|
Real Estate Research – Papers & Publications
RealPedia – The Real Estate & Construction WWW Encyclopedia @ BillDoll.com – The Billion Dollar Site
|
|||
|
Real Estate Research Publications & White Papers
A list of research papers and white papers related to real estate. This is a continuously updated list. From RealPedia – The Real Estate & Construction WWW Encyclopedia
1. Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust - Pub Year: 1994 - Abstract - This paper explores the relationship between the macroeconomy and real estate returns. Equity REIT data are used as a proxy for real estate returns; however, the equity REIT returns are regressed against returns from the Standard and Poor's 500 Stock Index, saving the residuals. These residuals, known as extra-market covariance, are used in the analysis since this technique controls for the covariance between equity REIT returns and the overall stock market. Thus, the residuals represent pure industry effects. The residuals are then employed in an unrestricted vector autoregressive model with the macroeconomic variables to test for relationships. The results show that prices, nominal rates, output, and investment all directly influence the real estate series. Nominal interest rates, moreover, explain the majority of the variation in the real estate series. Full details
2. The persistence of real estate cycles - Journal The Journal of Real Estate Finance and Economics - Publisher Springer Netherlands – Abstract This paper presents a model that attempts to explain the underlying causes of the prolonged cycles observed in real estate markets. In addition, the paper characterizes the features that make some property types more prone to such boom-and-bust behavior. The combination of demand uncertainty, adjustment costs, and construction lags leads to two phenomena that may help explain market persistence. The first phenomenon is the reluctance of owners to adjust occupancy levels, even in the face of large shifts in renter demand. The second phenomenon is the occurrence of periods of sustained overbuilding: the addition of new supply in the face of already high vacancy rates. Key words Options - real estate - cycles. SpingerLink – Full details
3. Real Estate Economics - September 1999 - The Integration of Commercial Real Estate Markets and Stock Markets Abstract - This paper tests whether commercial real estate markets (both exchange-traded and non-exchange-traded) are integrated with stock markets using multifactor asset pricing models. The results support the hypothesis that the market for exchange-traded real estate companies, including REITs, is integrated with the market for exchange-traded (non-real-estate) stocks. Moreover, the degree of integration has significantly increased during the 1990s. However, when appraisal-based returns (adjusted for smoothing) are used to construct real estate portfolio returns, the results fail to support the integration hypothesis, although this may reflect the inability of these estimated private market returns to accurately proxy for commercial real estate returns. Interestingly, the growth rate in real per capita consumption is consistently priced in both commercial real estate markets and stock markets, whereas previous studies have found mixed evidence on the role of consumption in explaining ex ante stock returns - Full details
4. Equity Real Estate Investment Trusts and Real Estate Returns - Abstract - 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 series on financial asset returns are significantly correlated. This supports the notion that there is a common factor (or factors) associated with real estate that affects both sets of returns. In addition, lagged values of the EREIT residuals help explain variations in the conventional unsecuritized real estate return residuals. Download the full research report from this link @ RePEc - Full details
5. Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison - Abstract - Most previous studies of REIT-securitized real estate examine the performance of REITs versus only common stocks. In addition, previous studies have focused on the mean and standard deviation of returns, while this study also examines skewness, kurtosis, and conducts several tests of normality for the returns. The time series properties of the returns are also examined by calculating the autocorrelation function for each of the series. Finally, this study extends the results of Giliberto concerning the intertemporal relationship between REIT returns and real estate returns by examining a vector autoregressive model in which returns on pairs of assets are modeled as a linear function of lags of their own returns and lags of the returns on the other asset in the pair. Granger causality tests are also performed to determine if an asset's returns Granger cause the returns on the other asset. In the distributional and time series sense, equity REIT returns appear to be much more like those on common stocks and closed-end funds than those on unsecuritized real estate. Intertemporally, REIT returns are much more strongly related to unsecuritized real estate than stocks or closed-end funds. The equity REIT index returns were found to Granger cause unsecuritized real estate returns for most of the real estate indices. Results were somewhat mixed for the individual REITs - Full details
6. An Exploration of Neural Networks and Its Application to Real Estate Valuation - Abstract - This research applies neural network (NN) technology to real estate appraisal and compares the performance of two NN models in estimating the sales price of residential properties with a traditional multiple regression model. The study is based on 288 sales of homes in Fort Collins, Colorado. Results do not support previous findings that NNs are a superior tool for appraisal analysis. Furthermore, significant problems were encountered with the NN models: inconsistent results between packages, inconsistent results between runs of the same package, and long run times. Any appraiser who plans on using this new technology would do so with caution - Full details
