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- W3125562981 abstract "Swap contracts in financial markets are normally priced assuming (either strong or weak) market efficiency. A recent study by Baum, Lizieri and Marcato [2006] highlighted the importance of inefficiencies for total return swap contracts in real estate markets. After identifying the main inefficiencies linked to the investment in the underlying asset, we quantify their pricing for a swap contract between real estate total returns and a LIBOR rate. We also identify the main boundaries around which, trading is still rationale for different type of contracts and investors. We find that confidence intervals around the theoretical price are inversely proportional to the length of the swap contract. They also vary depending upon the underlying asset and the type of investor acting either as a buyer or a seller." @default.
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- W3125562981 date "2007-01-01" @default.
- W3125562981 modified "2023-09-26" @default.
- W3125562981 title "Pricing Inefficiencies in Real Estate Swaps" @default.
- W3125562981 hasPublicationYear "2007" @default.
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