IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2007_156.html
   My bibliography  Save this paper

Pricing Inefficiencies in Real Estate Swaps

Author

Listed:
  • Gianluca Marcato
  • Colin Lizieri
  • Colin Lizieri
  • Ogden
  • Paul Ogden

Abstract

Swap contracts in financial markets are normally priced assuming (either strong or weak) market efficiency. A recent study by Baum, Lizieri and Marcato [2006] highlighted the importance of inefficiencies for total return swap contracts in real estate markets. After identifying the main inefficiencies linked to the investment in the underlying asset, we quantify their pricing for a swap contract between real estate total returns and a LIBOR rate. We also identify the main boundaries around which, trading is still rationale for different type of contracts and investors. We find that confidence intervals around the theoretical price are inversely proportional to the length of the swap contract. They also vary depending upon the underlying asset and the type of investor acting either as a buyer or a seller.

Suggested Citation

  • Gianluca Marcato & Colin Lizieri & Colin Lizieri & Ogden & Paul Ogden, 2007. "Pricing Inefficiencies in Real Estate Swaps," ERES eres2007_156, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2007_156
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2007-156
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    Statistics

    Access and download statistics

    Corrections

    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:arz:wpaper:eres2007_156. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.