7. Real estate "cycles": some fundamentals - by William C. Wheaton - The overbuilding of office real estate that occurred in the 1980s has been widely documented and written about. Rather than an isolated event, there is growing evidence that the office market was also overbuilt during the late 1960s through mid-1970s (Grebler and Burns 1982, Wheaton 1987, King and McCue 1987). To some, this pattern of periodic over- and underbuilding may appear to be a prime example of an old-fashioned cobweb or com-hog cycle. The argument is further made that real estate is particularly prone to such instabilities or oscillations because of its durability and because of the long lag between capital demand and delivery. Within modern economics, however, such cyclic behavior is most often dismissed as being the product of uninformed agents making systematic errors about future market conditions. With rational expectations, such endogenous market cycles should not occur. Thus modern economists tend to seek the cause for each overbuilding in a unique shock. The overbuilding in the 1980s, for example, is often attributed to the investment incentives provided by the tax reform act of 1980 (Auerbach and Hines 1988, DiPasquale and Wheaton 1992). Against this background, the current paper attempts to provide some common ground with which to evaluate the determinants of real estate cyclicality. Read the full preview of the paper from Questia – Full details
8. Linking Real Estate Decisions to Corporate Strategy - by Hugh O. Nourse; Stephen E. Roulac; Stellan Lundstrom Abstract: An organization's real estate decisions will be effective if such decisions support the enterprise's overall business objectives. This result can be achieved only by the explicit consideration of how real estate strategy supports corporate strategy and the substrategies for component elements of the corporation, and then in turn how specific real estate operating decisions support the real estate strategy. This approach provides a context for negotiating competing interests and increases the likelihood that a specific real estate decision will be consistent with the enterprise's overall real estate strategy and thereby support realization of corporate business objectives. See downloading info & link from here @ Inomics - Full details
9. Refining Economic Diversification Strategies for Real Estate Portfolios - Abstract - Diversification of real estate portfolios has historically been accomplished by utilizing a geographic and/or property-type strategy. More recently, a number of economically based diversification categories have been proposed by industry researchers (see Hartzell, Shulman and Wurtzebach, 1987 and Wurtzebach, 1988). This study tests the efficiency of the existing geographic and geographic/economic strategies currently in the literature against an economically based diversification strategy using straightforward government SIC code categories. The three strategies used include: the NCREIF four geographic regions; the Solomon Brothers eight regions (a combination of economics and geography); and a purely economic grouping of the 316 MSAs in the United States using the nine major government SIC code categories. This study finds that the addition of economic underpinnings to a geographically constrained model, as developed by Hartzell et al. (1987) creates a higher risk/return efficient frontier than the purely geographic NCREIF diversification model. However, shedding geography altogether and diversifying along purely economic lines provides an even better efficient frontier during real estate cycle recovery and growth periods. This new strategy provides the real estate portfolio manager with the opportunity to increase risk-adjusted returns with a strategy that is easily understood and applied. Download info @ RePEc - Full details
10. Are Stocks Overtaking Real Estate in Household Portfolios? - The rapid growth of the stock market since 1990 has encouraged the view that corporate equity holdings are becoming the primary asset for a broad spectrum of American households. A closer look at the evidence, however, reveals that real estate continues to eclipse stocks as a share of most households’ portfolios, says this white paper from Federal Reserve Bank of New York - Full details (PDF)
11. Real Estate Cycles and Their Strategic Implications for Investors and Portfolio Managers in the Global Economy (Pub: 1999) - Abstract - This study synthesizes relevant research and commentary on real estate cycles in a micro-decision-making context and discusses their strategic implications for investors and portfolio managers. It begins with an extensive review of the macro-economic, micro-economic and practitioner literature on cycles, with special emphasis given to the emerging topic of global real estate cycles. The second major section of the study presents the basic theory of cycles, examines the nature and dynamics of real estate cycles, identifies the many different types of interdependent cycles that affect real estate performance and presents strategies for dealing with multiple interrelated cycles. Understanding the complex and dynamic macro-to-micro cycle relationships is believed to be the foundation for understanding real property performance in a specific market, submarket and site-specific location. Successful cycle strategies that achieve above-market returns over the long run are dependent on this understanding, good market timing and a degree of contrarianism. Eight cycle models are presented in the third major section of the study. Each presents an analytical definition of cycles, seeks to measure cyclical impacts on key investment variables in an ex ante framework and provides insight into some aspect of investment timing or other property/ portfolio decisions. The final major topics addressed are the key strategic and decision implications for investors and portfolio managers, and a proposed cycles research agenda for the future. download link @ RePEc - Full details
