199-208

• Manganelli, Benedetto
• Morano, Pierluigi
• Tajani, Francesco

In estimating the market value of a property by income approach, the determination of the capitalization rate is ordinarily conducted through analogical process. The procedure is based on the identification of price-earnings ratio of similar investments. The analogy refers to the risk and the duration of the investment. However, in all cases there still remains a rate of uncertainty that significantly affects the final estimation of the property. This paper proposes a methodology which removes any uncertainty when evaluating the cap-rate. The aim is achieved through the combination of the formal logic of the Ellwood’s model and the Real Options Analysis. The algorithm developed has been applied to a sample relative to 57 Italian cities, considering annual prices from 1967 to 2012. The results highlight the validity of the model and the easiness of use. The work must be attributed equally to the three authors.

• Economics and Business
• Computer and information sciences

• Economics
• Finance
• Risk
• Statistics

Ellwood, real options, cap-rate, risk, real estate, investment

Περιέχει διαγράμματα, γραφήματα, πίνακες και βιβλιογραφία

1. [1] Chan S.H., Grissom T.V., Wang K., TheFunctional Relationship and Use of Going-inand Going-out Capitalization Rates, TheJournal of Real Estate Research, Vol. 5, No. 2,1990.[2] Chu Y., Sing T. F., Optimal Timing of RealEstate Investment under an AsymmetricDuopoly, The Journal of Real Estate Financeand Economics, No. 34, 2007, pp. 327-345.[3] Conner P., Youguo L., The complex interactionbetween real estate cap rates and interest rates,Briefings in Real Estate Finance, Vol. 4 No. 3,2004, pp. 185-197.[4] Cox J., Ross S. e Rubinstein M., OptionPricing: A Simplified Approach, Journal ofFinancial Economics, Vol. 7, 1979.[5] De Ambrogio W., Programmazione reticolare,Etas Libri, 1977.[6] Del Giudice V., La ricerca del saggio dicapitalizzazione attraverso i prezzi marginaliimpliciti, Bollettino degli Interessi Sardi, No.3,1992.[7] Del Giudice V., Stima econometrica del saggiodi capitalizzazione, Genio Rurale, No. 7/8,1995.[8] Eldestein R.H. e Tsang D., DynamicResidential Housing Cycles Analysis, TheJournal of Real Estate Finance and Economics,No. 35, 2007, pp. 295-313.[9] Ellwood L.W., Ellwood Tables for Real EstateAppraising and Financing, Ballinger, 1970.[10] Epley D.R., Reasons to Eliminate the Band-ofInvestmentTechnique for Estimating theOverall Capitalization Rate, Journal of RealEstate Practice and Education, Vol. 1, No. 1,1998.[11] Jud G.D., Winkler D.T., The CapitalizationRate of Commercial Properties and MarketReturns, The Journal of Real Estate Research,Vol. 10, No. 5, 1995.[12] Manganelli B., Morano P., Tajani F., RealOptions for risk analysis in estimating thecapitalization rate, Recent Advances inBusiness Administration, Marketing andEconomics, Reinhard Neck, 2013, pp. 25-30.[13] Medici G., Principi di Estimo, EdizioniCalderini, 1972.[14] Miller K.D., Waller H.G., Scenarios, RealOptions and Integrated Risk Management,Long Range Planning, Vol. 36, No. 1, 2003,pp. 93-107.[15] Zaderenko S. G., Sistemi di programmazionereticolare, Hoepli, 1970.