CONDITIONAL ASSET PRICING IN EUROPEAN REAL ESTATE CAPITAL MARKETS

2010 ◽  
Keyword(s):  
Asset Pricing ◽  
Real Estate ◽  
Capital Markets ◽  
Conditional Asset Pricing

A Study on Investment Decision of Investors With Reference to Penetration of Mutual Funds in India

2016 ◽  
Vol 5 (2) ◽  
Author(s):  
Ratish C Gupta ◽  
Dr. Manish Mittal
Keyword(s):  
Decision Making ◽  
Real Estate ◽  
Mutual Funds ◽  
Capital Markets ◽  
Mutual Fund ◽  
Financial Services ◽  
Investment Decision ◽  
Fund Industry ◽  
Mutual Fund Industry ◽  
The Impact

The Indian mutual fund industry is one of the fastest growing and most competitive segments of the financial sector. The extent of under-penetration in the market is a sore point with the financial services industry, with a large amount of savings being channelized into fixed deposits, gold and real estate rather than the capital markets. The mutual fund industry is yet to spread its reach beyond Tier I cities. The top fifteen cities contribute to 85% of the pie, with the remaining 15% distributed among other cities. The study seeks to determine the impact of decision making of investors on current situation of mutual fund industry.

Outlook 2004: the paradox of real estate capital markets and space markets

2004 ◽  
Vol 3 (4) ◽  
pp. 365-374
Author(s):  
Marc Louargand ◽  
Michael Gately
Keyword(s):  
Real Estate ◽  
Capital Markets

Conditional Asset Pricing Model

2006 ◽  
pp. 137-187
Author(s):  
Sungho Choi ◽  
Rifat Gorener ◽  
John R. Norsworthy
Keyword(s):  
Asset Pricing ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Conditional Asset Pricing

A comparative computational and behavioral analysis of real estate performance

2017 ◽  
Vol 35 (3) ◽  
pp. 290-320 ◽  
Author(s):  
James R. DeLisle ◽  
Terry V. Grissom
Keyword(s):  
Asset Pricing ◽  
Financial Crisis ◽  
Real Estate ◽  
State Space ◽  
Hyperbolic Discounting ◽  
Time Preferences ◽  
Content Type ◽  
Agent Behavior ◽  
Market State

Purpose The purpose of this paper is to investigate changes in the commercial real estate market dynamics as a function of and conditional to the shifts in market state-space environment that can influence agent responses. Design/methodology/approach The analytical design uses a comparative computational experiment to address the performance of property assets in the current market based on comparison with prior structural patterns. The latent variables developed across market sectors are used to test agent behavior contingent on the perspectives of capital asset pricing conditionals (CAPM) and a behavioral momentum/herd construct. The state-space momentum analysis can assist the comparative analysis of current levels and shifts in property asset performance given the issues that have arisen with the financial crisis of 2007-2009. Findings An analytic approach is employed framed by a situation-dependent model. This frame considers risk profiles characterizing the perspectives and preferences guiding a delineated market state. This perspective is concerned with the possibility of shifts in market momentum and representativeness conditioning investor expectations. It is observed that the current market (post-crisis) has changed significantly from the prior operations (despite the diversity observed in prior market states). The dynamics of initial findings required an additional test anchored to the performance of the general capital market and the real economy across time. This context supports the use of a modified CAPM model allowing the consideration of opportunity cost in a space-time dynamic anchored with the consideration of equity, debt, riskless asset and liquidity options as they varied for the representative agents operating per market state. Research limitations/implications This paper integrates neoclassical and behavioral economic constructs. Combines asset pricing with prospect theory and allows the calculation of endogenous time-preferences, risk attitudes and formulation and testing of hyperbolic discounting functions. Practical implications The research shows that market structure and agent behavior since the financial crisis has changed from the investment and valuation perspectives operating as observed and measured from 1970 up to 2007. In contradiction to the long-term findings of Reinhart and Rogoff (2008), but in compliance with common perspectives and decision heuristics often employed by investors, this time things have changed! Discounting and expected rates of return are dynamic and are hyperbolic and not constant. Returns and investment for property assets are situational (market state-space specific) and offer a distinct asset class, not appropriately estimated by many of the traditional financial models. Social implications Assist in supporting insights to measure in errors and equations that result in inefficient resource allocation and beta discounting that supports the financial crisis created by assets subject to long-term decision needs (delta function). Originality/value The paper offers a combination and comparison of neoclassic asset pricing using a modified CAPM (two-pass) approach within the structural frame of Kahneman and Tversky’s (1979) prospect theory. This technique allows the consideration of the effects of present bias, beta-delta functions and the operation of the Allais Paradox in market states that are characterized by gains and losses and thus risk aversion and risk seeking behavior. This ability for differentiation allows for the development of endogenous time-preferences and hyperbolic discounting factors characteristic of commercial property investment.

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