12. System and method for evaluating real estate - Abstract - Systems and methods of the invention provide objective evaluations of a business entity's real estate situation and condition for use by customers including (but not limited to) the business entity. Information is processed to determine indicators of amount, price, area, grade, and risk; and those indicators are combined to provide a total score. The system includes a database for storing a variety of data, such as utilization measures and business information, and data corresponding to businesses which are similar to the business entity. Process actuators process the information to derive the several indicators, the score, and other measures, which is printed or displayed for customers and/or the business entity. Preferably, a report is generated which details information including the score to provide a well-rounded picture of a particular real estate situation. read more about this patent from Google Patents link here - Full details
13. Financial Institutions Center - Wharton - Real Estate Booms and Banking Busts: An International Perspective - by Richard J. Herring & Susan Wachter (PDF) 1999 – Full details (PDF)
14. Lending Booms, Real Estate Bubbles, and The Asian Crisis - Jan 2002 IMF Working Paper - Abstract - This paper examines the link between lending booms, asset price cycles, and financial crises across East Asian countries. Both theoretical arguments and empirical evidence support a strong relationship between bank lending and asset price inflation, especially in the real estate market. While asset price bubbles were present in most Asian countries during the 1990s, their subsequent bust has affected countries quite differently. Some countries underwent severe exchange and financial crises, while others were able to weather the storm with much less damage. This experience underlines the importance of a strong bank regulatory system. Keywords: Lending Booms, Real Estate Bubbles, Asia Crisis - Link @ Social Science Research Network - Full details
15. International Real Estate Diversification: Empirical Tests using Hedged Indices (Pub: 2000) - Abstract - This study examines the potential diversification opportunities arising from the extension of real estate portfolios into an international environment. Using data for ten countries, the article compares the diversification benefits obtained from both real estate securities and hedged indices. The hedged indices are constructed in line with the methodology proposed by Giliberto (1993) and are examined as a potential alternative proxy for the direct market. The results indicate that while benefits do arise from international diversification, the results tend to be statistically significant only when local returns are used and no constraints are imposed on the optimal portfolios. In addition, there are concerns over the reliability of the mean return and correlation coefficients obtained using the hedged indices. Download link @ RePEc - Full details
16. Assessing Risk for International Real Estate Investments (1996) - Abstract - Overseas real estate investment has increased considerably in recent years. The assessment of risk for these investments, especially for real estate, has thus become very important. This study assesses the performance of real estate, stocks and bonds in the U.S., Canada, the United Kingdom, Australia, and New Zealand over the period 1985-93. The results indicate that the degree of appraisal-smoothing and intertemporal correlation in each of the five international real estate series is significant, resulting in the need to increase the real estate risk estimates by 34% to 47%. To account for currency risk over this nine-year period, currency-adjusted returns and risk were also estimated for investors from each of these five countries. All risk profiles increased significantly for international investors when adjusting for currency risk. However, additional portfolio diversification was achieved using real estate for international investors. Download link @ RePEc - Full details
17. Real estate appraisal using predictive modeling – Patent - Patent summary: Filing date: Oct 19, 1992; Issue date: Nov 1, 1994 - Abstract - An automated real estate appraisal system (100) and method generates estimates of real estate value using a predictive model such as a neural network (908). The predictive model (908) generates these estimates based on learned relationships among variables describing individual property characteristics (905) as well as general neighborhood characteristics at various levels of geographic specificity (906). The system (100) may also output reason codes indicating relative contributions (1009) of various variables to a particular result, and may generate reports (701) describing property valuations, market trend analyses, property conformity information, and recommendations regarding loans based on risk related to a property. Link @ Google Patents section - Full details
