Marketing Period Risk in a Portfolio Context: Comment and Extension
Author
Abstract
Suggested Citation
DOI: 10.1007/s11146-007-9086-y
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Zhenguo Lin & Kerry D. Vandell, 2007.
"Illiquidity and Pricing Biases in the Real Estate Market,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 35(3), pages 291-330, September.
- Zhenguo Lin & Kerry D. Vandell, 2006. "Illiquidity and Pricing Biases in the Real Estate Market," Working Paper 8577, USC Lusk Center for Real Estate.
- Robert C. Merton, 2005.
"Theory of rational option pricing,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288,
World Scientific Publishing Co. Pte. Ltd..
- Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Michel Glower & Donald R. Haurin & Patric H. Hendershott, 1995. "Selling Price and Selling Time: The Impact of Seller Motivation," NBER Working Papers 5071, National Bureau of Economic Research, Inc.
- Shaun Bond & Soosung Hwang & Zhenguo Lin & Kerry Vandell, 2007. "Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 447-461, May.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Paul M Anglin & Yanmin Gao, 2011. "Integrating Illiquid Assets into the Portfolio Decision Process," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(2), pages 277-311, June.
- Gianluca Marcato, 2018. "Liquidity Pricing of Illiquid Assets," ERES eres2018_215, European Real Estate Society (ERES).
- Matthew Cypher & S. McKay Price & Spenser Robinson & Michael J. Seiler, 2018.
"Price Signals and Uncertainty in Commercial Real Estate Transactions,"
The Journal of Real Estate Finance and Economics, Springer, vol. 57(2), pages 246-263, August.
- Matthew Cypher & S McKay Price & Spenser Robinson & Michael J. Seiler, 2017. "Price Signals and Uncertainty in Commercial Real Estate Transactions," Framed Field Experiments 00626, The Field Experiments Website.
- Haß, Lars Helge & Johanning, Lutz & Rudolph, Bernd & Schweizer, Denis, 2012. "Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 90-107.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ping Cheng & Zhenguo Lin & Yingchun Liu, 2008. "A Model of Time‐on‐Market and Real Estate Price Under Sequential Search with Recall," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(4), pages 813-843, December.
- Ping Cheng & Zhenguo Lin & Yingchun Liu, 2010. "Home Price, Time-on-Market, and Seller Heterogeneity Under Changing Market Conditions," The Journal of Real Estate Finance and Economics, Springer, vol. 41(3), pages 272-293, October.
- Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
- Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
- Thomas Kokholm & Martin Stisen, 2015. "Joint pricing of VIX and SPX options with stochastic volatility and jump models," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 16(1), pages 27-48, January.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007.
"Optimal stopping made easy,"
Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, University Library of Munich, Germany.
- Robert C. Merton, 2006. "Paul Samuelson and Financial Economics," The American Economist, Sage Publications, vol. 50(2), pages 9-31, October.
- Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.
- Sergio Zúñiga, 1999.
"Modelos de Tasas de Interés en Chile: Una Revisión,"
Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
- Sergio Zúñiga, 1999. "Modelos de Tasas de Interés en Chile: Una Revisión," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
- Hortensia Fontanals Albiol & Sergio Zuniga, 2002. "Modelos de tasas de interes en Chile: una revision," Working Papers in Economics 87, Universitat de Barcelona. Espai de Recerca en Economia.
- Zhijian (James) Huang & Yuchen Luo, 2016. "Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market," JRFM, MDPI, vol. 9(2), pages 1-20, May.
- René Garcia & Richard Luger & Eric Renault, 2000.
"Asymmetric Smiles, Leverage Effects and Structural Parameters,"
Working Papers
2000-57, Center for Research in Economics and Statistics.
- René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
- GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Mastinšek Miklavž, 2015. "Reduction of the Mean Hedging Transaction Costs / Redukcija povprečnih transakcijskih stroškov hedging tehnike," Naše gospodarstvo/Our economy, Sciendo, vol. 61(5), pages 23-31, October.
- Jérôme Detemple, 1999. "American Options: Symmetry Properties," CIRANO Working Papers 99s-45, CIRANO.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
- Miao, Jianjun & Wang, Neng, 2007.
"Investment, consumption, and hedging under incomplete markets,"
Journal of Financial Economics, Elsevier, vol. 86(3), pages 608-642, December.
- Junjian Miao & Neng Wang, 2005. "Investment, Consumption and Hedging under Incomplete Markets," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-011, Boston University - Department of Economics, revised Sep 2006.
- Jianjun Miao & Neng Wang, 2007. "Investment, Consumption, and Hedging under Incomplete Markets," NBER Working Papers 13250, National Bureau of Economic Research, Inc.
- Jianjun Miao & Neng Wang, 2006. "Investment, consumption and hedging under incomplete markets," 2006 Meeting Papers 289, Society for Economic Dynamics.
- Jianjun Miao & Neng Wang, 2006. "Investment, Consumption, and Hedging under Incomplete Markets," CEMA Working Papers 459, China Economics and Management Academy, Central University of Finance and Economics.
- Jiyeon Yun & James M. Carson & David L. Eckles, 2023. "Executive compensation and corporate risk management," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 521-557, June.
- Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "European option pricing under the Student’s t noise with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 848-858.
- Jobst, Andreas A., 2014.
"Measuring systemic risk-adjusted liquidity (SRL)—A model approach,"
Journal of Banking & Finance, Elsevier, vol. 45(C), pages 270-287.
- Andreas Jobst, 2012. "Measuring Systemic Risk-Adjusted Liquidity (SRL): A Model Approach," IMF Working Papers 2012/209, International Monetary Fund.
- Thomas Theobald, 2015.
"Agent-based risk management – a regulatory approach to financial markets,"
Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 780-820, October.
- Thomas Theobald, 2012. "Agent-based risk management - A regulatory approach to financial markets," IMK Working Paper 95-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
More about this item
Keywords
Real estate; Illiquidity; Portfolio diversification; Marketing period risk;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:38:y:2009:i:2:p:183-191. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.