This paper presents a theoretical model of residential mortgage default when borrowers face beneficial as well as costly relocation opportunities. It amplifies and extends previous work by providing explicit conditions leading to default. The model also establishes when a borrower's relocation...

Some investors view equity real estate investment trusts (EREITs) as partial substitutes for conventional real estate investments, although the correlation between EREIT and real estate returns is insignificant. However, this study finds that the residuals from regressions of both real estate...

This paper demonstrates that even when unbiased appraisals of market value are used in measuring the investment performance of real estate portfolios, a bias in the rate of return or index is present. Further, in the case where the appraisal errors are serially independent, the bias is always...

This paper uses the mean-variance framework to investigate real estate's role in an institutional portfolio. Unlike previous research, however, the paper does not assume a value for future real estate returns. Instead, it is assumed that real estate is held in the portfolio, and the level of...

This note presents a model of commercial construction activity that incorporates the availability of mortgage funds as well as the mortgage rate. Empirical tests show that mortgage availability is an important determinant of construction. The model is used to indicate that the flood of mortgage...

Despite the growth of theoretical mortgage-pricing research, few empirical tests have been published. The primary objective of this paper is to provide an empirical test of the contingent-claims approach to pricing residential mortgages. This is accomplished by examining the differences between...

Investment real estate has operated outside the mainstream of the global capital markets for many years. Changes now under way around the world will integrate property into the broader world of corporate finance. The demands of investors for higher levels of disclosure will transform the way...

ERES:conference

Previous literature has followed an evolutionary path in the examination of office market volatility. Where initial models were designed to show the close relationship between economic fundamentals and volatility at the national level, more recent models have focused on metro-level volatility....