Time Series Modeling of Real Estate Prices: Theory and Evidence

2014 Fiscal Year Final Research Report

• Project/Area Number: 24510204
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: Chuo University
• Principal Investigator: ISHIJIMA Hiroshi 中央大学, その他の研究科, 教授 (20317308)
• Co-Investigator(Renkei-kenkyūsha): MAEDA Akira 東京大学, 大学院総合文化研究科, 教授 (30317309)
• Project Period (FY): 2012-04-01 – 2015-03-31
• 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

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.

Free Research Field

ファイナンス理論および金融工学。特に、ポートフォリオ選択、資産価格評価理論、不動産ファイナンス。