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A real-time index of single family residential real estate.

机译：单户住宅房地产的实时指数。

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摘要

Real estate has lagged behind other asset classes in developing an active and liquid derivatives market. Currently there are two real estate indices available by ticker symbol, but neither of these supports a futures or options market.; The proposed index would be a price index of single-family residential real estate. If such an index could be developed and proved reliable, it would permit the establishment of a futures market based on this underlying index. Positions in futures markets could be used to hedge against risk associated with the underlying real estate assets, enhance portfolio management, and speculate on movements in this real estate sector.; Advances in telecommunications and computing, and the use of semi-automated standardized appraisal methodologies by professional appraisers bring such an index closer to realization. The use of appraisal prices can remove distortions found in sales prices due to such factors as non-market financing attached to sales, distress sales, and related party transactions. Difficulties in pricing the modified duration and convexity measure of mortgages are examined.; Sales data is used as a proxy for appraisal data in this research. House price data for Alameda County, California, has been analyzed to determine an appropriate smoothing parameter for hedonic local regression. Quarterly and monthly hedonic house price indices are calculated. Indices are calculated based on the characteristics of individual houses and then these are market-weighted to calculate composite indices. A plan is outlined for the development of a regional house price index for the San Francisco Bay area and the creation of futures contracts based on this index. Examples show how such futures contracts could be used to hedge underlying positions in real estate or mortgages.; The securitization of single family residential real estate is especially important because of the large size of this asset class.
机译：在发展活跃的流动性衍生品市场方面，房地产落后于其他资产类别。当前，有两种股票代码可用股票代码来表示，但它们都不支持期货或期权市场。拟议的指数将是单户住宅房地产的价格指数。如果这样的指数能够被开发并证明是可靠的，它将允许基于该基础指数建立期货市场。期货市场的头寸可用于对冲与基础房地产资产相关的风险，增强投资组合管理，并推测该房地产行业的动向。电信和计算技术的进步，以及专业评估师使用半自动化的标准化评估方法，使这一指标更加接近实现。评估价格的使用可以消除由于诸如附加于销售的非市场融资，遇险销售和关联方交易等因素而导致的销售价格扭曲。审查了修改抵押期限和凸度度量的定价困难。在本研究中，销售数据被用作评估数据的代理。分析了加利福尼亚阿拉米达县的房价数据，以确定用于享乐局部回归的适当平滑参数。计算季度和每月享乐房价指数。根据各个房屋的特征计算指标，然后对它们进行市场加权以计算综合指标。概述了为旧金山湾地区开发区域房价指数并基于该指数创建期货合约的计划。示例显示了如何使用此类期货合约对冲房地产或抵押的基础头寸。单户住宅房地产的证券化尤其重要，因为该资产类别的规模很大。

著录项

  • 作者

    Handforth, Francis Roy.;

  • 作者单位

    The University of Mississippi.;

  • 授予单位 The University of Mississippi.;
  • 学科 Business Administration General.; Economics Finance.; Urban and Regional Planning.
  • 学位 Ph.D.
  • 年度 2003
  • 页码 241 p.
  • 总页数 241
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 贸易经济;财政、金融;区域规划、城乡规划;
  • 关键词

  • 入库时间 2022-08-17 11:45:03

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