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Full-Text Articles in Real Estate
Big Data Approach As An Institutional Innovation To Tackle Hong Kong’S Illegal Subdivided Unit Problem, Yung Yau, Elvis Wai Kin Lau
Big Data Approach As An Institutional Innovation To Tackle Hong Kong’S Illegal Subdivided Unit Problem, Yung Yau, Elvis Wai Kin Lau
Faculty of Design & Environment (THEi)
While applications of big data have been extensively studied, discussion is mostly made from the perspectives of computer science, Internet services, and informatics. Alternatively, this article takes the big data approach as an institutional innovation and uses the problem of illegal subdivided units (ISUs) in Hong Kong as a case study. High transaction costs incurred in identification of suspected ISUs and associated enforcement actions lead to a proliferation of ISUs in the city. We posit that the deployment of big data analytics can lower these transaction costs, enabling the government to tackle the problem of illegal accommodations. We propose a …
Office Rents, Mixed-Use Developments, And Agglomeration Economies: Apanel Data Analysis, Ervi Liusman, Daniel Chi Wing Ho, Hiu Ching Lo, Daniel Yet Fhang Lo
Office Rents, Mixed-Use Developments, And Agglomeration Economies: Apanel Data Analysis, Ervi Liusman, Daniel Chi Wing Ho, Hiu Ching Lo, Daniel Yet Fhang Lo
Faculty of Design & Environment (THEi)
The purpose of this paper is to investigate the relationship between office rents and mixed-use development in the context of agglomeration economies.
Repeated Planning Applications By Developers Under Statutory Zoning: A Hong Kong Case Study Of Delays And Design Improvements In Private Residential Development, Lawrence W.C. Lai, Daniel Chi Wing Ho, K.W. Chau, Mark H. Chua
Repeated Planning Applications By Developers Under Statutory Zoning: A Hong Kong Case Study Of Delays And Design Improvements In Private Residential Development, Lawrence W.C. Lai, Daniel Chi Wing Ho, K.W. Chau, Mark H. Chua
Faculty of Design & Environment (THEi)
Delays in obtaining development approvals have been advanced as a major reason for shortages if not also increase in cost of housing. This paper is the first systematic attempt to examine whether the apparently long period of time taken to obtaining statutory planning permissions by developers for major development projects under Comprehensive Development Area (CDA) zoning is due to Town Planning Board rejections or developers’ strategy to hoard land or improve building design. Publicly available Town Planning Board data obtained from the Planning Department, property transaction records kept by the Land Registry, property market statistics released by the Rating and …
Reassessing Anomalies And Puzzles, Keming Li
Reassessing Anomalies And Puzzles, Keming Li
Finance and Real Estate Dissertations - Archive
While standard asset pricing models assume a frictionless environment and investors are risk-averse individuals who maximize their utility based on all the available information in real time. The asset pricing literature has empirically documented numerous anomalies and puzzles, which cannot be explained by the traditional finance theory. Investors are exposed to these entire abnormal phenomenons, but at the same time investors do not fully understand them. This problem motives numbers of recent publications and also my dissertation.My dissertation is consisting of three essays. The first essay looks at the components of information uncertainty. Specically, I decompose information uncertainty into fundamental …
In Times Of Financial Distress: Perspectives From Valuation, Information Asymmetry And Returns, Ramya Rajajagadeesan Aroul
In Times Of Financial Distress: Perspectives From Valuation, Information Asymmetry And Returns, Ramya Rajajagadeesan Aroul
Finance and Real Estate Dissertations - Archive
The dissertation addresses unanswered questions in asset valuation through the lens of financial distress in three different asset markets namely equity market, residential property market and REITs market. The first two essays explore the valuation impact of financial distress in equity and residential property markets while the third essay examines the role of information asymmetry in REITs market around credit rating announcements. In the first essay, I investigate why highly distressed firms earn low returns. By employing a direct misvaluation measure, I find that distressed firms with substantial overvaluation earn negative returns. I also further study the characteristics of the …
Cointegration, Causality And Price Discovery In The Nafta Markets: A Study Of Sector Indices And Trade Flow Data From The Perspective Of Us Markets, Aamir Khan
Finance and Real Estate Dissertations - Archive
This dissertation examines the long-run linkage among the equity markets and sectors of the NAFTA economies by employing Cointegration and Vector Error Correction Model (VECM) framework. In addition, I also seek to identify the short-run & long-run causality and the direction of adjustment factor among the sectors of the US, Canadian and Mexican markets. Furthermore, I develop a multivariate model to examine the long-run impact of exchange rates on the linkage among the NAFTA markets & sectors. In addition, I also investigate the impact of US trade flow on the causal relationship it has with that of the Canadian & …
