dissertation contains seven papers. The first five are in the field of real estate finance, while the final two are asset pricing papers. The first paper explores equilibrium properties of lease rates. The framework is based on the concept of the term structure of lease rates, or the equilibrium rate as a function of lease length. In particular the analysis sheds light on the relationship between objective rental expectations and forward lease rates. The second, third and fourth papers in the dissertation consider the pricing of explicit real estate contracts. More specifically a type of indexed leases subject to a floor rate, leases with embedded renewal options and a real estate swap contract are analyzed and priced. The fifth paper considers the impact of index revision in the context of home equity insurance schemes. The idea of establishing markets allowing homeowners to hedge housing risk has been given significant attention in recent years. If contract settlement is based on a house price index, it is important to understand the scope of index revision, or the updating of earlier index estimates due to the arrival of new information. Using a rich data set, comprising all arm’s length housing transaction in Sweden during the period 1981-99, the revision properties of hedonic and repeat sales indexes are explored. The final two papers are in the field of asset pricing. The sixth paper revisits the consumption based asset pricing model using Swedish data. The seventh paper is a Monto Carlo study on the properties of different measures of misspecification under varying assumptions of asset return distributions. / Diss. Stockholm : Handelshögskolan, 2005 S. 3-9: sammanfattning, s. 11-177: 7 uppsatser
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hhs-515 |
| Date | January 2005 |
| Creators | Clapham, Eric |
| Publisher | Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), Stockholm : Economic Research Institute, Stockholm School of Economics |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Doctoral thesis, comprehensive summary, info:eu-repo/semantics/doctoralThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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