Testing the Dividend Pricing Hypothesis in Housing Markets: The Role of Risk

Feng, Guoliang

doi:10.2139/ssrn.2562775

Cited by 1 publication

(1 citation statement)

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“…According to this theory, in an efficient housing market, where there is the existence of a no-arbitrage equilibrium that equates total risk-adjusted housing returns in different markets, there is a trade-off between the capitalization rate and the future appreciation rate. In the specification used by Feng (2015) for estimating the capitalization rate by testing the DPH across the markets of different cities, the capitalization rate is a function of a vector representing the housing characteristics. Geltner et al (2007) claims that the capitalization rate is affected by the opportunity cost of assets, expectations of investors on increasing prices/rents, and the risk.…”

Section: Capitalization Rate's Influencing Risk Factors For Income Pr...mentioning

confidence: 99%

Capitalization Rate and Real Estate Risk Factors: An Analysis of the Relationships for the Residential Market in the City of Rome (Italy)

Manganelli,

Anelli,

Tajani

et al. 2024

Real Estate Management and Valuation

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The assessment of income-producing properties - considered as the bulk of the existing assets - has rapidly increased. An efficient assessment of the market value of this kind of properties requires an adequate involvement of the main risk factors of the local real estate market for the determination of the capitalization rate for the income approach application. The aim of the work is to identify the most significant local real estate risk factors related to the market, the tenant and the context on the residential capitalization rate. The development of a regressive methodological approach applied to the residential sector of the city of Rome (Italy) is proposed. The obtained results show the susceptibility of the analyzed capitalization rate to the variation of the local real estate risk factors, in particular the per capita income and the variation of the rental values, by also considering the influences of the exogenous shocks and the expectation of the investors. The practical implications of the work consist in the possibility for evaluators to assess the likely changes in the capitalization rate in different residential contexts if variations occur in the most influential local risk factors identified by the proposed model.

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Section: Capitalization Rate's Influencing Risk Factors For Income Pr...mentioning

confidence: 99%