Investor Overconfidence And Option Trading, Han-Sheng Chen
Investor Overconfidence And Option Trading, Han-Sheng Chen
Finance and Real Estate Dissertations - Archive
This study examines investor overconfidence theory in the options market. The theory suggests that investors who experience high returns become overconfident in their security valuation and trading skills, and therefore trade more often, even when the high returns are market wide. Given stock investors often trade in both stock and options market, I hypothesize similar patterns could be found in the options market as well. Controlling for market volatility and stock idiosyncratic risk, past market return is positively correlated with option trading turnover. In addition, past positive market return leads to higher call option turnover ratio and higher call-to-put ratio. …
Comparing Market-Based And Financial Statement-Based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods, Jacqualyn Ann Fouse
Comparing Market-Based And Financial Statement-Based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods, Jacqualyn Ann Fouse
Finance and Real Estate Dissertations - Archive
The value of a share of common stock in a publicly-listed company should be equal to the present value of the future cash flows the company is forecast to produce, andultimately pay out to its stockholders. Expectations for these flows may incorporate information that goes beyond current earnings discounted into perpetuity as per the Dividend Discount Model (DDM). By comparing a market-based valuation model with a financial statement-based valuation model this paper seeks to find evidence of information embedded in market valuations that may not be captured in financial statement-based valuations. The analysis endeavors first to identify a component of …
Essays On Option Market Information Content, Market Segmentation And Fear, Mishuk Anwar Chowdhury
Essays On Option Market Information Content, Market Segmentation And Fear, Mishuk Anwar Chowdhury
Finance and Real Estate Dissertations - Archive
This dissertation consists of three essays. The first essay tests whether stock returns can be predicted using divergence from put-call parity. Using a robust methodology that controls for the early exercise premium of American put and call options, the study shows that stocks with upside divergence from put-call parity outperform stocks with downside divergence from put-call parity. Predictability is persistent over multiple holding periods and divergence is also predictive of tail events. The second essay examines segmentation of equity and option markets in the presence of information asymmetry. The study uses the slope of the implied volatility skew as a …
Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets, Arun Prasath Narayanasamy
Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets, Arun Prasath Narayanasamy
Finance and Real Estate Dissertations - Archive
Most research on volatility spillovers across countries and various asset class returns model volatility as conditional variance and assume a linear relationship in spillovers. The risk measured as conditional variance is modeled as a function of own past innovations and own past conditional variances and fails to include lagged conditional variances from other assets. In this dissertation, for a bivariate set up, I estimate the conditional variance of the second country either as a GARCH (1, 1) or DCC (1, 1) type process. Using the estimated conditional variances, the non-linear or threshold parameter is computed by maximizing the log likelihood …
Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration, Yongho Seo
Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration, Yongho Seo
Finance and Real Estate Dissertations - Archive
It has been observed that the value of an asset's beta varies with the frequency of the data used to generate the value, a phenomenon hereafter referred to as "time scale", or simply "scale". If the scale effect is strong enough, then ignoring this phenomenon calls into question studies that rely on comparing beta values. The most notable of these studies is the classification of stocks as "aggressive" or "defensive". I show that such a categorization varies substantially when comparing betas estimated using monthly data versus annual data. Contrary to other studies, betas do not vary monotonically as data scale …
Penny Stocks, Market Microstructure, And Analyst Forecasts, Julio AndréS Rivas-Aguilar
Penny Stocks, Market Microstructure, And Analyst Forecasts, Julio AndréS Rivas-Aguilar
Finance and Real Estate Dissertations - Archive
The first essay of this dissertation deals with the relationship between previous earnings, earnings forecasts, and future returns. I found that stocks with the worst previous earnings and the worst earnings forecasts outperform the ones with more optimistic outlooks. Value stocks also tend to outperform glamour stocks. I also found that previous earnings are the dominating factor in determining subsequent returns. The second essay deals with the Bid-Ask Spread (BAS) behavior of penny stocks throughout trading sessions. I ran the analysis by using different days of the week, months of the year, and analyst coverage. Finally, I regressed the minute-to-minute …
