发表状态 | 已发表Published |
题名 | Heterogeneous agents and the indifference pricing of property index linked swaps |
作者 | |
发表日期 | 2012 |
发表期刊 | Journal of Real Estate Finance and Economics
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ISSN/eISSN | 0895-5638 |
卷号 | 44期号:4页码:543-569 |
摘要 | Swap spreads predicted by the traditional risk-neutral valuation models are much lower than the quoted market spreads for property index linked swaps (Patel and Pereira, Journal of Real Estate Finance and Economics, 36:5-21, 2008). This paper attempts to develop a utility indifference-based model for evaluating the reservation spreads of swap receivers and payers based on the principle of expected wealth utility equivalence rather than the traditional risk-neutral argument. Under the proposed model framework, this paper addresses the determination of the swap spreads. When the incompleteness of real estate markets and heterogeneity of representative agents are taken into consideration, it is shown that the agents' risk preferences and heterogeneous beliefs about expected future property returns are the remarkable determinants for the swap spreads. Our model also identifies market power and the settlement rules in the event of counterparty default as important factors in determining the swap spreads. Our model provides a possible interpretation for the difference between the spreads predicted by the traditional models and the actual market spreads. © Springer Science+Business Media, LLC 2011. |
关键词 | Heterogeneous agents Indifference pricing Market clearing spreads Reservation swap spreads Total return swap |
DOI | 10.1007/s11146-010-9298-4 |
URL | 查看来源 |
收录类别 | SSCI |
语种 | 英语English |
WOS研究方向 | Business & Economics ; Urban Studies |
WOS类目 | Business, Finance ; Economics ; Urban Studies |
WOS记录号 | WOS:000302407000006 |
Scopus入藏号 | 2-s2.0-84859446003 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/12592 |
专题 | 个人在本单位外知识产出 |
通讯作者 | Fan, Gang-Zhi |
作者单位 | 1.School of Insurance,Southwestern University of Finance and Economics,55 Guanghuacun Street,Chengdu 610074,China 2.Department of Real Estate Studies,Konkuk University,1 Hwayang-dong, Gwangjin-gu,Seoul 143-701,South Korea 3.Department of Real Estate,National University of Singapore,4 Architecture Drive,Singapore 117566,Singapore |
推荐引用方式 GB/T 7714 | Pu, Ming,Fan, Gang-Zhi,Ong, Seow Eng. Heterogeneous agents and the indifference pricing of property index linked swaps[J]. Journal of Real Estate Finance and Economics, 2012, 44(4): 543-569. |
APA | Pu, Ming, Fan, Gang-Zhi, & Ong, Seow Eng. (2012). Heterogeneous agents and the indifference pricing of property index linked swaps. Journal of Real Estate Finance and Economics, 44(4), 543-569. |
MLA | Pu, Ming,et al."Heterogeneous agents and the indifference pricing of property index linked swaps". Journal of Real Estate Finance and Economics 44.4(2012): 543-569. |
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