Risk aversion and urban land development options

被引：1
|
作者：
Fan, Gang-Zhi [1 ]
Pu, Ming [2 ]
Sing, Tien Foo [3 ]
Zhang, Xiaoyu [4 ]
机构：
[1] Guangzhou Univ, Sch Management, Guangzhou, Peoples R China
[2] Southwestern Univ Finance & Econ, Sch Insurance, Chengdu, Peoples R China
[3] Natl Univ Singapore, Dept Real Estate, Inst Real Estate & Urban Studies, 4 Architecture Dr, Singapore 117566, Singapore
[4] Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou, Peoples R China
来源：
REAL ESTATE ECONOMICS | 2022年 / 50卷 / 03期
关键词：
investment threshold; Markov‐ switching arch; optimal development timing; real option value; risk aversion; urban land development;
D O I：
10.1111/1540-6229.12346
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study empirically tests the volatility effects on land development options using the Singapore's government land sales data from 1996 to 2018. We find that development land option premiums increase by 5% on average with one standard deviation increase in conditional volatility, which is consistent with the prediction of the standard real options model. However, the high volatility effects on development options are negative in an extremely high volatility state, and risk-averse developers exercise development options earlier than that predicted by the risk-neutral model. The reduction in real option premium in an extremely high volatility state is not explained by market competition and risk-mitigating mechanism. The results reveal the real estate developers' behavior change in different states of market volatility.
引用
收藏
页码：767 / 788
页数：22
相关论文
共 50 条
  • [1] Land ownership risk and urban development
    Miceli, TJ
    Sirmans, CF
    Turnbull, GK
    [J]. JOURNAL OF REGIONAL SCIENCE, 2003, 43 (01) : 73 - 94
  • [2] TOTAL RISK-AVERSION AND THE PRICING OF OPTIONS
    BARRON, EN
    JENSEN, R
    [J]. APPLIED MATHEMATICS AND OPTIMIZATION, 1991, 23 (01): : 51 - 76
  • [3] The researches on the implied risk aversion from options
    Zhang, GF
    Yu, P
    [J]. PROCEEDINGS OF THE 2004 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS 1 AND 2, 2004, : 2376 - 2380
  • [4] Risk aversion and flexibility options in electricity markets
    Moebius, Thomas
    Riepin, Iegor
    Muesgens, Felix
    van der Weijde, Adriaan H.
    [J]. ENERGY ECONOMICS, 2023, 126
  • [5] Risk Aversion, Indivisible Timing Options, and Gambling
    Henderson, Vicky
    Hobson, David
    [J]. OPERATIONS RESEARCH, 2013, 61 (01) : 126 - 137
  • [6] Real options with constant relative risk aversion
    Henderson, V
    Hobson, DG
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2002, 27 (02): : 329 - 355
  • [7] LAND TAXATION, NEUTRALITY, AND RISK AVERSION
    DOUGLAS, RW
    [J]. PUBLIC FINANCE QUARTERLY, 1979, 7 (02): : 231 - 237
  • [8] Land policy options for urban Tanzania
    Kironde, JML
    [J]. LAND USE POLICY, 1997, 14 (02) : 99 - 117
  • [9] Risk aversion and block exercise of executive stock options
    Grasselli, Matheus
    Henderson, Vicky
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2009, 33 (01): : 109 - 127
  • [10] The Risk Aversion Strategies of Urban Space Expansion
    Zhao Tianyu
    Cheng Wen
    [J]. SELECTED PAPERS FROM IDRC ON RISK REDUCTION AND DISASTER MANAGEMENT, 2010, 1 : 316 - 321
12345