Han-Suck Song

Improved price index for condominiums

This paper proposes a hedonic apartment price index construction method that can increase the quality of price index data for condominiums in Sweden. Currently, the public condominium price index that different actors usually refer to is based on mean and median prices per square metre. With access to a unique database with the most recent transactions data from real estate agents firms, I estimate alternative hedonic price indexes, and compare them both with each other, as well as with arithmetic mean and median price indexes.

A Survey of Policies that may Increase Access to Home Ownership for Low‐Income Households

This review article presents a systematic overview of strategies that may make home ownership affordable to more low‐income households. Home ownership has been regarded as the preferred choice of tenure by most OECD countries for many decades and has often been supported with a wide range of methods that make ownership economically attractive. There are four distinct time periods of a typical “housing career”: (1) down payment accumulation stage, (2) transaction stage, (3) ownership stage and (4) selling stage. Although home ownership rates have been on the increase globally since the Second World War, recent signs indicate that this trend has been halted. However, it is argued that little is known on the actual effectiveness of most of the described policies and that a set of policies, focusing on at least the first three stages above, is needed should a government wish to encourage home ownership. Moreover, direct subsidies and grants are probably not very interesting considering the weak financial situation of most governments. Thus, selected policies would probably focus on the ability of the households to signal their characteristics and on strengthening various insurance markets so that they become open to more households at a reasonable price.

Is energy performance capitalized in office building appraisals

Purpose: Since 2009, all commercial buildings in Sweden should have undergone an energy performance rating in accordance with the European Union directive on the Energy Performance of Buildings. Th ...

Determinants of mutual fund flows

The purpose of this paper is to study the determinants of aggregate fund flows to both equity and hybrid mutual funds. We test three hypotheses that help explaining the relationship between mutual fund flows and stock market returns, namely; the feedback-trader hypothesis, the price-pressure hypothesis and the information-response hypothesis. Our study relies on Swedish quarterly data on mutual fund flows over the period 1998 to 2013. The methodology is two-fold; through our structural models (AR(1)) we can say something regarding the relationship between mutual fund flows and financial macro variables. The analysis is further strengthened by utilizing a vector autoregressive model (VAR) to test for Granger causality in order to determine the order of events. Similar to both Warther (1995) and Jank (2012), we only find support for the information-response hypothesis. Additionally, we find new financial variables that have predictive power in determining mutual fund flows, namely; market fear (VIX), exchange rate, households’ expectation regarding inflation as well as outflows from mutual bond funds. Our study contributes to the body of literature in two ways. First, it complements recent findings on determinants of mutual fund flows but we also add to the knowledge by included new macro financial variables describing the real economy. Secondly, the vast majority of previous studies have used US data, we add to that a deeper understanding of determinants of mutual fund flows in smaller economies by using Swedish data.

An explanation of capital structure of China's listed property firms

Purpose – The purpose of this paper is to investigate the determinants of the capital structure of listed property firms in China. Design/methodology/approach – The study is based on quantitative methods such as dynamic panel data models and a panel data set containing financial and accounting data for all listed property companies from 2006 to 2010 in China. Findings – The findings confirm that the state-own shares, the fixed asset values, the total size of assets and profitability have a positive and significant impact on the leverage ratio of listed property firms in China. The negative impact of the tax shields and the currency ratio, and significant impact of state-own shares on capital structure cannot be explained by existing capital structure theory but the unique property market regulation environment and market conditions in China. Research limitations/implications – The findings confirm the applicability of trade-off theory (except for the correlation between leverage and the tax shield) on pro...

Regional House Price Index Construction - The Case Of Sweden

The academic literature on the construction of regional house price indexes usually uses geographic areas whose boundaries are administratively drawn. However such administrative regions might not be optimal for the construction of regional price indexes. When producing housing price indexes, we often encounter problems with insufficient number of observations. One way to remedy this problem is to estimate a quarterly index instead of a monthly index. Another possible way to mitigate the thin markets problem is to construct indexes for geographically aggregated regions. However, the literature that discusses methods of dealing with the problem of thin markets and especially geographical aggregation is very rare. The goal of this paper is to construct a housing price index for a major part of Sweden, and to construct price index series for a number of regions. The number of regions, and how their boundaries should be created in order to construct reliable regional price indexes, is however an open question. We apply traditional hedonic methodology in order to estimate house price indexes for both predefined regions whose boundaries are based on a division of labor markets in Sweden, as well as a division of regions based on statistical cluster analysis. The results from this study suggest that regions should be clustered together based on regional price levels and/or price development as clustering variables. If only geographical proximity is used as clustering variable, our computations show that there is a high risk that we end up with some clusters having large standard errors, which in turn might result in inaccurate indexes.

VALUATION OF REAL OPTIONS IN INCOMPLETE MODELS – AN IMPLIED YIELD APPROACH

In many applications of real options there is an assumption of complete capital markets. For the perpetual timing option this means that if the underlying asset does not pay out any cash flows, then there is no finite optimal time at which the investment should be undertaken. In contrast, when the market is incomplete there is a possibility of having a finite optimal stopping time even in the cases when the underlying asset does not pay out any cash flows. We discuss the incomplete case in models driven by both Brownian motion(s) and a Poisson process and connect it with the concept of an implied yield. The implied yield will in these models extend the concept of a monetary yield (i.e. a yield that represents the fraction of the value of an asset paid out as a cash flow). Several examples of incomplete market models where there could be a finite optimal time to invest are given.