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  1. 紀要論文
  2. 経済社会総合研究センター Working Paper
  3. No.63

How Are Property Investment Returns Determined? — Estimating the Micro-Structure of Asset Prices, Property Income, and Discount Rates —

https://doi.org/10.18901/00000496
https://doi.org/10.18901/00000496
1fc28dc4-b596-4761-8ba4-a994a2322cdb
名前 / ファイル ライセンス アクション
wp63.pdf wp63 (2.1 MB)
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Item type 紀要論文 / Departmental Bulletin Paper(1)
公開日 2014-11-25
タイトル
タイトル How Are Property Investment Returns Determined? — Estimating the Micro-Structure of Asset Prices, Property Income, and Discount Rates —
言語 en
言語
言語 eng
キーワード
言語 en
主題Scheme Other
主題 Present Value Model
キーワード
言語 en
主題Scheme Other
主題 discount rate
キーワード
言語 en
主題Scheme Other
主題 quality-adjusted price index
キーワード
言語 en
主題Scheme Other
主題 hedonic approach
キーワード
言語 en
主題Scheme Other
主題 heterogeneity
キーワード
言語 en
主題Scheme Other
主題 Tobin’s q
キーワード
言語 en
主題Scheme Other
主題 Risk premium
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 10.18901/00000496
ID登録タイプ JaLC
著者名 清水, 千弘

× 清水, 千弘

WEKO 292
CiNii ID 9000014588899
NRID 1000050406667

清水, 千弘

ja-Kana シミズ, チヒロ

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著者名(英) Shimizu, Chihiro

× Shimizu, Chihiro

WEKO 915
NRID 1000050406667

en Shimizu, Chihiro

Search repository
抄録
内容記述タイプ Abstract
内容記述 How exactly should one estimate property investment returns? Investors in property aim to maximize capital gains from price increases and income generated by the property. How are the returns on investment in property determined based on its characteristics, and what kind of market characteristics does it have? Focusing on the Tokyo commer-cial property market and residential property market, the purpose of this paper was to break down and measure the micro-structure of property investment returns in as much detail as possible. In Japan, the characteristics of property suitable for investment are dubbed “kin-shin-dai” (close, new, and large). That is, investors believe that invest-ment returns are high for properties that are very convenient in terms of transportation (close to the city center), new buildings (relatively new properties), and large-scale real estate (large design or floor space). Therefore, this paper first measured how the asset prices, income, and asset price-income ratios (discount rate) that comprise property in-vestment returns change based on differences in these property characteristics. Second, the reliability/distortion of information that can be observed on the property investment market was measured. Much of the information available on the property investment market is property price information determined by property appraisers. However, it is known that property appraisal prices are unable to appropriately reflect actual property market trends. Therefore, using enterprise value data for REIT investment management companies comprised of REIT investment unit prices (share prices) available on capital markets, this paper proposed a method of estimating property investment returns cor-responding to changes in capital markets, as well as clarifying the distortion in property investment returns that are formed based on property appraisal prices. Looking at the results obtained, for commercial property, as building floor space increased, it had the effect of raising both the income and price while lowering the discount rate. In par-ticular, compared to residential property, the results showed that a higher investment return can be obtained from commercial property by investing in larger-scale properties. Building age lowered the asset price and income for both commercial and residential property, but the effect was especially strong for residential property. Furthermore, there was a significant divergence between discount rates and risk premiums formed by asset markets and those formed by capital markets, and the results showed that a greater difference was generated while the market was shrinking. This finding suggests that looking at property investment returns that are estimated based on asset market information alone could lead to erroneous investment decisions.
書誌情報 麗澤大学経済社会総合研究センター Working Paper
en : RIPESS Working Paper

号 63, p. 1-22, 発行日 2014-07-11
出版者
出版者 RIPESS麗澤大学経済社会総合研究センター
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