Real Estate Papers

Document Type

Journal Article

Date of this Version

1-2009

Publication Source

The Journal of Real Estate Finance and Economics

Volume

38

Issue

1

Start Page

89

Last Page

103

DOI

10.1007/s11146-008-9144-0

Abstract

In this paper we offer direct evidence that financial intermediation does impact underlying asset markets. We develop a specific observable symptom of a banking system that underprices the put option imbedded in non-recourse asset-backed lending. Using a dataset for 19 countries and over 500 real estate investment trusts, we find that, following a negative demand shock, the “underpricing” economies experience far deeper asset market crashes than economies in which the put option is correctly priced.

Copyright/Permission Statement

The final publication is available at Springer via http://dx.doi.org/10.1007%2Fs11146-008-9144-0

Keywords

real estate bubble, mortgage lending put options, Asian financial crisis

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Date Posted: 27 November 2017

This document has been peer reviewed.