政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/142449

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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

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题名:	Pricing of Presale Contracts with Macroeconomic Factors and Stochastic Basis Risk
作者:	陳明吉 Chen, Ming-Chi Yang, Chih-Yuan;Chang, Chia-Chien
贡献者:	財管系
关键词:	Presale price;basis price;modified Brownian bridge process;macroeconomic factors
日期:	2020-12
上传时间:	2022-10-20 16:06:05 (UTC+8)
摘要:	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.
關聯:	Journal of Real Estate Research, Vol.42, No.4, pp.531-551
数据类型:	article
DOI 連結:	https://doi.org/10.1080/08965803.2020.1846324
DOI:	10.1080/08965803.2020.1846324
显示于类别:	[財務管理學系] 期刊論文

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