The value of risk in real estate markets
dc.contributor.author | Capozza, Dennis R. | en_US |
dc.contributor.author | Schwann, Gregory M. | en_US |
dc.date.accessioned | 2006-09-11T19:22:08Z | |
dc.date.available | 2006-09-11T19:22:08Z | |
dc.date.issued | 1990-06 | en_US |
dc.identifier.citation | Capozza, Dennis R.; Schwann, Gregory M.; (1990). "The value of risk in real estate markets." The Journal of Real Estate Finance and Economics 3(2): 117-140. <http://hdl.handle.net/2027.42/47767> | en_US |
dc.identifier.issn | 0895-5638 | en_US |
dc.identifier.issn | 1573-045X | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/47767 | |
dc.description.abstract | In this article we test the urban asset pricing model of Capozza and Sick (1988) and focus on the empirical dimensions of the effects of risk on urban land prices. The effects of systematic and unsystematic risk are distinguished in the model which incorporates the value of the option to convert land to urban uses into the pricing of urban real estate. We find the value of systematic risk in our Canadian urban areas to be negative and highly statistically significant. We find that approximately 2.5 percent of the value of houses in our sample arises from systematic risk. In our sample, unsystematic risk is a larger proportion of total risk than systematic risk. Therefore, most of the effect of total risk may be ascribed to unsystematic risk. The effect of total risk on land prices is illustrated through the irreversibility premia estimates. These premia vary greatly in size and statistical significance. Thus, the effect of unsystematic risk is highly city specific. In the two regions where the irreversibility premia are statistically significant, it accounts for 22 percent and 53 percent of the average housing price; thus, unsystematic risk can be a very important determinant of housing prices. | en_US |
dc.format.extent | 1310447 bytes | |
dc.format.extent | 3115 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.language.iso | en_US | |
dc.publisher | Kluwer Academic Publishers; Springer Science+Business Media | en_US |
dc.subject.other | Economics / Management Science | en_US |
dc.subject.other | Regional Science | en_US |
dc.subject.other | Finance /Banking | en_US |
dc.title | The value of risk in real estate markets | en_US |
dc.type | Article | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | University of Michigan, Michigan Business School, 48109-1234, Ann Arbor, MI, USA | en_US |
dc.contributor.affiliationother | Center for Real Estate and Urban Economics, University of California, 94720, Berkeley, CA, USA | en_US |
dc.contributor.affiliationumcampus | Ann Arbor | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/47767/1/11146_2004_Article_BF00216587.pdf | en_US |
dc.identifier.doi | http://dx.doi.org/10.1007/BF00216587 | en_US |
dc.identifier.source | The Journal of Real Estate Finance and Economics | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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