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Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data
http://hdl.handle.net/2261/56492
http://hdl.handle.net/2261/56492997c9dcb-666d-4962-9c5e-831b5f89ba7a
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp066.pdf (284.0 kB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2015-05-11 | |||||
| タイトル | ||||||
| タイトル | Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classification Number: E3; G19 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | REIT | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | quality adjusted price index | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | hedonic regression | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Tobin’s q | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | risk premium | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Shimizu, Chihiro
× Shimizu, Chihiro× Diewert, W. Erwin× Nishimura, Kiyohiko G.× Watanabe, Tsutomu |
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| 著者所属 | ||||||
| 著者所属 | Reitaku University | |||||
| 著者所属 | ||||||
| 著者所属 | University of British Columbia | |||||
| 著者所属 | ||||||
| 著者所属 | University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | We propose a new method to estimate quality adjusted commercial property price indexes using real estate investment trust (REIT) data. Our method is based on the present value approach, but the way the denominator (i.e., the discount rate) and the numerator (i.e., cash flows from properties) are estimated differs from the traditional method. We run a hedonic regression to estimate the quality adjusted discount rate based on the share prices of REITs, which can be regarded as the stock market’s valuation of the set of properties owned by the REITs. As for the numerator, we use rental prices associated only with new rental contracts rather than those associated with all existing contracts. Using a dataset with prices and cash flows for about 400 commercial properties included in Japanese REITs for the period 2001 to 2013, we find that our price index signals turning points much earlier than an appraisal-based price index; specifically, our index peaks in the second quarter of 2007, while the appraisal-based price index exhibits a turnaround only in the third quarter of 2008. Our results suggest that the share prices of REITs provide useful information in constructing commercial property price indexes. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 2012～2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号：24223003) | |||||
| 書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 066, 発行日 2015-02 |
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| 出版者 | ||||||
| 出版者 | UTokyo Price Project | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ | |||||
