New Frontiers in Real Estate Finance: The Rise of Micro Markets

Aggregate thinking in real estate financeThe emergence of micro-markets in real estate financeReferencesThe factorisation of commercial real estate: factor-based real estate derivativesIntroduction: a brief history of real estate derivativesFactors versus indicesModels of derivatives and real estate riskThe perfect world of CAPMReal estate risk is differentThe two realms of commercial real estateNarrow price index-based derivatives and other possible models of real estate derivativesFactor hedgesCombination hedges for commercial real estatePure factor hedges for commercial real estatePending issues with factor hedgesFactorisation: a nuclear approach in real estate financeFactors in commercial real estate analysis: epistemological foundation of factorisationThe real estate paradigm and factorsRatcliff and Graaskamp’s view of real estate analysisRole of factors in Weimer and Hoyt’s real estate analysisTeachings from urban land economics: a blueprint for a risk model of commercial real estateFactors in finance: an etymological approachFactors in financial risk managementNuclear Financial Economics according to William Sharpe (1995): building on Arrow-Debreu securitiesValue at Risk and factors in commercial real estateFactors in real estate financeMacro-factorsMETHODOLOGICAL ISSUESMACRO-FACTORS IN COMMERCIAL REAL ESTATE MODELS: LITERATURE REVIEWMicro-factorsHEDONIC PRICING MODELS AND THE ART OF MICRO-VARIABLES SELECTIONLOCATION IN SPATIAL HEDONIC MODELSMILES, COLE AND OUILKEY'S (1990) FIVE DETERMINANTS OF VALUEREAL ESTATE PRICING MODELS, CAPITALISATION RATES, AND MICRO-VARIABLESLearning from the real estate profession: factors in industryded researchTHE INVESTMENT PROPERTY DATABANK'S PLEA FOR MULTIFACTOR MODELS IN COMMERCIAL REAL ESTATETHE BLUNDELL RISK WEBINVESTMENT PROPERTY FORUM (IPF): INDIVIDUAL PROPERTY RISKLESSONS FROM THE REAL ESTATE INDUSTRY FOR ACADEMIC MULTIFACTOR MODELS OF COMMERCIAL REAL ESTATESynthesis: bottom-up versus top-down approaches to factors in commercial real estateRisk models and price dynamics in commercial real estateHoag’s (1980) model of commercial real estateConceptual framework for index construction from a property valuation functionHoag’s framework and factor-based real estate derivativesLecomte’s (2007) genetics-based risk model of commercial real estateBuildings as living organismsTotal returns as buildings’ complex quantitative traitModelling a building’s phenotype and genotypeA THREE-CHROMOSOME MODELGENE EXPRESSION AND INTERACTIONSMethodologies for modelling risk factors as interactionsFUNDAMENTALS OF TOTAL RETURN VARIANCE DECOMPOSITION AT POPULATION LEVELCORRELATION AND INTERACTION BETWEEN A PROPERTY ASSET'S GENOTYPE AND THE ENVIRONMENTAPPLICATION OF VARIANCE ANALYSIS AT THE PROPERTY LEVELPrice dynamics in commercial real estatePrice dynamics in the absence of a risk model of commercial real estateMETHODOLOGIES DERIVED FROM FINANCIAL ENGINEERING, MATHEMATICS, AND ECONOMETRICSGELTNER AND DE NEUFV1LLE (2018)’S EIGHT-FACTOR REAL ESTATE PRICE DYNAMICSThe genetics-based model and the irrelevance of classical random walk for commercial propertiesMarkets for trading factor-based real estate derivativesTheoretical background and challengesCash-settled market for factor derivativesCash-settled macro-factor derivativesCash-settled micro-factor derivativesIntrinsic shortcoming of a market for factor derivatives-2-4 Combinative model of factor-based real estate derivativesMarket for hedging effectivenessBasic principlesRisk mapping and risk scansPeriodic rebalancing for dynamic hedging strategiesA market for hedgersMarket for property avatars-4-1 Putting flesh to the genetics-based model-4.2 Hedging with property avatar derivativesPricing property avatarsProperty avatars and controlled experiments in real estate finance-4-5 Castles in the sky? Yes, but...NotesReferencesThe digitalisation of commercial real estate: smart space as real estate finance’s new assetIntroduction: the emergence of smart spacePricing models of smart buildings in smart environmentsSmart buildings as interactionsHedonic pricing model of smart buildings based on smart space’s layered structureActivity-based hedonic pricing model of smart buildingsDefining utility in smart real estate: decision or experienced?Property rights in smart environments: the advent of digital rights for smart buildingsThe advent of digital rights for smart buildings• Embedded technology as a trigger for a new type of property rights in smart real estate• Lockean Proviso and digital rights in smart buildings• Digital rights and the notion of boundaries in smart space• Divided ownership of digital rights in smart buildings• Digital rights and space users’ digital surrounding worlds• Digital rights and the need for digital governance in the real estate sectorEconomic foundations of digital rights in smart buildings Technologies empowering digital rights and their impact on the real estate sector’s digital strategies• The cloud computing paradigm• Strategic dimensions of technological choices in smart buildingsQuestions around space users’ digital surrounding worlds (Umwelts)NotesReferencesThe tokenisation of commercial real estate: tokens as a new tool in financial engineering applied to real assetsIntroduction: behind the hypeBasic principles of tokenisationTokenisation 101FractionalisationRole of blockchains and smart contracts in real estate tokenisationToken taxonomy: security, utility, and hybrid tokensSecurity tokens versus tokenised securitiesUtility tokens and hybrid tokensSingle real estate asset tokenisation: a critical analysisPotential benefits and challenges of single asset tokenisationConceptual contribution of single asset tokenisation to real estate financeSuggested applications of tokenisation in real estate financeIndex tokenisationUtility tokens for smart real estate: data tokensReferencesFinal remarks
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