Access the full text.
Sign up today, get DeepDyve free for 14 days.
John Campbell, R. Shiller (1986)
The Dividend-Price Ratio and Expectations of Future Dividends and Discount FactorsCorporate Finance: Capital Structure & Payout Policies
A. Roy (1952)
SAFETY-FIRST AND HOLDING OF ASSETS, 20
Pablo Fernández (2019)
Is It Ethical to Teach That Beta and CAPM Explain Something?S&P Global Market Intelligence Research Paper Series
M. Dempsey (2013)
The Capital Asset Pricing Model (CAPM): The History of a Failed Revolutionary Idea in Finance?ARN Wiley-Blackwell Publishers Journals
Econometrica
(2019)
Fundamentale Bewertungskennzahlen zur Prognose von Asset-Märkten
Nikodem Szumilo, Pascal Gantenbein, Werner Gleißner, T. Wiegelmann (2016)
Predicting uncertainty: the impact of risk measurement on value of real estate portfoliosJournal of Property Research, 33
P. Phillips, Yangru Wu, Jun Yu (2007)
Explosive Behavior in the 1990s' NASDAQ: When Did Exuberance Escalate Asset Values?ERN: Hypothesis Testing (Topic)
Journal of Economic Dynamics and Control, 60
Journal of Property Investment and Finance, 24
L. Telser (1955)
Safety First and HedgingThe Review of Economic Studies, 23
(2017)
Value Investing: status quo und Perspektiven
José Azevedo-Pereira, D. Newton, Dean Paxson (2002)
UK Fixed Rate Repayment Mortgage and Mortgage Indemnity ValuationReal Estate Economics, 30
W. Gleissner (2011)
Risikoanalyse und Replikation für Unternehmensbewertung und wertorientierte Unternehmenssteuerung, 40
(2014)
Die angemessene Informationsgrundlage bei Entscheidung
Mareen Benning-Linnert (2018)
Preisblasen am deutschen Immobilienmarkt, 47
Review of Financial Studies, 1
Ralf Kellner, Daniel Rösch (2016)
Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model riskJournal of Economic Dynamics and Control, 68
O. Tidwell, P. Gallimore (2014)
The influence of a decision support tool on real estate valuationsJournal of Property Research, 31
J. Campbell, Jens Hilscher, J. Szilágyi (2006)
In Search of Distress RiskCorporate Finance: Governance
(2013)
Fundamentalrisiken und Aktienrenditen – auch hier gilt, mit weniger Risiko zu einer besseren Performance
J. Raftery, G. Runeson (1998)
Money illusion in consumer perception of housing transactionsJournal of Property Valuation and Investment, 16
The Journal of Finance, 63
Marco Wolfrum, Werner Gleißner (2009)
Cost of Capital and Valuation with Imperfect Diversification and Unsystematic RisksMicroeconomics: Intertemporal Choice & Growth eJournal
S. Kataoka (1963)
A Stochastic Programming ModelEconometrica, 31
M. Yiu, Jun Yu, Lu Jin (2013)
Detecting bubbles in Hong Kong residential property marketJournal of Asian Economics, 28
G. Favara, J. Imbs (2010)
Credit Supply and the Price of HousingAmerican Finance Association Meetings (AFA)
(2019)
Vermögensillusion: Preis-Wert-Verhältnis (P/W), Blasen und das unterschätzte Risiko von Kapitalanlagen im Niedrig-Zins-Umfeld
Matteo Rossi (2016)
The capital asset pricing model: a critical literature reviewGlobal Business and Economics Review, 18
Charles-Olivier Amédée-Manesme, Fabrice Barthélémy (2018)
Ex-ante real estate Value at Risk calculation methodAnnals of Operations Research, 262
R. Maurer, Frank Reiner, Steffen Sebastian (2004)
Characteristics of German Real Estate Return Distributions: Evidence from Germany and Comparison to the U.S. And U.K.European Economics: Macroeconomics & Monetary Economics eJournal
K. Abildgren, N. Hansen, A. Kuchler (2018)
Overoptimism and house price bubblesJournal of Macroeconomics
Andrei Shleifer, Robert Vishny (1995)
The Limits of ArbitrageNBER Working Paper Series
C. Goodhart, Boris Hofmann (2008)
House Prices, Money, Credit and the MacroeconomyMacroeconomics eJournal
Karsten Lieser, Alexander Groh (2011)
The Determinants of International Commercial Real Estate InvestmentThe Journal of Real Estate Finance and Economics, 48
G. Dorfleitner, Werner Gleißner (2016)
Valuing Streams of Risky Cashflows With Risk-value ModelsRisk Management eJournal
Real Estate Economics, 47
T. Havard (2001)
An experimental evaluation of the effect of data presentation on heuristic bias in commercial valuationJournal of Property Research, 18
Journal of Economic Perspectives—Volume 17, Number 1—Winter 2003—Pages 83–104 From Ef � cient Markets Theory to Behavioral Finance
International Journal of Housing Markets and Analysis, 9
C. Greiber, Ralph Setzer (2007)
Money and Housing: Evidence for the Euro Area and the Us
J. Stiglitz (1990)
Symposium on BubblesJournal of Economic Perspectives, 4
Yangru Wu (1995)
Are there rational bubbles in foreign exchange markets? Evidence from an alternative testJournal of International Money and Finance, 14
Charles-Olivier Amédée-Manesme, Michel Baroni, Fabrice Barthélémy, M. Mokrane (2015)
The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate PortfolioEconometric Modeling: Capital Markets - Portfolio Theory eJournal
Steven Bourassa, Martin Hoesli, Elias Oikarinen (2016)
Measuring House Price BubblesSwiss Finance Institute Research Paper Series
K. Lam, C. Yu, C. Lam (2009)
Support vector machine and entropy based decision support system for property valuationJournal of Property Research, 26
(2019)
Insolvenzrisiko, Rating und Unternehmenswert
The American Economic Review, 105
O. Blanchard, M. Watson (1982)