Causality And Volatility Spillover Effects On Sub-Sector Energy Portfolios, N. Alper Gormus
Causality And Volatility Spillover Effects On Sub-Sector Energy Portfolios, N. Alper Gormus
Finance and Real Estate Dissertations - Archive
During a time of extensive crises related to energy sources, in particular fossil fuels, IPOs for alternative energy-related companies are a common occurrence. As new industries are created or old ones are revised, investors, who constantly are trying to update their portfolios for hedging their risk, face new challenges. The purpose of this study is to aid investors in market anticipation, forecasting, and portfolio diversification through shedding some light on the inner dynamics of the select asset markets versus sector-specific energy companies. Although energy companies related to fossil fuels such as oil, coal, and natural gas are previously studied, alternative …
Three Essays On Market Anomalies And Efficient Market Hypothesis, Ehab Yamani
Three Essays On Market Anomalies And Efficient Market Hypothesis, Ehab Yamani
Finance and Real Estate Dissertations - Archive
This dissertation consists of three distinct essays. The first essay investigates the risk interpretation of the investment premium by empirically examining the fundamental view versus the sentimental view. I use VAR to break the investment beta into fundamental beta reflecting news about the future marginal productivity of investment, and financial beta reflecting news about discount rates. Overall, the results show that financial factors are the dominant driver of investment returns and they control the negative relation between investment and stock return. In the second essay, I examine the impact of financial contagion resulting from four global financial crises based on …
Essays On International Corporate Dividend Policy, Bobby Alexander
Essays On International Corporate Dividend Policy, Bobby Alexander
Finance and Real Estate Dissertations - Archive
This dissertation is comprised of two essays on dividend policy. In the first part of the first essay, I ascertain whether the outcome, the substitution, or the predation model explains the relationship between dividend payouts and product market competition in each of the Group of Seven (G7) countries for the period from 1995 through 2010. I find that the substitution model explains dividend policy in Canada, France, Germany, the United Kingdom, and the United States, and the outcome model describes it in Japan, while in Italy, the results are inconclusive. In the second part of the same essay, I pool …
Executive Compensation And Idiosyncratic Risk, Hum Nath Panta
Executive Compensation And Idiosyncratic Risk, Hum Nath Panta
Finance and Real Estate Dissertations - Archive
Executive compensation is a very heavily researched area in finance, accounting and management over the last three decades. However, there are several inconclusive issues. One of them is the relationship between idiosyncratic risk and executive compensation. Prior research findings on this issue are inconclusive. In this context, this dissertation analyzes the effects of idiosyncratic risk on executive compensation. This research seeks to discover and document the role of idiosyncratic risk on all top executive compensation, CEO compensation and non-CEO executive compensation. This study will begin with an extensive review of prior studies on executive pay to identify the determinants of …
The 2008 Short Sale Ban: Did We Sell Price Discovery Short, Yen-Ling Chang
The 2008 Short Sale Ban: Did We Sell Price Discovery Short, Yen-Ling Chang
Finance and Real Estate Dissertations - Archive
This dissertation investigates the impact of a short sale ban on the stock market and the options market and the interrelation between the two markets during the US financial crisis of 2008. The first essay focuses on the impact of the short sale ban on financial stocks between September 18, 2008 and October 8, 2008. I examine how daily returns responded to the ban. Non-banned firms with similar sizes and standard deviations of past stock returns as the banned firms served as a control group. An event study shows significant positive cumulative abnormal returns which might indicate that the banned …
Three Essays On Real Estate Equities And Real Estate Investment Trusts, Fahad Almudhaf
Three Essays On Real Estate Equities And Real Estate Investment Trusts, Fahad Almudhaf
Finance and Real Estate Dissertations - Archive
This dissertation consists of three distinct essays. The first essay provides initial empirical evidence on the usefulness of consumer confidence index and investor optimism index in predicting REIT price movements. I find evidence of uni-directional Granger causality from REIT returns to the change in Michigan consumer sentiment index for the period 1978 - 2008. I find a negative and statistically significant relationship between the level of Michigan consumer sentiment index in one month and the FTSE/NAREIT US REIT returns in the next one, six, and twelve months. On the other hand, I find a positive and statistically significant relationship between …
Determinants Of Implied Volatility Movements In Individual Equity Options, Christopher G. Angelo
