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資産価格と割引率のマイクロストラクチャの測定 ―資産価格の理論的基礎と計量経済学的接近―
https://doi.org/10.18901/00000320
https://doi.org/10.18901/00000320128b20b3-9055-4439-bc1a-b2fd490fe90f
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
No.21-1_清水千弘 (1.1 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-03-12 | |||||
| タイトル | ||||||
| タイトル | 資産価格と割引率のマイクロストラクチャの測定 ―資産価格の理論的基礎と計量経済学的接近― | |||||
| タイトル | ||||||
| タイトル | Measurement of Microstructure in Asset Prices and Discount Rate | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | jpn | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| ID登録 | ||||||
| ID登録 | 10.18901/00000320 | |||||
| ID登録タイプ | JaLC | |||||
| 著者名 |
清水, 千弘
× 清水, 千弘 |
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| 著者名（英） |
Shimizu, Chihiro
× Shimizu, Chihiro |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | While fluctuations in commercial property prices have an enormous impact on economic systems, the development of related statistics that can capture these fluctuations is one of the areas that is lagging the furthest behind. The reasons for this are that, in comparison to housing, commercial property has a high level of heterogeneity and there are extremely significant data limitations. Focusing on the Tokyo office market, this study estimated commercial property price indexes using the data available in the property market, and clarified discrepancies in commercial property price indexes based on differences in the method used to create them. Specifically, we estimated a quality-adjusted price index with the hedonic price method using property appraisal prices and transaction prices available for the JREIT market. In addition, we attempted to estimate a price index based on a present value model using revenues arising from property and discount rates. Here, along with the discount rates underlying the determination of property appraisal prices and transaction prices, we obtained discount rates using enterprise values that can be acquired from the J-REIT investment market, and estimated the respective risk premiums. First, the findings showed that, compared to risk premiums formed by the stock market, risk premiums when determining property appraisal prices change only relatively gradually, with the adjustment speed being especially slow while the market is contracting. As a result, these prices decline only slowly. They also showed that until the Lehman Shock, property market risk premiums formed by the stock market were at a lower level than risk premiums set when determining property appraisal prices and transaction prices, but following the Lehman Shock, the respective risk premiums converged toward the same level. | |||||
| 書誌情報 |
麗澤経済研究 en : Reitaku International Journal of Economic Studies 巻 21, 号 1, p. 33-50, 発行日 2013-03-10 |
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| 出版者 | ||||||
| 出版者 | 麗澤経済研究 | |||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 0919-6706 | |||||
