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Erschienen in: The Journal of Real Estate Finance and Economics 1/2013

01.07.2013

Real Options Premia Implied from Recent Transactions in the Greek Real Estate Market

verfasst von: Andrianos Ε. Tsekrekos, George Kanoutos

Erschienen in: The Journal of Real Estate Finance and Economics | Ausgabe 1/2013

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Abstract

This research is the first to examine the empirical predictions of a real option-pricing model on market values from the realty market of a Euro area country, namely Greece. Using a manually collected sample of land and property transaction prices, we demonstrate that, a model which incorporates the option to wait to develop land has explanatory power on observed prices over and above the intrinsic value from a simple discounted cash flow (DCF) approach. Recent land transactions in our sample seem to reflect a premium for the option to wait (‘real option premium’) that can be as high as 26.66%–52.38%, especially in the west and north suburbs of Athens. Estimates of annual volatility for specific properties, as implied by transaction prices, are found to range from 15% to 21%.

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Fußnoten
1
The construction factors represent the number of m2’s that the owner of 1 m2 of land is allowed to develop in a given area. These are determined by the civil planning regulations of the Ministry of Environment, Energy and Climate Change (www.​ypeka.​gr), and so are the coverage factors, the proportion of the constructed m2’s that are allowed to constitute a built individual property.
 
2
This point is further analyzed in B. Hedonic Estimation section.
 
3
It should be noted that Table 7 reports, for each zoning category, the average option value and the average intrinsic value (in euros), and the average real option premium (and not the option premium of the average values).
 
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Metadaten
Titel
Real Options Premia Implied from Recent Transactions in the Greek Real Estate Market
verfasst von
Andrianos Ε. Tsekrekos
George Kanoutos
Publikationsdatum
01.07.2013
Verlag
Springer US
Erschienen in
The Journal of Real Estate Finance and Economics / Ausgabe 1/2013
Print ISSN: 0895-5638
Elektronische ISSN: 1573-045X
DOI
https://doi.org/10.1007/s11146-011-9350-z

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