18. Diversification Benefits of U.S. Real Estate to Foreign Investors - Abstract: Substantial empirical evidence has been offered that supports the notion that international diversification enhances portfolio performance. Another large body of research suggests that the addition of real estate to pure financial asset portfolios also provides improved mean-variance efficiency. Thus, it is logical to hypothesize that the greatest gains are available from international mixed-asset portfolios that include both foreign financial assets and foreign real estate. This study investigates this hypothesis as an explanation for the large purchases of U.S. real estate by foreign investors. The results indicate that U.S. real estate does not improve foreign portfolio performance. The evidence suggests that volatile exchange rate fluctuations induce a level of risk in these assets that offsets any potential diversification benefits to foreign investors. See download and reference link here @ Inomics - Full details
19. Real Estate Economics - The Incentive Effects of Flat-Fee and Percentage Commissions for Real Estate Brokers - Abstract - This paper analyzes the incentive affects of flat-fee and percentage commission systems from the perspective of the economic theory of agency. Under a plausible set of assumptions the systems provide equivalent incentives. However, the relative desirability of the two systems depends upon the pricing strategy employed and factors specific to the individual. In general, neither system perfectly aligns the interests of the agent with those of the property-owner. A surprising result of the analysis is that the optimal listing price when an agent is employed may be below the first-best price. The first-best price, or residual maximizing solution to the principal-agent problem from the perspective of the property-owner, is the solution that would occur if the agent's interests were perfectly aligned with those of the principal. This study suggests that the use of a percentage versus a flat-fee commission may be due to information costs rather than price discrimination on the part of brokers. Link @ Blackwell Synergy - Full details
20. How Appraisers Do Their Work: A Test of the Appraisal Process and the Development of a Descriptive Model (Pub: 1990) - Abstract - Actual decisionmaking behavior is rarely the focus of real estate valuation research, but this paper argues the need for just such investigations and reports the results of one study. Two hypotheses concerning the relationship between the appraisal process and the actual behavior of expert appraisers are developed. An experimental test of these hypotheses reveals evidence that the behavior of expert appraisers deviates significantly from the prescribed appraisal process. Based upon the experimental observations, a model of actual expert behavior is built and compared to the prescribed model. Some implications of the observed behavioral divergence are discussed - Link @ RePEc - Full details
21. Real Estate Risk and the Business Cycle: Evidence from Security Markets – 1990 - Abstract - This study reports on the ex-post performance of survivor REITs and RECs over a 14.5-year period covering several business cycles. The results show that the systematic risk and risk-adjusted returns of REITs and RECs are quite different, especially during periods of low growth in real GNP. Relative to the overall stock market, survivor REITs, in particular, equity REITs, exhibited less volatility and higher returns than previous studies revealed. This can be explained by the higher returns, lower volatility, and lower systematic risk of REITs in periods of high growth in real GNP which have dominated the 1980s. The results expand our understanding of the true volatility of real estate, highlighting, at the same time, the need for further research to better understand the relationship between the performance of equity REIT securities and the underlying real estate assets in their portfolios. Download link @ RePEc - Full details
22. The predictability of real estate returns and market timing - Journal The Journal of Real Estate Finance and Economics - Abstract - Recent evidence suggests that all asset returns are predictable to some extent with excess returns on real estate relatively easier to forecast. This raises the issue of whether we can successfully exploit this level of predictability using various market timing strategies to realize superior performance over a buy-and-hold strategy. We find that the level of predicability associated with real estate leads to moderate success in market timing, although this is not necessarily the case for the other asset classes examined in general. Besides this, real estate stocks typically have higher trading profits and higher mean risk-adjusted excess returns when compared to small stocks as well as large stocks and bonds even though most real estate stocks are small stocks. Key words Market timing - predictability - trading profits - real estate securities - Link @ SpringerLink - Full details
23. American Journal of Agricultural Economics - The Joint Influence of Agricultural and Nonfarm Factors on Real Estate Values: An Application to the Mid-Atlantic Region - Abstract - County level farmland and residential housing values are estimated for the Mid-Atlantic region as a function of farm returns, developed land values, household incomes, population densities, and location. Results are based on the hypothesis that farmland owners anticipate land development and that nonfarm factors are important determinants of farmland prices. Response of farmland prices to change in farm returns is found to be inelastic and relatively uniform in rural and urban counties. Response to nonfarm factors is found to be more elastic and substantially greater in rural counties. Link @ Blackwell Synergy - Full details