Determinants Of Implied Volatility Movements In Individual Equity Options, Christopher G. Angelo
Finance and Real Estate Dissertations - Archive
In this study, I introduce a parsimonious model that explains implied volatility time series for individual stock options. The current state of risk management for individual equity options still seems to lack the presence of pertinent exogenous variables. This study suggests a few easily observable variables that can be used to explain the changes in implied volatilities of stock options. These variables can be used in the risk models in order to more accurately manage option positions for individual stocks. The first chapter provides a motivation for the VIX as the primary explanatory variable for changes in implied volatility. It …
Price Discovery Of Credit Risk, Yibing Du
Price Discovery Of Credit Risk, Yibing Du
Finance and Real Estate Dissertations - Archive
This study investigates financial markets' price discovery for credit risk across the stock, bond, and credit derivatives markets. This study also examined what factors affect financial market's price discovery for credit risk. Four factors are studied: liquidity, transaction cost, credit ratings and maturities. Using weekly equity, bond and credit default swap market data from January 2000 to October 2007, it is found that stock market and bond market, credit derivative market and bond market are cointegrated for long term credit risk price discovery. In short term, both stock market and credit derivatives market lead the bond market for credit risk …
Going Green - Impact On Residential Property Values, Ramya Rajajagadeesan Aroul
Going Green - Impact On Residential Property Values, Ramya Rajajagadeesan Aroul
Finance and Real Estate Theses - Archive
Hedonic pricing model is generally used to empirically understand the relationship between various housing characteristics and the housing values. In the past hedonic studies have looked at the relationship between the housing prices and structural features, environmental amenities, neighborhood characteristics, time variables and even financing. But real estate researchers have greatly overlooked to study the impact of greenness on residential properties though there has been a huge interest among the researchers and practitioners on green buildings. This study poses the primary question of if any potential relationship exists between greenness and property values. This study further extends the research question …
The Impact Of The Sarbanes-Oxley Act Of 2002 On The U.S. Financial Markets, Sheryl-Ann Kathleen Stephen
The Impact Of The Sarbanes-Oxley Act Of 2002 On The U.S. Financial Markets, Sheryl-Ann Kathleen Stephen
Finance and Real Estate Dissertations - Archive
This dissertation examines the impact of the Sarbanes-Oxley Act (SOX) on the U. S. financial markets by investigating three topics: security analysts' performance, security analyst monitoring activity and firm value, and the cost of equity capital. Each topic is presented in a separate essay. In the first essay, the impact of SOX on security analysts' performance is investigated. The findings indicate that security analysts' forecasting performance has deteriorated post-SOX for both large and small firms. In addition, this deterioration in forecasting performance holds across industries. Security analysts have also become pessimistic in their earnings forecasts post-SOX. The second essay examines …
Comparative Determinants Of International Equity Diversification, Ying Zhang
Comparative Determinants Of International Equity Diversification, Ying Zhang
Finance and Real Estate Dissertations - Archive
This study provides a comprehensive, simultaneous comparison of the country and sector determinants of international diversification. Specifically, it bridges the theory between the cointegration methodology and diversification by linking market integration, cointegration and portfolio diversification. Cointegration tests are conducted to both analyze the stationarity of country and industry index covariances and to dissect the diversification contributions of each component. Portfolios comprised of market indices independent of cointegrating relations produce, on average, better risk-return profiles than those constructed from cointegrated market indices. Although country and sector allocations both contribute to independent market portfolio gains, the diversification determinants have differential impact on …
Essays On Asset Pricing And Growth Effect, Wikrom Prombutr
Essays On Asset Pricing And Growth Effect, Wikrom Prombutr
Finance and Real Estate Dissertations - Archive
This dissertation comprises two essays on growth effects and opportunities experienced by companies and their implications for asset pricing models. In the first essay, I develop and test a model to explain the empirically observed value-growth stock return effect using real options theory. I simulate results from a real options model for two firm types. One type, the "value" firm, has a single growth opportunity. The other type, the "growth" firm, has infinitely repeated growth opportunities. Growth firms: (1) invest sooner, (2) pursue less lumpy investment paths, (3) have lower book-to-market ratios, and (4) generate lower rates of return than …
