Robert F. Sarama
Ph.D. Candidate in
Economics
>
Research
Research Interests
Macroeconomics, Financial Economics, Urban Economics, Econometrics, Computational Methods
Publications
David M. Brasington and Robert F. Sarama (2008). Deed Types, House Prices and Mortgage Interest Rates. Real Estate Economics, 36(3), pp. 587-610.
Abstract: When houses are sold they come with a deed attached that spells out the legal guarantees on good title. Some deeds give clues about the characteristics of the sellor or the house. Using a 37,000-observation house price hedonic with a Bayesian spatial error model, we find the type of deed attached to a house sale can have a dramatic correlation with the sale price. Ten deed types command a discount, and one commands a premium relative to warranty deeds. Mortgage rates for sheriff's deeds and foreclosure deeds are lower than for warrranty deeds, indicating more sophisticated buyers.
Working Papers
Pricing Housing Market Returns, Job market paper
Abstract: In this paper I examine the ability of the Capital Asset Pricing Model to explain variation in historical housing market returns. Because housing is primarily traded by investors within local markets, I use state-level data to estimate the asset pricing Euler equations from the intertemporal consumption problem faced by a representative consumer with Epstein-Zin preferences. The estimates of the structural parameters are not uniform across geographies, suggesting that heterogeneity in the investor base has implications for consumption-based asset pricing models. Although market frictions that are commonly used to explain the large equity premium are larger for housing than for equities, the housing premium is smaller than the equity premium. I examine institutional differences between the assets and find that some of the difference between the two premia may be related to differences in the tax treatment between the two asset classes.
Non-durable Consumption Volatility and Illiquid Assets
Abstract: We identify five distinguishing characteristics of assets, and develop a life-cycle model of the consumer that incorporates these relevant features. In the specification used for this study, the consumer derives utility from non-durable consumption and stock in a risky asset: housing. An important feature of the model is that the housing adjustment costs are non-convex. These adjustment costs generate lumpy changes in the stock of the risky asset over the life-cycle. The model predicts that consumption volatility is increasing both in the ability to borrow against the assets held in the consumer's portfolio and in the illiquidity of the portfolio. Evidence from the Consumer Expenditure Survey supports this model prediction.
Work in Progress
Do Time-varying Risk Premia Drive Speculative Bubbles?
The Effects of Monetary Policy on Asset Prices
Housing and Commercial Real Estate Cap Rates: Do They Forecast Different Things?
Research
Research Interests
Macroeconomics, Financial Economics, Urban Economics, Econometrics, Computational Methods
Publications
David M. Brasington and Robert F. Sarama (2008). Deed Types, House Prices and Mortgage Interest Rates. Real Estate Economics, 36(3), pp. 587-610.
Abstract: When houses are sold they come with a deed attached that spells out the legal guarantees on good title. Some deeds give clues about the characteristics of the sellor or the house. Using a 37,000-observation house price hedonic with a Bayesian spatial error model, we find the type of deed attached to a house sale can have a dramatic correlation with the sale price. Ten deed types command a discount, and one commands a premium relative to warranty deeds. Mortgage rates for sheriff's deeds and foreclosure deeds are lower than for warrranty deeds, indicating more sophisticated buyers.
Working Papers
Pricing Housing Market Returns, Job market paper
Abstract: In this paper I examine the ability of the Capital Asset Pricing Model to explain variation in historical housing market returns. Because housing is primarily traded by investors within local markets, I use state-level data to estimate the asset pricing Euler equations from the intertemporal consumption problem faced by a representative consumer with Epstein-Zin preferences. The estimates of the structural parameters are not uniform across geographies, suggesting that heterogeneity in the investor base has implications for consumption-based asset pricing models. Although market frictions that are commonly used to explain the large equity premium are larger for housing than for equities, the housing premium is smaller than the equity premium. I examine institutional differences between the assets and find that some of the difference between the two premia may be related to differences in the tax treatment between the two asset classes.
Non-durable Consumption Volatility and Illiquid Assets
Abstract: We identify five distinguishing characteristics of assets, and develop a life-cycle model of the consumer that incorporates these relevant features. In the specification used for this study, the consumer derives utility from non-durable consumption and stock in a risky asset: housing. An important feature of the model is that the housing adjustment costs are non-convex. These adjustment costs generate lumpy changes in the stock of the risky asset over the life-cycle. The model predicts that consumption volatility is increasing both in the ability to borrow against the assets held in the consumer's portfolio and in the illiquidity of the portfolio. Evidence from the Consumer Expenditure Survey supports this model prediction.
Work in Progress
Do Time-varying Risk Premia Drive Speculative Bubbles?
The Effects of Monetary Policy on Asset Prices
Housing and Commercial Real Estate Cap Rates: Do They Forecast Different Things?
Contact Information
Department of
Economics
The Ohio State
University
1945 North High
Street
Columbus, OH
43210
Phone:
614-292-4197
Email: sarama.2@osu.edu
Office: Arps Hall 309
Office Hours: By Appointment