Bubbles, Rational Expectations and Financial MarketsCapital Markets: Asset Pricing & Valuation eJournal
N. French, L. Gabrielli (2004)
The uncertainty of valuationJournal of Property Investment & Finance, 22
Journal of Real Estate Literature, 17
Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Donald Keenan (2015)
Cornish-Fisher Expansion for Commercial Real Estate Value at RiskThe Journal of Real Estate Finance and Economics, 50
Denis Gromb, Dimitri Vayanos (2010)
Limits of ArbitrageReview of Financial Economics, 2
Michel Baroni, Fabrice Barthélémy, M. Mokrane (2006)
Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation
Wei‐Xing Zhou, D. Sornette (2005)
Is there a real-estate bubble in the US?Physica A-statistical Mechanics and Its Applications, 361
Y. Panagopoulos, Prodromos Vlamis (2010)
Real Estate Information Technology: Bank Lending, Real Estate Bubbles, and Basel IIJournal of Real Estate Literature
(2017)
Besonderheiten beim net asset value
Crises in the Economic and Financial Structure
C. Serrano-Cinca, B. Gutiérrez-Nieto (2013)
A decision support system for financial and social investmentApplied Economics, 45
G. Gigerenzer (2004)
Fast and frugal heuristics: The tools of bounded rationality
Mark Thoma (2013)
Bad advice, herding and bubblesJournal of Economic Methodology, 20
B. Diba, Herschel Grossman (1988)
Explosive Rational Bubbles in Stock PricesThe American Economic Review, 78
Hans-Hermann Francke, Heinz Rehkugler (2011)
Immobilienmärkte und Immobilienbewertung
Martin Hoesli, A. Bender, Elion Jani
Fame -international Center for Financial Asset Management and Engineering Monte Carlo Simulations for Real Estate Valuation Monte Carlo Simulations for Real Estate Valuation Monte Carlo Simulations for Real Estate Valuation
(2014)
Kapitalmarktorientierte Unternehmensbewertung: erkenntnisse der empirischen Kapitalmarktforschung und alternative Bewertungsmethoden
The Journal of Economic Perspectives, 19
The Journal of Economic Perspectives, 17
Charalambos Pitros, Yusuf Arayici (2016)
How to identify housing bubbles? A Decision Support Model22nd Annual European Real Estate Society Conference
Journal of Property Investment and Finance, 33
V. Lei, C. Noussair, C. Plott (2001)
NONSPECULATIVE BUBBLES IN EXPERIMENTAL ASSET MARKETS: LACK OF COMMON KNOWLEDGE OF RATIONALITY VS. ACTUAL IRRATIONALITYEconometrica, 69
Eleonora Granziera, S. Kozicki (2015)
House Price Dynamics: Fundamentals and ExpectationsReal Estate eJournal
P. Embrechts (2017)
A Darwinian View on Internal ModelsRegulation of Financial Institutions eJournal
F. Fabozzi, Keli Xiao (2018)
The Timeline Estimation of Bubbles: The Case of Real EstateUrban Economics & Regional Studies eJournal
(2017)
Risikotragfähigkeit, Risikotoleranz, Risikoappetit und Risikodeckungspotenzial
R. Arnott, P. Bernstein (2002)
What Risk Premium Is “Normal”?Financial Analysts Journal, 58
Kim Peterson (2010)
Development of Spatial Decision Support Systems for Residential Real EstateJournal of Housing Research
A. Meltzer (1995)
Monetary, Credit and (Other) Transmission Processes: A Monetarist PerspectiveJournal of Economic Perspectives, 9
Darren Hayunga, Peter Lung (2010)
Explaining Asset Mispricing Using the Resale Option and Inflation IllusionMicroeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal
The purpose of this paper is the development for a conceptual framework with regard to the risk management of real estate positions as foundation for transaction decisions. In this context, the current market environment and legal obligations are the main drivers for market participants to improve their risk management practices. Based on this environment, a practical but science backed model is outlined.Design/methodology/approachThe paper uses a conceptual approach based on the existing literature to develop a practical decision support system. In addition, the current risk management best practices are outlined to illustrate the corporate and methodological foundation for the decision support system.FindingsThe conceptual model development reveals a clear necessity for the supplementation of price to value measures. Additional measures are derived from theoretic considerations based on Monte Carlo Simulation approaches to the risk management of property investments. These additional risk metrics support investors in order make risk-appropriate decisions.Practical implicationsThe resulting decision support system can be applied to the risk management of transaction decisions. Here, the model can be applied in any investment decision to support portfolio management considerations from a comprehensive risk management perspective. Investors can implement the system as part of their transaction procedure.Originality/valueThe existing body of literature mainly focuses on macroeconomic ratios in the context of decision support. In contrast, the present paper reveals a corporate decision support system, which is supposed to foster decisions of market agents especially with regard to potential price and value divergences and tightening legal obligations.
Journal of Property Investment & Finance – Emerald Publishing
Published: Jun 8, 2020
Keywords: Real estate risk management; Asset price bubble; Risk aggregation; Property valuation; Downside risk; Transaction decisions
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.