24. Comparing Regional Classifications for Real Estate Portfolio Diversification - Pub: 1991 - Abstract - Considerable recent attention has been devoted to constructing improved spatial diversification categories based on the economic characteristics of areas. This research compares Salomon Brothers' regional classification system to U.S. regions and the FRC regions using economic indicators related to real estate demand. Salomon's classification is shown to be the superior classification for reducing the variation of demand-side indicators. Several of Salomon's regions have higher internal variability than the U.S. as a whole and should be reconfigured. Spatial diversification systems may be improved generally by considering noncontiguous diversification criteria based on the economic fundamentals of metro areas and specifically by introducing metro-area size categories. Download link @ RePEc - Full details
25. The Historical Performance of Real Estate Investment Trusts – 1995 - Abstract: This empirical study investigates the performance of Real Estate Investment Trusts (REITs). Although many people have studied REIT performance, their findings on the long-term performance of REITs are generally inconclusive. The objectives of this study are: (1) to evaluate the long-term (1970-1993) performance of REITs; (2) to examine the stability of REIT performance over time; and (3) to investigate the sensitivity of a specific performance measure, the Jensen index, to two general performance benchmarks and two REIT samples. The results indicate that the performance of the REIT portfolios was consistent with the security market line for the 1970-1993 period. However, REIT performance varied over the period. This study also found that the use of the unrepresentative S&P 500 index as a performance benchmark tends to overstate REIT performance. Finally, survivor REITs in general performed better than the overall REIT population. Download Link @ Inomics - Full details
26. What Do We Know About Real Estate Brokerage? - Abstract - Many facets of real estate brokerage have been examined in studies appearing in the literature over the last several years. This review attempts to organize the research around six questions concerning the brokerage industry: (1) What is the nature of the market for brokerage services and how does it influence the individual firm; (2) What factors determine broker and agent compensation; (3) How does brokerage participation influence time on the market and price; (4) Is the brokerage market efficient and equitable; (5) Must brokerage firms assume greater liability; and (6) How do brokerage markets vary internationally. In examining each question, the review points out the major focus of the research and summarizes important findings. Its purpose is to identify key issues facing the brokerage industry and suggest avenues for future study. Download link @ SSRN - Full details
27. The 1985 to 1994 Global Real Estate Cycle: An Overview - Journal Journal of Real Estate Literature - Abstract - The globalization of financial markets is affecting real estate markets. During the period 1985 to 1994, a large number of countries experienced strong real estate booms that peaked around 1989 followed by severe asset price deflation and an output contraction that usually lasted until 1994. Global finance appears irreversible. Should we also expect the recurrence of real estate cycles of strong amplitude? Or does this first global cycle represent a one-time adjustment to global integration happening in many countries simultaneously? To facilitate further comparative analyses, this article inventories the international and domestic factors, in their macroeconomic and intrinsic real estate cycle dimensions, that contributed to this strong global cycle. This overview has three threads: What triggered this first global cycle? What has been its impact? Are there lessons for countries that are not yet fully integrated into global capital markets such as semireformed socialist economies, newly industrialized economies, and other developing countries? Link @ Springer Link - Full details
28. The Long Cycle of Real Estate - Abstract - The experience of the 1985-93 boom/bust in real estate has left industry players nervous about when it might happen again. This paper examines the possible causes and the periodicity of such major real estate cycles. A search of the literature for return evidence from this century suggests that there was only one other period of negative total returns for national real estate - the late 1920s and early 1930s. The evidence suggests that both periods of negative returns were caused by excessive levels of new construction, induced by an unusual rise in NOI, which in turn was the result of an inflation spike in the general level of prices. Evidence from even earlier periods suggests a periodicity for such real estate boom/busts of some 50 to 60 years. Perhaps the caution of today's Federal Reserve Board about containing inflation means that we will not likely see another boom/bust period for real estate during the remainder of our careers - Link @ RePEc - Full details
29. The Impact of Inflation and Vacancy on Real Estate Returns - Journal: Journal of Real Estate Research 1991 - Abstract: The impact of inflation on the value of assets is considered one of the primary financial concerns of long-term investors. While actual and expected inflation have slowed considerably since the early 1980s, concern over future increases is still a consideration for long-term investors.Ibbotson and Fall, Ibbotson and Siegel, Brueggeman, et al., Fogler, hartzell, et al., and Rubens, et al., conclude that real estate compensates the investor for inflation risk. When real estate is added to a mixed-asset portfolio, the inflation risk of the expanded portfolio is substantially below that of the original portfolio (ex-real estate).The purpose of this study is to examine the relationship between the performance of commercial real estate and inflation. Unlike previous studies, this study examines real estate performance during both high and low inflation periods. The results show that real estate does provide an inflation hedge. Second, real estate returns are broken down by two major property type categories (office and industrial) to determine if any property type differences exist. A major difference is found between the inflation hedging effectiveness of office and industrial properties. Third, the differences are further analyzed in relation to vacancy rates in the two property types. A structural imbalance in the office market is evidenced by high vacancy rates. Therefore, the relative impact of vacancy rates upon office and industrial property performance is examined and found to be a significant factor in explaining returns, thus affecting inflation hedging characteristics - Download link @ Inomics - Full details
