IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb373/200319.html
   My bibliography  Save this paper

Immobilienbewertung mit dem Realoptionsverfahren: Eine Umsetzungsstudie

Author

Listed:
  • Brenner, Steffen
  • Härdle, Wolfgang Karl
  • Schulz, Rainer

Abstract

Die vorliegende Studie untersucht den Realoptionsansatz als Bewertungsverfahren für unentwickelte Immobilien. Im Gegensatz zu klassischen Bewertungsverfahren berücksichtigt das Realoptionsverfahren explizit die Unsicherheit zukünftiger Mieterträge und die daraus folgenden Opportunitätskosten einer sofortigen und irreversiblen Investition. Der empirische Teil der Studie basiert auf einem Datensatz von zwölf Grundstücken, für die Sachverständigengutachten und Transaktionspreise vorliegen. Wir vergleichen die Güte der verschiedenen Bewertungsverfahren bezüglich ihrer Fähigkeit, Transaktionspreise vorherzusagen. Im Vergleich zum Residualwert scheint das Realoptionsverfahren vorteilhaft, da es in den Fällen eines negativen bzw. geringen Residualwertes deutlich höhere und plausiblere Werte liefert. Die Vorhersagegüte des Vergleichswertverfahrens ist allerdings noch besser. Das schlechtere Abschneiden des Realoptionsverfahrens kann damit erklärt werden, dass die Volatililät der zukünftigen Erträge unterschätzt wird. Darauf deuten hohe implizierte Volatilitäten hin. Zudem werden weitere Realoptionen auf Erweiterung und Umnutzung vernachlässigt, die den Wert eines Grundstücks erhöhen können. Diese Optionsprämien werden bei Bewertungen mit dem Vergleichswertverfahren implizit berücksichtigt.

Suggested Citation

  • Brenner, Steffen & Härdle, Wolfgang Karl & Schulz, Rainer, 2003. "Immobilienbewertung mit dem Realoptionsverfahren: Eine Umsetzungsstudie," SFB 373 Discussion Papers 2003,19, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:200319
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/22234/1/dpsfb200319.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Pindyck, Robert S, 1991. "Irreversibility, Uncertainty, and Investment," Journal of Economic Literature, American Economic Association, vol. 29(3), pages 1110-1148, September.
    2. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    3. Quigg, Laura, 1993. "Empirical Testing of Real Option-Pricing Models," Journal of Finance, American Finance Association, vol. 48(2), pages 621-640, June.
    4. Patel, Kanak & Sing, Tien Foo, 2000. "Implied Volatility in the U.K. Commercial Property Market: Empirical Evidence Based on Transaction Data," The Journal of Real Estate Finance and Economics, Springer, vol. 20(1), pages 5-24, January.
    Full references (including those not matched with items on IDEAS)

    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.
    1. Sandri, Serena & Schade, Christian & Mußhoff, Oliver & Odening, Martin, 2010. "Holding on for too long? An experimental study on inertia in entrepreneurs' and non-entrepreneurs' disinvestment choices," Journal of Economic Behavior & Organization, Elsevier, vol. 76(1), pages 30-44, October.
    2. Liang Peng & Thomas G. Thibodeau, 2020. "Interest Rates and Investment: Evidence from Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 554-586, May.
    3. Steffen Brenner & Rainer Schulz & Wolfgang Härdle, 2007. "Realoptionen und Immobilienbewertung: Eine Umsetzungsstudie," Schmalenbach Journal of Business Research, Springer, vol. 59(8), pages 1002-1028, December.
    4. Xie, Feixue, 2009. "Managerial flexibility, uncertainty, and corporate investment: The real options effect," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 643-655, October.
    5. Sabet, Amir H. & Heaney, Richard, 2017. "Real options and the value of oil and gas firms: An empirical analysis," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 50-65.
    6. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
    7. Carlos Andrés Zapata Quimbayo, 2020. "OPCIONES REALES Una guía teórico-práctica para la valoración de inversiones bajo incertidumbre mediante modelos en tiempo discreto y simulación de Monte Carlo," Books, Universidad Externado de Colombia, Facultad de Finanzas, Gobierno y Relaciones Internacionales, number 138.
    8. Liu, Yang & Yang, Jinqiang, 2015. "Optimal investment of private equity," Finance Research Letters, Elsevier, vol. 14(C), pages 76-86.
    9. Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
    10. Wong, Kit Pong & Yi, Long, 2013. "Irreversibility, mean reversion, and investment timing," Economic Modelling, Elsevier, vol. 30(C), pages 770-775.
    11. Weaver, Robert D. & Moon, Yongma, 2010. "Private Labels: A Mechanism For Fulfilling Consumer Demand For Healthy Food?," 115th Joint EAAE/AAEA Seminar, September 15-17, 2010, Freising-Weihenstephan, Germany 116397, European Association of Agricultural Economists.
    12. Hjalmar Böhm & Michael Funke & Nikolaus A. Siegfried, 1999. "Discovering the Link between Uncertainty and Investment - Microeconometric Evidence from Germany," Quantitative Macroeconomics Working Papers 19906, Hamburg University, Department of Economics.
    13. Attanasi, Giuseppe Marco & Montesano, Aldo, 2010. "Testing Value vs Waiting Value in Environmental Decisions under Uncertainty," TSE Working Papers 10-154, Toulouse School of Economics (TSE).
    14. John P. Small & Henry Ergas, 1999. "The Rental Cost of Sunk and Regulated Capital," Econometrics Working Papers 9908, Department of Economics, University of Victoria.
    15. Gerard H. Kuper & Daan P. van Soest, 2006. "Does Oil Price Uncertainty Affect Energy Use?," The Energy Journal, , vol. 27(1), pages 55-78, January.
    16. Panagiotidis, Theodore & Printzis, Panagiotis, 2020. "What is the investment loss due to uncertainty?," Global Finance Journal, Elsevier, vol. 45(C).
    17. Zhou, Xi & Xiao, Min & Wu, Huiying & You, Jiaxing, 2024. "Does policy uncertainty travel across borders? Evidence from MNC subsidiary investment decisions," Journal of Banking & Finance, Elsevier, vol. 163(C).
    18. Miao, Jianjun & Wang, Neng, 2007. "Investment, consumption, and hedging under incomplete markets," Journal of Financial Economics, Elsevier, vol. 86(3), pages 608-642, December.
    19. Gürtler, Marc & Sieg, Gernot, 2006. "Crunch time: The optimal policy to avoid the "Announcement Effect" when terminating a subsidy," Working Papers FW24V2, Technische Universität Braunschweig, Institute of Finance.
    20. Santos, Lúcia & Soares, Isabel & Mendes, Carla & Ferreira, Paula, 2014. "Real Options versus Traditional Methods to assess Renewable Energy Projects," Renewable Energy, Elsevier, vol. 68(C), pages 588-594.

    More about this item

    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:zbw:sfb373:200319. 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: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sfhubde.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.