کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960338 | 929441 | 2012 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing of commercial real estate securities during the 2007–2009 financial crisis
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
We study the relative and absolute pricing of CMBX contracts (commercial real estate derivatives) during the recent financial crisis. Using a structural CMBX pricing model, we find little systematic mispricing relative to REIT equity and options. We do find short-term deviations from this relative pricing relationship that are statistically and economically significant. In particular, the CMBX market temporarily overreacts to news announcements. We provide evidence that this temporary mispricing is caused by price pressure due to hedging activities. Finally, an absolute pricing analysis provides no substantial evidence that CMBX contracts traded at fire sale levels during the crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 105, Issue 1, July 2012, Pages 37–61
Journal: Journal of Financial Economics - Volume 105, Issue 1, July 2012, Pages 37–61
نویسندگان
Joost Driessen, Otto Van Hemert,