30. Real estate prices and economic cycles - JM Quigley - International Real Estate Review, 1999 - urbanpolicy.berkeley.edu (PDF) - Full details (PDF)
31. Esteemed Economist Proposes Subprime Mortgage Reforms in Book - June 19, 2007 - A Urban Institute Press book offers a slate of reform opportunities for the ailing subprime mortgage market and provides one of the first comprehensive analyses of this still-evolving segment of the mortgage industry. In Subprime Mortgages: America's Latest Boom and Bust, available beginning June 29, economist Edward M. Gramlich offers a timely look at the ins and outs of the subprime mortgage market, an industry that has enabled nearly 12 million low- and moderate-income families to become homeowners since 1994. But the successes of subprime mortgages have been offset by an increase in foreclosures. "The good news is that most of these homeowners are building wealth, living in better neighborhoods, and participating in the American dream. The bad news is that a small but growing share is stretched thin," observes Gramlich, a senior fellow at the Urban Institute and former governor of the Federal Reserve Board. "They are vulnerable to the least shock, saving very little, contending with high levels of consumer debt, at the mercy of predatory lenders, being forced to sell their houses early, and often ending up in foreclosure." But all is not lost. Gramlich offers an array of reform options that would preserve the benefits of subprime financing while safeguarding homebuyers. Among Gramlich's policy recommendations - Link @ Urban Institute - Full details
32. Household Risk Management and Optimal Mortgage Choice - Nov 2003 - This paper asks how a household should choose between a fixed-rate (FRM) and an adjustable-rate (ARM) mortgage. In an environment with uncertain inflation a nominal FRM has a risky real capital value, whereas an ARM has a stable real capital value but short-term variability in required real payments. Numerical solution of a life-cycle model with borrowing constraints and income risk shows that an ARM is generally attractive, but less so for a risk-averse household with a large mortgage, risky income, high default cost, or low moving probability. An inflation-indexed FRM can improve substantially on standard nominal mortgages - Link to PDF file @ MIT Press Journals - Full details
33. The Effect of Income and Collateral Constraints on Residential Mortgage Terminations - July 1995 - NBER Working Paper - Abstract - The prepayment behavior of home mortgage borrowers has been widely observed to be inconsistent with behavior implied by classical option theory. A substantial literature has emerged examining the problem, focusing on the characteristics of the mortgage and on the historic path of interest rates in attempting to explain the anomaly. This paper offers contributions to the literature in three respects. First, it explores the influence of household level characteristics upon prepayment behavior, using both householder characteristics and collateral (house) value. Second, it empirically recognizes important interactions between the status of the prepayment option and the influence of income and collateral constraints upon prepayment behavior. Third, it uses a major source of data that has not previously been used in examining the prepayment anomaly: the American Housing Survey. Among the findings are the following: when the household is either collateral constrained or income constrained, or the option is likely to be out of the money, the influence of the option value upon prepayment behavior is less by half. When the status of the option and the influence of potential household constraints are more appropriately recognized, these factors account for nearly all explanatory power otherwise attributable to household demographic characteristics. Download link (free only to subscribers) - Full details
34. System and method for implementing and administering a mortgage plan – Patent - Patent summary: Filing date: Jan 12, 1988; Issue date: Oct 24, 1989 - Abstract - A computerized mortgage implementing system includes a central service computer, which helps establish and maintain mortgage plans based upon mortgages at least partially collateralized by investment vehicles. Both a plurality of groups of investment vehicle information and mortgage information are stored in the service computer. Borrower information is entered in the service computer when a mortgage plan is to be established. An individual one of the groups of investment information is selected. A desired amount of the investment funding is determined for helping repay a mortgage plan. Mortgage implementing information is generated for a given mortgage plan, and is sent to a mortgage lender computer to facilitate the establishment of the mortgage plan. See link @ Google Patents - Full details
35. Residential Mortgage Default: A Review of the Literature - RG Quercia, MA Stegman - Journal of Housing Research, 1992 - fannymayfoundation.com - Full details PDF
36. A Primer on Foreclosure - Handbook of Industrial Organization - Full details (PDF)
