the nearest station, and so on. 2) the latter is the asset value which is closely connected with macroeconomic factors such as stock prices and loans.

Free Research Field

ファイナンス

Academic Significance and Societal Importance of the Research Achievements

不動産は生活や経済活動の基盤であるとともに、世界経済において最大・最重要な資産であり、不動産市場は金融市場と密接に連動している。したがって、広さ・築年数・駅徒歩といった不動産がもたらす便益に関するヘドニック価値と、株価や金利などのマクロ経済要因に影響を受ける投資資産としてのキャッシュフロー価値という二面性がある。本研究は、不動産価値の二面性について理論と実証の両側面から詳細な分析を行い、不動産価格メカニズムの解明に貢献した。