Real Estate Finance: Thery and Its Applications
房地产金融:理论及其应用
基本信息
- 批准号:14203009
- 负责人:
- 金额:$ 23.3万
- 依托单位:
- 依托单位国家:日本
- 项目类别:Grant-in-Aid for Scientific Research (A)
- 财政年份:2002
- 资助国家:日本
- 起止时间:2002 至 2004
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
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.
现代金融理论的主要问题是研究风险和收益之间的关系,即金融市场上资产价格是如何确定的,从而反映风险和收益。在研究房地产金融时,也必须坚持同样的观点。为此,我们首先试图从微观和宏观两个层面识别几个关键的房地产风险,如空置、房地产和地价变化以及房地产的信用风险。强调了不同的统计和计量经济学方法来衡量这些风险,这些方法在传统的资产定价研究中并不常用,如债券、股票和外汇。其次,提出了几种以房地产资产为标的的新型衍生品,并推导了此类衍生品的定价模型。房地产投资信托基金(REITs)、反向抵押贷款、房地产指数的期权和远期合约、空置期权(转租合约)以及许多类型的实物期权都是本研究考虑的新兴房地产产品类型。基于本研究提出的定价模型,可以证明这些房地产衍生品对对冲和控制风险是有用的。我们强调,我们的研究不仅要反映金融理论的理论层面,而且要反映当前日本房地产存在的问题,换句话说,我们试图建立理论上合理的定价模型,并记住所开发的模型易于实践者使用和理解。
项目成果
期刊论文数量(73)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
Valuation of Multivariate Actuarial Risk by Comonotonicity : A Survey
通过共调性评估多元精算风险:一项调查
- DOI:
- 发表时间:2004
- 期刊:
- 影响因子:0
- 作者:Kato;Yutaka;Yasukata;Kenji;Shima Yoshinobu;Astuyuki Kogure
- 通讯作者:Astuyuki Kogure
Real Estate Investment : A Case Study of Capital budgeting and Real Option
房地产投资:资本预算和实物期权的案例研究
- DOI:
- 发表时间:2003
- 期刊:
- 影响因子:0
- 作者:Yuichiro Kawaguchi
- 通讯作者:Yuichiro Kawaguchi
The Change in the Prices for Newly-Built Condominiums and Household's Choices
新建公寓价格变化及家庭选择
- DOI:
- 发表时间:2003
- 期刊:
- 影响因子:0
- 作者:三矢裕;Yasushi Yoshida et al.
- 通讯作者:Yasushi Yoshida et al.
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相似海外基金
Real Estate Valuation in Areas with Few Transactions Using a Robust Bayesian Hedonic Model
使用鲁棒贝叶斯特征模型对交易较少地区的房地产进行估值
- 批准号:
260668532 - 财政年份:2014
- 资助金额:
$ 23.3万 - 项目类别:
Research Grants