37. Analyzing Trends in Subprime Originations and Foreclosures: A Case Study of the Atlanta Metro Area –Year:2000 - nw.org - Full details (PDF)
38. The Impact of Predatory Loan Terms on Subprime Foreclosures: The Special Case of Prepayment Penalties and Balloon Payments - (PDF)
39. Reverse Mortgages and the Liquidity of Housing Wealth – 1994 - Abstract - Housing wealth constitutes most of the non-pension wealth of the elderly population. This study analyzes the potential of reverse mortgages to increase the income and liquid wealth of the elderly by identifying households with relatively high levels of housing equity. Because this article looks at the whole distribution of elderly households and considers debt as well as income, it finds a larger potential market for reverse mortgages than previous studies. Calculations from the 1990 Survey of Income and Program Participation and Census population estimates show that over six million homeowners in the United States could increase their effective monthly income by at least 20% by using a reverse mortgage. Of these, more than 1.3 million have no children. Furthermore, a reverse mortgage would allow over 1.4 million poor elderly persons to raise their incomes above the poverty line. - Full details
40. Potential Beneficiaries from Reverse Mortgage Products for Elderly Homeowners: An Analysis of AHS Data – 1994 - Abstract - A variety of reverse mortgage loan programs have been available to elderly households for over a decade. The number of unrestricted reverse mortgage loans issued by the private sector has been quite small. About 12,000 loans have been issued through mid-1992. Some researchers take this to mean that the size of the potential market for reverse mortgages is quite small, while other researchers claim that current low levels of activity reflect supply and demand problems, but that the potential market is in fact quite large. This paper uses American Housing Survey (AHS) data to estimate the potential size of the market for unrestricted reverse mortgages. The 1989 national AHS shows that there are over twelve million elderly homeowners (age 62 and over) who own their homes free and clear. Depending on their income, age and the level of home equity, the group of households most likely to benefit from reverse annuity mortgages is considerably smaller. As one approach to defining a lower bound of the estimate of potential beneficiaries from reverse mortgages, we count the number of homeowners in a prime group consisting of the older elderly, aged 70 or above, with an annual income of $30,000 or less, with home equity between $100,000 and $200,000, who have lived in their homes for over ten years. We estimate that there are about 800,000 elderly households in this prime group. For such households, reverse mortgage payments could represent a substantial percentage increase in income; other definitions of target groups can also be explored using the tables provided. The paper uses the 1985 through 1988 AHS SMSA surveys to identify areas that have a large number of elderly homeowners in the prime target group, and in which these homeowners represent a large fraction of the elderly homeowner population. These locations are likely targets for introduction of reverse mortgage products because any campaign can be targeted towards a high concentration of likely eligible beneficiaries - Full details
41. Journal of Housing Research - Fannie Mae Foundation 1999 - Reverse Mortgage Choices: A Theoretical and Empirical Analysis of the Borrowing Decisions of Elderly Homeowners - Abstract - This research seeks to explain the determinants of reverse mortgage product choice. Reverse mortgages can potentially be a great benefit to an aging population, but it is important that products be structured to meet the needs of this group. The simulation model developed in this article shows that if the elderly are primarily concerned with the impact of unavoidable expenditure shocks on their standard of living, they are likely to be better off with a line-of-credit plan, which gives them access to a large sum of money, rather than adding an additional fixed component to their income. Support for the theoretical results is given by multinomial logit regressions based on a data set of Home Equity Conversion Mortgages. The empirical results are highly supportive of the predictions from the theoretical model. Keywords: Reverse mortgages; Elderly housing; Economics of aging; Stochastic dynamic programming - Full details PDF
42. The Reverse Mortgage Market: Problems and Prospects - Innovations in Housing Finance for the Elderly, 2001 - Econ.nyu.edu – Full details (PDF)
43. House Value Appreciation among Older Homeowners: Implications for Reverse Mortgage Programs - Journal of Housing Research, 1997 - staging.fanniemaefoundation.org - Full details (PDF)
44. Reverse mortgage processing system Peter M. Mazonas et al – Patent - Patent summary - Filing date: Nov 21, 1995; Issue date: Jan 4, 2000 - Abstract - A data processing system for selectively determining an appropriate balance of credit parameters associated with the issuance of Reverse Equity Mortgage financing. The system manages the risk associated with the credit by structuring a concurrent single premium deferred annuity to provide future cash flows starting at a system determined date corresponding to actuarially determined requirements of the borrower. The data processing system accepts inputs of the critical data required to perform the calculations and provides a detailed assessment of the proper level of credit and blend of annuity payments for the borrower, thereby solving the principal problem associated with RM products. Thereafter, the system provides the management for the plural current and past accounts associated with the client-based attributes for each lending opportunity.
