Five essays in property valuation

摘要: This doctoral thesis consists of five self-contained essayspresented to the Faculty Board Royal Institute ofTechnology. Property valuation is a central issue that forms acommon thread in analysis these essays. In thesisproperty considered mixed asset context an attemptto build bridge between valuation, property investment andfinancial theory. The object value propertyfor finance, sales and purchases investment. Theinvestigation extends traditional withan integrated approach using econometric technology.Essay I estimates market townhouses underdevelopment North American city. hedonicregression model used predict complex asa whole, as well individual unit. role theproperty tax explaining indicated andthe errors predicted values estimated theessay relative prices realized suggest thefeasibility regression for preconstructionappraisal.Essay II investigates implicit valuesin Beijing residential market. An uncertainattribute—"perceived construction risk" enters modelas proxy consumer's subjective probability ofconstruction quality. Public facilities are found reduce thevalue residences consumers would be willing pay ahighly substantial amount money protect themselves fromthe risk poor quality.Essay III studies long-term relationship housingprices stock under Swedish rent controlsystem from 1980 1998. Vector Autoregressive (VAR) modelwith subsystem test cointegration theError Correction Model (ECM) Granger Causality alsotested. tests provide evidence co-movement thehousing roleof rentals raising speed movement towards thelong-term equilibrium prices.Essay IV models volatility returns inthe 1990 1999. GeneralAutoregressive Conditional Heteroskedasticity (GARCH) isapplied capture time-varying GARCH-Mmodel price this volatility. vacancy rate isfound help explain persistent spillovereffects bond direct real estate marketare expected.Essay V analyzes inflation hedging ability Swedishproperty stocks Two expected inflationrates—UND1x GARCH inflation—andcointegration technology study. For theperiod no behavior found, butfor period 1986–1993 when was low,short-run indicated.