Inside Ownership, Risk Sharing and Tobin's q -Ratios: Evidence from REITs

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/73828/1/1540-6229.00070.pd

Appraisal, Agency and Atypicality: Evidence from Manufactured Homes

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/73056/1/j.1540-6229.2005.00128.x.pd

Optimal Stopping and Losses on Subprime Mortgages

Lender losses on mortgage loans arise from a two-stage process. In the first stage, the borrower stops making payments if and when default is optimal. The second stage is a lengthy and costly period during which the lender employs legal remedies to obtain possession and execute a sale of the collateral. This research uses data on subprime mortgage losses to explore the role of borrower and collateral characteristics, and local legal requirements, as well as traditional option variables in the decisions of borrowers and lenders. Although subprime borrowers default earlier, which should reduce lender losses, these borrowers, nevertheless, impose greater realized losses on mortgage lenders.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/47774/1/11146_2004_Article_4875.pd

An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/73407/1/j.1080-8620.2004.00082.x.pd

Feasibility studies for the measurement of time-like proton electromagnetic form factors from p¯ p→ μ+μ- at P ¯ ANDA at FAIR

This paper reports on Monte Carlo simulation results for future measurements of the moduli of time-like proton electromagnetic form factors, | GE| and | GM| , using the p¯ p→ μ+μ- reaction at P ¯ ANDA (FAIR). The electromagnetic form factors are fundamental quantities parameterizing the electric and magnetic structure of hadrons. This work estimates the statistical and total accuracy with which the form factors can be measured at P ¯ ANDA , using an analysis of simulated data within the PandaRoot software framework. The most crucial background channel is p¯ p→ π+π-, due to the very similar behavior of muons and pions in the detector. The suppression factors are evaluated for this and all other relevant background channels at different values of antiproton beam momentum. The signal/background separation is based on a multivariate analysis, using the Boosted Decision Trees method. An expected background subtraction is included in this study, based on realistic angular distributions of the background contribution. Systematic uncertainties are considered and the relative total uncertainties of the form factor measurements are presented

Predictability in Equilibrium: The Price Dynamics of Real Estate Investment Trusts

This research hypothesizes that, in markets where information costs, transaction costs and the economic impact of information can vary widely, we should expect predictability to vary systematically. We test this hypothesis with data on equity real estate investment trusts (REITs) from 1985 to 1992. We document that levels of predictability vary with firm characteristics like leverage, size and focus. Momentum is stronger for larger, more levered REITs. Reversion is faster for focused, levered REITs. The results are consistent with the hypothesis that, in equilibrium, securities, where information is either less costly to acquire or has less impact on fundamental value, should exhibit less predictability. Copyright 2007 American Real Estate and Urban Economics Association

Mixed Uses and the Redevelopment Option

This paper considers how the potential for mixing uses and redevelopment impact property value. Operating flexibility of this type is found to significantly increase property value when the correlation between payouts from different property types is low or when redevelopment costs are low. The ability to mix uses and redevelop over time is also shown to affect the timing of initial land development. The shape of the development boundary is shown to differ considerably depending on whether marginal revenue is constant or decreasing to scale. Both policy and empirical implications concerning the effects of multiple-use zoning are discussed. Copyright American Real Estate and Urban Economics Association.

Urban Land Development and its Prices: The Effects of Conversion Costs with Redevelopment

This paper analyzes urban land development when landowners anticipate a future large-scale redevelopment by a third party developer. Landowners' initial development activities can deter such redevelopment because they impose two conversion costs on the redeveloper: demolition costs and landowners' reservation prices. These costs are eventually borne by the landowners when the developers' market is competitive. For the landowners' initial development activities, we analyze both the efficient solution and the noncooperative solution under the Nash equilibrium. In both cases, the possibility of redevelopment results in a lower level of initial development due to the conversion costs, but increases land prices. However, the magnitude of their effects is smaller in the Nash solution due to an externality. The presence of such an externality provides a rationale for zoning and urban planning. Copyright American Real Estate and Urban Economics Association.

Forecasting the Discounts of Market Prices from Appraised Values for Real Estate Limited Partnerships

A vexing problem for the appraisal industry has been estimating an appropriate discount for the value of real estate limited partnerships (RELPs) relative to their appraised value. This research develops a linear regression model that explains over 80% of the cross-sectional variation in discounts across 60 RELPs using characteristics of each partnership. Among a holdout sample of 41 RELPs, the model provides forecasts of discounts that are superior to assuming no discount or applying a mean discount to all partnerships. Discounts are greatest for RELPs with low current yields, low leverage and high trading ranges for their market prices. Copyright American Real Estate and Urban Economics Association.