Risk aversion and urban land development options
利用新加坡1996-2018年政府土地销售数据，实证检验波动率对土地开发期权的影响，发现高波动状态下风险规避的开发商提前行使期权，导致期权溢价下降。
Abstract This study empirically tests the volatility effects on land development options using the Singapore's government land sales data from 1996 to 2018. We find that development land option premiums increase by 5% on average with one standard deviation increase in conditional volatility, which is consistent with the prediction of the standard real options model. However, the high volatility effects on development options are negative in an extremely high volatility state, and risk‐averse developers exercise development options earlier than that predicted by the risk‐neutral model. The reduction in real option premium in an extremely high volatility state is not explained by market competition and risk‐mitigating mechanism. The results reveal the real estate developers’ behavior change in different states of market volatility.