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Essays on Empirical applications of Real Estate Economics and Finance

Time: Fri 2022-04-22 09.00

Location: U1, Brinellvägen 26, Stockholm

Video link: https://kth-se.zoom.us/j/64866810632

Language: English

Subject area: Real Estate and Construction Management

Doctoral student: Mo Zheng , Fastigheter och byggande, KTH-Royal Institute of Technology

Opponent: Docent Shahiduzzaman Quoreshi, Blekinge Tekniska Högskola

Supervisor: Docent Han-Suck Song, Fastighetsekonomi och finans; Professor Mats Wilhelmsson, Fastighetsekonomi och finans; PhD Fredrik Armerin, Fastighetsekonomi och finans

QC 20220331

Abstract

This doctoral thesis is a collection of four essays that utilize cross-sectional and time-series econometric methods in real estate economics and finance. The first two essays apply econometric modeling to the residential market focusing on hedonic regression analysis, while the other two essays apply financial econometric modeling on an index of listed real estate stocks, and house price index indices. The first essay, “The effects of redlining in Singapore’s red-light district”, analyses the red-light phenomenon in relation to sales prices and rent prices, and tests the redlining effect on property markets. The second essay, “Buyer’s willingness to pay for dwellings with different orientations”, applies spatial hedonic econometric models to estimate the willingness of buyers to pay for dwellings with different orientations in Beijing. Essay three, “Modelling and forecasting volatility of daily listed real estate returns focusing on periods of economic crises”, discusses the univariate dynamic volatility behavior of Swedish daily listed real estate sector index returns and analyses the existence and degree of long-range dependence or asymmetric news effect focusing on periods of economic crises in the past four decades with various volatility models. The last essay, “Estimating VaR for house price indices - one suit doesn't fit all“, applies a wide range of value-at-risk models to measure the downside risks of house prices in different countries.

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