College of Business | Risk Management/Insurance, Real Estate & Business Law

WORKING PAPERS

"A Multiple Factor Asset Pricing Model for Commercial Mortgages." Cynthia Holmes, 2006.
Abstract: This paper contributes to the commercial mortgage literature and the multiple factor asset-pricing literature by creating a model for commercial mortgage returns. The result of an initial analysis using the five Fama and French (1993) factors is that the sensitivities of commercial mortgage returns and corporate bond returns to all factors are statistically indistinguishable. However, further analysis was performed using factors associated with real estate returns, and the result is that unlike corporate bonds, commercial mortgage returns are sensitive to the factor that measures growth in personal consumption.
"Controlling for Variable Liquidity and Selection Bias in Indices of Private Asset Market Values." Jeffrey Fisher, Dean H. Gatzlaff, David Geltner, and Donald Haurin, 2006.
"The Title Insurance Industry: Examining a Decade of Growth." Randy Dumm, David Macpherson, and G. Stacy Sirmans, 2006.
Abstract: The real estate industry has seen remarkable growth over the past ten years with double-digit growth in both sales volume and selling price occurring in the past five years. As a result of this rapid expansion of the real estate market, ancillary industries such as title insurance have also experienced tremendous growth. As an indication of both the size of the title insurance industry and the growth that this industry has experienced, title insurance premiums have grown from $4 billion in 1995 to over $15 billion in 2004. The title insurance policy provides coverage that is designed to give assurance of good title at the time that the property is sold. This study examines the financial structure and performance of the title insurance industry for the 10-year period from 1995-2004. It provides a discussion of the evolution of title insurance and the moral hazard problems associated with this industry. By expanding the period under investigation from one year (1996) to a multi-year period (1996-2004), this study serves to update and extend the work of Nyce and Boyer (1998). This study documents the growth in size and profitability that the title insurance industry has enjoyed during the real estate boom of the past five years as well as the change in its financial and distributional structure. The differences in loss ratios across states provide some support for the concern about pricing in this marketplace.
"The Outcome of Commercial Mortgage Delinquency: Foreclosure or Reinstatement." Cynthia Holmes, 2006.
Abstract: When a commercial mortgage borrower fails to make a scheduled payment, two potential outcomes can eventually arise. Either the borrower reinstates the loan and resumes payment or the lender forecloses on the property. The following question arises: under which situation does each outcome occur? I investigate this question using a game-theoretic model and multinomial logit empirical tests on a disaggregate dataset. My key finding is that the outcome is based on the relative values of variables that include the borrower's equity in the secured property and the rate of property appreciation. Empirical tests confirm that the characteristics of loans across delinquency outcomes are distinguishable.
"The Effect of Single-Family Housing on Multi-Asset Portfolio Allocations." Dean H. Gatzlaff, 2006.
"Selling Price and Time on the Market: A Meta Analysis." David Macpherson, Lynn MacDonald, and G. Stacy Sirmans, 2006.
Abstract: The relationship between a home's selling price and the time it takes to sell it is unclear. Hedonic pricing models often include a variable measuring the number of days a property remained on the market before it sold. The resulting estimated coefficients from the hedonic models have varied, with most being negative. A negative coefficient for time on the market indicates that, the longer a property is up for sale, the lower the selling price. On the other hand, those studies that have produced positive coefficients for time on the market indicate that a longer selling time produces a higher selling price. This study uses meta regression analyses to examine the relationship between selling price and time on the market for residential properties. The meta regression model tested whether the time on the market coefficient is sensitive to time, income, model specification, and location. The results show that the time on the market coefficient is sensitive to time, income, and model specification (semilog vs. double log) but not to location or the size of the hedonic model.
"Commercial Mortgage Guarantees." Cynthia Holmes, 2006.
Abstract: This paper investigates the role of commercial mortgage guarantees in default. Childs, Ott and Riddiough (1996) use an options-based theoretical model to show that recourse should reduce the likelihood of default. This paper tests that prediction empirically using a database from a Canadian lender. The advantage of using a Canadian dataset is the prevalence of recourse lending not seen in the U.S. I find a negative relationship between default and the presence of a guarantee, supporting the Childs, Ott and Riddiough (1996) prediction. In addition, several other questions related to guarantees in a commercial mortgage context can be addressed using the dataset. First, I investigate how the characteristics of guaranteed loans differ from non-recourse loans. I find that guarantees are not offered primarily on loans that have a high loan-to-value ratio. Instead, the presence of a guarantee is linked to the legislative environment of the province where the secured property is located. Second, I examine the effect of a guarantee on the contract rate. The key finding is that the rate reduction offered by a lender for guaranteed loans is negligible. The implication is that the lender is benefiting from the recourse tradition in Canada, by enjoying the reduction in default risk with negligible spread reduction costs.
