Leon Shilton

The Avenue Effect, Landmark Externalities, and Cubic Transformation: Manhattan Office Valuation

A functional form for the valuation of office buildings is a third-order function that replicates the constrained cost function in which one of the inputs, land, is fixed. The third-order transformation improves a hedonic regression pricing model and reduces the autocorrelation. The presence of neighborhood landmarks, selected avenue address, and building size influence the office building value. The data set includes 103 midtown Manhattan office building sales transactions from 1980 to first quarter 1990.

Headquarters, Office Employment, and the Wave of Urbanization in the New York City Region

Hierarchical theory suggests that high-density office activity, such as corporate headquarters, epitomizes the concept of agglomeration. This research tests whether office employment in a metropolitan area agglomerates around suburban nodes of specialized office and corporate headquarter activity or if office employment change shifts in response to the wave of urbanization. The location of the Fortune 500 manufacturing and service headquarters and the ratio profiles of office employment within each county are used in the test. We conclude that headquarters are not located in specialized office employment nodes. Rather, the office employment becomes specialized as the county becomes more urbanized.

Random Walks and the Cointegration of the ACLI and NCREIF

Do NCREIF returns influence commercial mortgage underwriters when they adjust capitalization rates? Are the ACLI capitalization series and the NCREIF return series cointegrated at the national and the smaller geographic sub-division levels? This research uses a two-step procedure to test for cointegration. First, the Phillips-Perron unit-root procedure must show that each series is a unit-root random walk. Previous research usually has assumed that these series are random walks, with the implication that the commercial mortgage market is efficient. Second, the Phillips-Ouliaris test of the residuals of a function of the two series determines the possibility of cointegration. At the national level and for the Northeast and Pacific regions the two series are random walks and cointegrated. In other geographic sub-divisions, neither or only one series is a random walk and therefore the data does not support a relationship. The lack of functional relationships in four of the six smaller geographic regions suggests that underwriters are not obtaining the NCREIF information or are ignoring it. The lack of random walks with the implication about capital-market efficiency invites further research. Copyright American Real Estate and Urban Economics Association.