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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/142449

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/142449

Title:	Pricing of Presale Contracts with Macroeconomic Factors and Stochastic Basis Risk
Authors:	陳明吉 Chen, Ming-Chi Yang, Chih-Yuan;Chang, Chia-Chien
Contributors:	財管系
Keywords:	Presale price;basis price;modified Brownian bridge process;macroeconomic factors
Date:	2020-12
Issue Date:	2022-10-20 16:06:05 (UTC+8)
Abstract:	This study analyzes the stochastic basis risk (presale price minus spot housing price) of presale housing from the viewpoint of forward pricing. We employ the modified Brownian bridge process to deal with the time-varying volatility and price convergence of presale and existing houses. The finding reveals an asymmetric effect of macroeconomic factors on the presale price in different market conditions. Such results might reflect the investors’ behaviors of overreaction and/or over-pessimism. In addition, the influence of macroeconomic variables is greater on the basis price than on the prices of existing houses, especially in a depressed housing market. Our results emphasize the importance of considering basis risk and the influence of macroeconomic factors when pricing presale houses to manage housing risk.
Relation:	Journal of Real Estate Research, Vol.42, No.4, pp.531-551
Data Type:	article
DOI 連結:	https://doi.org/10.1080/08965803.2020.1846324
DOI:	10.1080/08965803.2020.1846324
Appears in Collections:	[財務管理學系] 期刊論文

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