"A Longitudinal Analysis of Pension Funds' Allocation to Real Estate." Cynthia Holmes, Sean Finucane, and Dean Gatzlaff, 2006.
Abstract: The proportion of a pension fund's portfolio that is invested in real estate varies based on the characteristics of the pension fund and conditions in the market. Using a large panel database, we analyze the changes in the real estate allocation cross-sectionally across the individual pension funds and longitudinally in time. We find that cross-sectional differences in real estate allocations are related to characteristics of the pension funds, but that longitudinal changes in real estate allocations are related to the returns to real estate and other investments.
"The Effect of Florida's "Save Our Homes Amendment" on Local Tax Revenues and Property Tax Burdens." Dean H. Gatzlaff and Marc T. Smith, 2006.
"Investment Flows in REITs and REIT ETFs: New Cash or a Flow to Efficiency," Vaneesha Boney and G. Stacy Sirmans, 2006.
Abstract: Exchange traded funds are funds that mirror an existing index by holding the same component stocks and matching that indexes weighting scheme. Although the objective of the exchange traded fund is to match, not exceed the returns of the underlying index it mirrors, exchange traded funds are said to offer services and investment flexibility that indexed mutual fund products generally do not. This paper examines whether there are significant differences between exchange traded and indexed REIT funds in an effort to see whether the market differentiates between the two products and if investors regard these two products as redundant or as different investment vehicles. If REIT exchange traded funds offer additional benefits over REIT index funds, investors should prefer the exchange traded fund and a movement of investment dollars from REIT indexed products into exchange traded funds should be observed. This is tested by tracking the flow of funds in and out of both index mutual funds and exchanged traded funds and evaluating the factors that are significant in determining these fund flows.
"Explaining Local House Price Appreciation." Dean H. Gatzlaff and David C. Ling, 2006.
"The Contribution of Housing and Home Ownership to the Community and the Economy," Emily Zietz and G. Stacy Sirmans, 2006.
Abstract: The contribution that housing makes to the economy and to national economic growth in the U.S. is significant. The housing market generates jobs and wages, and the performance of this industry plays a significant role in local and global economic development. Although a house is a long-term durable good, the real estate market has seen a remarkably positive real estate transformation over the years as consumers' tastes and preferences change. Homeownership makes a significant, positive contribution to the community in a number of ways. Generally, homeownership helps create strong neighborhoods that are healthier and more stable. Homeowners tend to have greater involvement in civic activities as they live out their version of the American dream. Homeownership provides households with a sense of security and belonging to the community. Households can also use homeownership to build wealth and utilize tax advantages. For most households, homeownership is their largest single investment and major source of wealth. This paper examines some of the current and historical literature on how housing impacts various aspects of communities including economic variables, social policy, health issues, and wealth accumulation.
"Toward Explaining Deviations in House Price Movements: Median and Constant-Quality Measures." Dean H. Gatzlaff, 2006.
"Estimating Transaction-Based Price Indices for Local Commercial Real Estate: An Examination of Alternative Methodologies using Property Tax Data." Cynthia Holmes and Dean H. Gatzlaff, 2006.
Abstract: This study evaluates the feasibility of constructing transaction-based commercial property indices using widely available property tax records. It examines the reliability of alternative transaction-based estimation methods using data for a single state (Florida) and then compares the resulting estimates with regional-measures of the NCREIF institutional property index (NPI) and other benchmark indices. The methods examined include hedonic, repeat-sales and assessed-value (Clapp and Giacotta, 1991) techniques, as well as more recently developed procedures (Fisher, Gatzlaff, Geltner and Haurin, 2003; and Fisher, Geltner and Pollakowski, 2005). These estimates will make possible a meaningful comparison of our indices, the NPI, and the NCREIF-based indices reported by the Commercial Real Estate Data Library at MIT. Because our property tax database includes both institutional and non-institutional held properties, it provides a unique opportunity to investigate the relative price movements between these two property segments.
"House Price Inertia in Metropolitan Submarkets." Dean H. Gatzlaff, 2006.