Diversification Benefits Of Real Estate Assets And Equity Assets In A Regional And Global Perspective, Nafeesa Yunus
Diversification Benefits Of Real Estate Assets And Equity Assets In A Regional And Global Perspective, Nafeesa Yunus
Finance and Real Estate Dissertations - Archive
The primary purpose of this dissertation is to utilize recently available and reliable high frequency transactions based data provided by FTSE EPRA/NAREIT and employ modern day time series techniques and recently developed diagnostic tests to evaluate the degree of long-run integration and short-run dynamics among major public property markets (in terms of market capitalization) over a period beginning January 2000 and ending March 2006 to evaluate diversification possibilities from the perspective of the US investor. Both Asia and Europe are investigated. A secondary objective is to examine the long-run and short-run interaction among the corresponding major international equity markets to …
The Change In Financial Analysts' Forecast Attributes For Value And Growth Stocks, Pieter De Jong
The Change In Financial Analysts' Forecast Attributes For Value And Growth Stocks, Pieter De Jong
Finance and Real Estate Dissertations - Archive
This research will concentrate on the changes in earnings forecasts, forecast accuracy and forecast dispersion for growth and value stocks after Reg FD. Each topic is presented in a separate essay. The first essay tests if growth and value stock returns respond more to forecasted earnings changes than they do to changes in earnings and whether these stock returns respond in a different fashion before and after Reg FD. This phenomenon is stronger for growth stock portfolio strategies than it is for value stock portfolios. After Reg FD, the overall impact of earnings expectations on stock returns is smaller, especially …
The Impact Of Property Flipping On Single Family Detached Home Prices, Wesley H. English
The Impact Of Property Flipping On Single Family Detached Home Prices, Wesley H. English
Finance and Real Estate Theses - Archive
In 2003 HUD ruled that flipped properties, which are defined as recently acquired properties that have been resold, often within days, and for a substantial profit, are ineligible for FHA insured mortgage financing. This research uses the HUD ruling as the basis for this study. Their ruling was based on the perception that property flipping had a negative effect on home prices among other things. The study uses hedonic modeling to empirically determine if houses that have previously flipped have any influence on value when compared to the non-flipped properties in the same market. Through a regression analysis, it is …
Default Prediction For Commercial Mortgage Backed Securities, James Scott Dudley
Default Prediction For Commercial Mortgage Backed Securities, James Scott Dudley
Finance and Real Estate Theses - Archive
Commercial mortgage default has become a topic of interest for a large number of parties due to the emergence and continued growth of the secondary mortgage market. With the multitude of parties holding a vested interest, it is important to develop a highly efficient method of monitoring collateral performance and ultimately be able to confidently predict or anticipate default. This study shows the correlation between appearance of a loan on a Watchlist and its potential to become delinquent in the future. While testing this hypothesis, a model is created that incorporates several other variables readily used to predict collateral performance …
Strategic Exercise Of Options On Non-Traded Assets And Stochastic Volatility In An Incomplete Market: Indifference Pricing And Entropy Methods, Singru Hoe
Finance and Real Estate Dissertations - Archive
The first study explores optimal investment policies for strategic option exercise when the underlying project is not traded. A duopoly model captures strategic interactions, while a partial spanning asset models market incompleteness. The option value to invest is obtained through indifference pricing, i.e., certainty equivalent value. I find that incompleteness narrows the gap between leader and follower entry dates. The follower enters much sooner, and the leader delays slightly compared to classic real options models. Modeling investment income stream as an Arithmetic Brownian motion is a better fit than Geometric Brownian motion, while reducing the necessary numerical approximations for obtaining …
Stock Options: To Expense Or Not To Expense. A Comparison Of Economic Determinants, Firm Payoffs, And Pay-Performance Sensitivity Of Executive Stock Option Compensation, Barbara Wood
Finance and Real Estate Dissertations - Archive
Until June 2005, firms had a choice in accounting for stock option compensation. The majority of firms elected to disclose option compensation expense in the footnotes of their financial statements. However, after the accounting scandals in the early 2000s, many firms moved from disclosing the expense to recognizing the expense as a charge against earnings. This research examines the reasons that firms would voluntarily elect to adopt option recognition prior to regulatory requirement. The decision to recognize option pay is examined with respect to efficient contracting, earnings management, and information signaling. Firms that elect to expense option pay do so …