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Real options premia implied from recent transactions in the Greek real estate market

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Real options premia implied from recent transactions in the Greek real estate market. / Tsekrekos, Andrianos; Kanoutos, George.

In: Journal of Real Estate Finance and Economics, Vol. 47, No. 1, 07.2013, p. 152-168.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Tsekrekos, A & Kanoutos, G 2013, 'Real options premia implied from recent transactions in the Greek real estate market', Journal of Real Estate Finance and Economics, vol. 47, no. 1, pp. 152-168. https://doi.org/10.1007/s11146-011-9350-z

APA

Vancouver

Tsekrekos A, Kanoutos G. Real options premia implied from recent transactions in the Greek real estate market. Journal of Real Estate Finance and Economics. 2013 Jul;47(1):152-168. Epub 2011 Oct 1. doi: 10.1007/s11146-011-9350-z

Author

Tsekrekos, Andrianos ; Kanoutos, George. / Real options premia implied from recent transactions in the Greek real estate market. In: Journal of Real Estate Finance and Economics. 2013 ; Vol. 47, No. 1. pp. 152-168.

Bibtex

@article{7526ec73f47b40218b2d966d0cdc61c1,
title = "Real options premia implied from recent transactions in the Greek real estate market",
abstract = "This research is the first to examine the empirical predictions of a real option-pricing model on market values from the realty market of a Euro area country, namely Greece. Using a manually collected sample of land and property transaction prices, we demonstrate that, a model which incorporates the option to wait to develop land has explanatory power on observed prices over and above the intrinsic value from a simple discounted cash flow (DCF) approach. Recent land transactions in our sample seem to reflect a premium for the option to wait ({\textquoteleft}real option premium{\textquoteright}) that can be as high as 26.66%–52.38%, especially in the west and north suburbs of Athens. Estimates of annual volatility for specific properties, as implied by transaction prices, are found to range from 15% to 21%.",
keywords = "real options, urban land values, Greek real estate, development",
author = "Andrianos Tsekrekos and George Kanoutos",
year = "2013",
month = jul,
doi = "10.1007/s11146-011-9350-z",
language = "English",
volume = "47",
pages = "152--168",
journal = "Journal of Real Estate Finance and Economics",
issn = "0895-5638",
publisher = "Springer Netherlands",
number = "1",

}

RIS

TY - JOUR

T1 - Real options premia implied from recent transactions in the Greek real estate market

AU - Tsekrekos, Andrianos

AU - Kanoutos, George

PY - 2013/7

Y1 - 2013/7

N2 - This research is the first to examine the empirical predictions of a real option-pricing model on market values from the realty market of a Euro area country, namely Greece. Using a manually collected sample of land and property transaction prices, we demonstrate that, a model which incorporates the option to wait to develop land has explanatory power on observed prices over and above the intrinsic value from a simple discounted cash flow (DCF) approach. Recent land transactions in our sample seem to reflect a premium for the option to wait (‘real option premium’) that can be as high as 26.66%–52.38%, especially in the west and north suburbs of Athens. Estimates of annual volatility for specific properties, as implied by transaction prices, are found to range from 15% to 21%.

AB - This research is the first to examine the empirical predictions of a real option-pricing model on market values from the realty market of a Euro area country, namely Greece. Using a manually collected sample of land and property transaction prices, we demonstrate that, a model which incorporates the option to wait to develop land has explanatory power on observed prices over and above the intrinsic value from a simple discounted cash flow (DCF) approach. Recent land transactions in our sample seem to reflect a premium for the option to wait (‘real option premium’) that can be as high as 26.66%–52.38%, especially in the west and north suburbs of Athens. Estimates of annual volatility for specific properties, as implied by transaction prices, are found to range from 15% to 21%.

KW - real options

KW - urban land values

KW - Greek real estate

KW - development

U2 - 10.1007/s11146-011-9350-z

DO - 10.1007/s11146-011-9350-z

M3 - Journal article

VL - 47

SP - 152

EP - 168

JO - Journal of Real Estate Finance and Economics

JF - Journal of Real Estate Finance and Economics

SN - 0895-5638

IS - 1

ER -