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Department Home Center for Real Estate Education & Research Faculty & Staff Advisory Boards & Committees Research Francis J. Nardozza Scholars Program Publications Working Papers Grants Textbooks Conferences and Symposia Real Estate Trends & Networking Conference Evan D. Jennings Executive Speaker Series For Alumni & Friends Real Estate Directory Newsletters For Students Real Estate Careers Real Estate Job Board Real Estate Internships Real Estate Scholarships To Post Your Real Estate Résumé For Employers Student Recruiting Guide To Post a Real Estate Position Real Estate Internships To View Student Résumés FSU Career Services	WORKING PAPERS "A Multiple Factor Asset Pricing Model for Commercial Mortgages." Cynthia Holmes, 2006. Abstract: This paper contributes to the commercial mortgage literature and the multiple factor asset-pricing literature by creating a model for commercial mortgage returns. The result of an initial analysis using the five Fama and French (1993) factors is that the sensitivities of commercial mortgage returns and corporate bond returns to all factors are statistically indistinguishable. However, further analysis was performed using factors associated with real estate returns, and the result is that unlike corporate bonds, commercial mortgage returns are sensitive to the factor that measures growth in personal consumption. "Controlling for Variable Liquidity and Selection Bias in Indices of Private Asset Market Values." Jeffrey Fisher, Dean H. Gatzlaff, David Geltner, and Donald Haurin, 2006. "The Title Insurance Industry: Examining a Decade of Growth." Randy Dumm, David Macpherson, and G. Stacy Sirmans, 2006. Abstract: The real estate industry has seen remarkable growth over the past ten years with double-digit growth in both sales volume and selling price occurring in the past five years. As a result of this rapid expansion of the real estate market, ancillary industries such as title insurance have also experienced tremendous growth. As an indication of both the size of the title insurance industry and the growth that this industry has experienced, title insurance premiums have grown from $4 billion in 1995 to over $15 billion in 2004. The title insurance policy provides coverage that is designed to give assurance of good title at the time that the property is sold. This study examines the financial structure and performance of the title insurance industry for the 10-year period from 1995-2004. It provides a discussion of the evolution of title insurance and the moral hazard problems associated with this industry. By expanding the period under investigation from one year (1996) to a multi-year period (1996-2004), this study serves to update and extend the work of Nyce and Boyer (1998). This study documents the growth in size and profitability that the title insurance industry has enjoyed during the real estate boom of the past five years as well as the change in its financial and distributional structure. The differences in loss ratios across states provide some support for the concern about pricing in this marketplace. "The Outcome of Commercial Mortgage Delinquency: Foreclosure or Reinstatement." Cynthia Holmes, 2006. Abstract: When a commercial mortgage borrower fails to make a scheduled payment, two potential outcomes can eventually arise. Either the borrower reinstates the loan and resumes payment or the lender forecloses on the property. The following question arises: under which situation does each outcome occur? I investigate this question using a game-theoretic model and multinomial logit empirical tests on a disaggregate dataset. My key finding is that the outcome is based on the relative values of variables that include the borrower's equity in the secured property and the rate of property appreciation. Empirical tests confirm that the characteristics of loans across delinquency outcomes are distinguishable. "The Effect of Single-Family Housing on Multi-Asset Portfolio Allocations." Dean H. Gatzlaff, 2006. "Selling Price and Time on the Market: A Meta Analysis." David Macpherson, Lynn MacDonald, and G. Stacy Sirmans, 2006. Abstract: The relationship between a home's selling price and the time it takes to sell it is unclear. Hedonic pricing models often include a variable measuring the number of days a property remained on the market before it sold. The resulting estimated coefficients from the hedonic models have varied, with most being negative. A negative coefficient for time on the market indicates that, the longer a property is up for sale, the lower the selling price. On the other hand, those studies that have produced positive coefficients for time on the market indicate that a longer selling time produces a higher selling price. This study uses meta regression analyses to examine the relationship between selling price and time on the market for residential properties. The meta regression model tested whether the time on the market coefficient is sensitive to time, income, model specification, and location. The results show that the time on the market coefficient is sensitive to time, income, and model specification (semilog vs. double log) but not to location or the size of the hedonic model. "Commercial Mortgage Guarantees." Cynthia Holmes, 2006. Abstract: This paper investigates the role of commercial mortgage guarantees in default. Childs, Ott and Riddiough (1996) use an options-based theoretical model to show that recourse should reduce the likelihood of default. This paper tests that prediction empirically using a database from a Canadian lender. The advantage of using a Canadian dataset is the prevalence of recourse lending not seen in the U.S. I find a negative relationship between default and the presence of a