The Capitalization Rate of Commercial Properties and Market Returns.
G. Donald Jud,Daniel T. Winkler +1 more
TLDR
In this article, the authors developed a model of real estate cap rates that draws on the weighted average cost of capital (WACC) theory and the capital asset pricing model (CAPM) in the finance literature.Abstract:
This study develops a model of real estate cap rates that draws on the weighted average cost of capital (WACC) theory and the capital asset pricing model (CAPM) in the finance literature. The model indicates cap rates are determined by debt and equity spreads. The debt spread is the risky debt rate less the risk-free rate, and the equity spread is the return on the market less the risk-free rate. The empirical results support the importance of both spreads; however, cap rates respond with significant adjustment lags to changes in capital market spreads. Our findings support the widely held belief that real estate markets are information inefficient and segmented from the national capital market.read more
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Currency unions and trade: A post-EMU reassessment
Reuven Glick,Andrew K. Rose +1 more
TL;DR: The authors used a variety of empirical gravity models to estimate the currency union effect on trade and exports, using recent data which includes the European Economic and Monetary Union (EMU), and their preferred methodology indicates that EMU has boosted exports by around 50%.
Journal ArticleDOI
The impact of economic and financial factors on UK property performance
Chris Brooks,Sotiris Tsolacos +1 more
TL;DR: In this paper, the authors employ a vector autoregressive model to investigate the impact of macroeconomic and financial variables on a UK real estate return series and conclude that unexpected inflation, and the interest rate term spread have explanatory powers for the property market.
Journal ArticleDOI
Office Capitalization Rates: Real Estate and Capital Market Influences
TL;DR: In this paper, the importance of local fixed and time-variant components of the office capitalization rate and the significance of persistence in its time trends were investigated. But the authors did not consider the role of local office markets and the national capital market in shaping the various components.
Journal ArticleDOI
Real Exchange Rates and Sectoral Productivity in the Eurozone
Martin Berka,Michael B. Devereux,Michael B. Devereux,Charles Engel,Charles Engel,Charles Engel +5 more
TL;DR: In this article, the authors investigated the link between real exchange rates and sectoral total factor productivity measures for countries in the Eurozone and found that real exchange rate patterns closely accord with an amended Balassa-Samuelson interpretation, both in cross-section and time series.
Journal ArticleDOI
Risk and Return in High-Frequency Trading
TL;DR: In this article, the authors study performance, concentration, and competition in the high-frequency trading (HFT) industry and find that small differences in HFT firms' latencies are associated with large differences in trading revenues.
References
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Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
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TL;DR: In this article, the effect of financial structure on market valuations has been investigated and a theory of investment of the firm under conditions of uncertainty has been developed for the cost-of-capital problem.
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Analysis of Panel Data
TL;DR: In this paper, the authors propose a homogeneity test for linear regression models (analysis of covariance) and show that linear regression with variable intercepts is more consistent than simple regression with simple intercepts.
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Financial Theory and Corporate Policy
TL;DR: In this article, the authors present an overview of financial theory and its application in corporate finance, including the role of the CFO and performance measurement, and the relationship between CFO's role and performance measurement.
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Real Estate Finance and Investments
TL;DR: In this article, the authors present an overview of real estate investment concepts, analysis, and applications, including the time value of money, single family housing, single-family housing pricing, investment, and tax considerations.