Pricing of Presale Contracts with Macroeconomic Factors and Stochastic Basis Risk

Chih Yuan Yang, Ming Chi Chen, Chia Chien Chang*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

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.

原文英語
頁(從 - 到)531-551
頁數21
期刊Journal of Real Estate Research
42
發行號4
DOIs
出版狀態已發佈 - 2020

ASJC Scopus subject areas

  • 經濟學、計量經濟學和金融學(雜項)

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