guarantee, supporting the Childs, Ott and Riddiough (1996) prediction. In addition, several other questions related to guarantees in a commercial mortgage context can be addressed using the dataset. First, I investigate how the characteristics of guaranteed loans differ from non-recourse loans. I find that guarantees are not offered primarily on loans that have a high loan-to-value ratio. Instead, the presence of a guarantee is linked to the legislative environment of the province where the secured property is located. Second, I examine the effect of a guarantee on the contract rate. The key finding is that the rate reduction offered by a lender for guaranteed loans is negligible. The implication is that the lender is benefiting from the recourse tradition in Canada, by enjoying the reduction in default risk with negligible spread reduction costs. "A Longitudinal Analysis of Pension Funds' Allocation to Real Estate." Cynthia Holmes, Sean Finucane, and Dean Gatzlaff, 2006. Abstract: The proportion of a pension fund's portfolio that is invested in real estate varies based on the characteristics of the pension fund and conditions in the market. Using a large panel database, we analyze the changes in the real estate allocation cross-sectionally across the individual pension funds and longitudinally in time. We find that cross-sectional differences in real estate allocations are related to characteristics of the pension funds, but that longitudinal changes in real estate allocations are related to the returns to real estate and other investments. "The Effect of Florida's "Save Our Homes Amendment" on Local Tax Revenues and Property Tax Burdens." Dean H. Gatzlaff and Marc T. Smith, 2006. "Investment Flows in REITs and REIT ETFs: New Cash or a Flow to Efficiency," Vaneesha Boney and G. Stacy Sirmans, 2006. Abstract: Exchange traded funds are funds that mirror an existing index by holding the same component stocks and matching that indexes weighting scheme. Although the objective of the exchange traded fund is to match, not exceed the returns of the underlying index it mirrors, exchange traded funds are said to offer services and investment flexibility that indexed mutual fund products generally do not. This paper examines whether there are significant differences between exchange traded and indexed REIT funds in an effort to see whether the market differentiates between the two products and if investors regard these two products as redundant or as different investment vehicles. If REIT exchange traded funds offer additional benefits over REIT index funds, investors should prefer the exchange traded fund and a movement of investment dollars from REIT indexed products into exchange traded funds should be observed. This is tested by tracking the flow of funds in and out of both index mutual funds and exchanged traded funds and evaluating the factors that are significant in determining these fund flows. "Explaining Local House Price Appreciation." Dean H. Gatzlaff and David C. Ling, 2006. "The Contribution of Housing and Home Ownership to the Community and the Economy," Emily Zietz and G. Stacy Sirmans, 2006. Abstract: The contribution that housing makes to the economy and to national economic growth in the U.S. is significant. The housing market generates jobs and wages, and the performance of this industry plays a significant role in local and global economic development. Although a house is a long-term durable good, the real estate market has seen a remarkably positive real estate transformation over the years as consumers' tastes and preferences change. Homeownership makes a significant, positive contribution to the community in a number of ways. Generally, homeownership helps create strong neighborhoods that are healthier and more stable. Homeowners tend to have greater involvement in civic activities as they live out their version of the American dream. Homeownership provides households with a sense of security and belonging to the community. Households can also use homeownership to build wealth and utilize tax advantages. For most households, homeownership is their largest single investment and major source of wealth. This paper examines some of the current and historical literature on how housing impacts various aspects of communities including economic variables, social policy, health issues, and wealth accumulation. "Toward Explaining Deviations in House Price Movements: Median and Constant-Quality Measures." Dean H. Gatzlaff, 2006. "Estimating Transaction-Based Price Indices for Local Commercial Real Estate: An Examination of Alternative Methodologies using Property Tax Data." Cynthia Holmes and Dean H. Gatzlaff, 2006. Abstract: This study evaluates the feasibility of constructing transaction-based commercial property indices using widely available property tax records. It examines the reliability of alternative transaction-based estimation methods using data for a single state (Florida) and then compares the resulting estimates with regional-measures of the NCREIF institutional property index (NPI) and other benchmark indices. The methods examined include hedonic, repeat-sales and assessed-value (Clapp and Giacotta, 1991) techniques, as well as more recently developed procedures (Fisher, Gatzlaff, Geltner and Haurin, 2003; and Fisher, Geltner and Pollakowski, 2005). These estimates will make possible a meaningful comparison of our indices, the NPI, and the NCREIF-based indices reported by the Commercial Real Estate Data Library at MIT. Because our property tax database includes both institutional and non-institutional held properties, it provides a unique opportunity to investigate the relative price movements between these two property segments. "House Price Inertia in Metropolitan Submarkets." Dean H. Gatzlaff, 2006.