45. Reverse mortgage loan calculation system and process Nicholas Kiritz – Patent - Patent summary - Filing date: Jan 22, 1997; Issue date: Nov 23, 1999 - Abstract - A system and process of calculating monetary payments by a lender to a borrower based on the value of an asset using at least one of a plurality of constants stored in look-up tables. The process includes inputting borrower information such as borrower birthdate or age. Property specific information is input, such as appraised property value. Equity share information is also input. With the Equity share information and borrower age, the process looks-up a tenure conversion factor from a look-up table. The loan type is input as one of tenure, line of credit, and modified tenure and appropriate variables are set accordingly. The principal limit factor is read from a look-up table and the original principal limit is calculated to be equal to the principal limit factor multiplied by the appraised property value. Next the net principal limit is calculated as the original principal limit minus costs. The loan is then calculated--if tenure, then the monthly payment equals net principal...- Full details
46. Selection and Moral Hazard in the Reverse Mortgage Market - Unpublished mimeo, University of California–Berkeley, 2004 - faculty.haas.berkeley.edu - Full details (PDF)
47. Reverse Mortgages: A Solution to Elderly Poverty - November, 1996 - Abstract - This paper investigates the scope for alleviating poverty among elderly homeowners in the United States by means of reverse mortgages. A reverse mortgage is a loan secured against the home equity owned by the borrower. The loan does not require monthly repayments. Under most reverse mortgage programs, the elderly borrower is allowed to use the home as her principal residence for as long as she wishes. Utilizing reverse mortgages as a tool for poverty alleviation makes use of the "cash-poor and house-rich" characteristic of elderly homeowners in poverty. We compute monthly payments that can be obtained by elderly homeowners under a reverse mortgage by simulating the tenure plan of the Home Equity Conversion Mortgage (HECM) product which is a reverse mortgage that is insured by the Federal Housing Administration (FHA) and sponsored by the U.S. Department of Housing and Urban Development. Data on home value, age of the owner, income, poverty status, and household type were obtained from the National File of the American Housing Survey of 1991. We estimate that 621,820 elderly homeowners in poverty could be raised above the poverty line if they obtained a reverse mortgage under the HECM tenure plan. These households constitute 29 percent of all poor elderly homeowners, and 18 percent of all elderly households in poverty. There appears to be considerable scope for alleviating poverty among elderly homeowners through reverse mortgages. More than half of the elderly households in poverty who own homes worth $60,000 or more can be raised above poverty by means of reverse mortgages. We estimate that the poverty rate of elderly households in occupied units (both renters and owners) can be reduced by three percentage points (from 17 percent to 14 percent) by means of reverse mortgages. We estimate that the poverty rate for elderly persons in the United States in 1991 would have been reduced from 12.4 percent to 10 percent if poor elderly homeowners had obtained reverse mortgages in 1991. Thus, reverse mortgages had the potential to reduce the poverty rate among the elderly by 2.4 percentage points in 1991. - Full details
48. A Primer On Reverse Mortgages – 2003 - Abstract - Housing equity is the most important asset for the vast majority of Americans. In principle, this asset might be used to support consumption in retirement. Reverse mortgages were envisioned as a mechanism that would allow older people to consume their housing equity without selling their homes. Yet this market is extremely small ó less than one percent of qualified homeowners have a reverse mortgage. This brief provides an overview of reverse mortgages and explores possible reasons for their currently limited appeal - Full details
49. Housing Equity and Senior Security - ESRI International Conference, 2003 - worldbank.org (PDF) - Link - Full details
50. Loss Characteristics of Commercial Real Estate Loan Portfolios - A White Paper by the staff of the Board of Governors of the Federal Reserve System - Prepared as Background for Public Comments on the forthcoming Advance Notice of Proposed Rulemaking on the Proposed New Basel Accord, June 2003 - Foreword - This White Paper presents the data and analysis reviewed by the staff of the Board of Governors to develop the proposals for applying capital requirements to commercial real estate (CRE) loans in the United States under the Advanced Internal Ratings-Based approach of Basel II. - from the Federal Reserve web site - Full details (PDF)
Other Real Estate Research Web Resources
Credits & Copyright: This page is licensed under the GNU Free Documentation License. |
||