Transaction Volume and Price Dispersion in the Presale and Spot Real Estate Market - Implications for Construction of Repeat Sales Price Indices PDF Download
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Author: Edward Chung Yim Yiu
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Noise trading has been intensively studied in finance, but rarely in real estate. Theories of price dispersion have also been well established in retailing research, but rarely in real estate. This paper is probably the first attempt to study the effect of noise trading on the price dispersions in the presale and spot housing market in Hong Kong. Quality-controlled price dispersion data series are estimated using a sample of data in the housing presale and spot market in Hong Kong. The results show transaction volume has negative and significant effect on price dispersion in spot market. The volume effect is however negative and significant in the presale market. The results support our theoretical prediction that there are more noise traders in the presale market due to lower transaction costs. The volume effect provides support for a volume weighted least squares repeat sales index.
Author: Edward Chung Yim Yiu
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Noise trading has been intensively studied in finance, but rarely in real estate. Theories of price dispersion have also been well established in retailing research, but rarely in real estate. This paper is probably the first attempt to study the effect of noise trading on the price dispersions in the presale and spot housing market in Hong Kong. Quality-controlled price dispersion data series are estimated using a sample of data in the housing presale and spot market in Hong Kong. The results show transaction volume has negative and significant effect on price dispersion in spot market. The volume effect is however negative and significant in the presale market. The results support our theoretical prediction that there are more noise traders in the presale market due to lower transaction costs. The volume effect provides support for a volume weighted least squares repeat sales index.
Author: Edward Chung Yim Yiu
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Noise trading has been intensively studied in finance, but rarely in real estate. Theories of price dispersion have also been well established in retailing research, but less so in real estate. This paper is the first attempt to study the effect of noise trading on price dispersion in the real estate spot and presale (forward) markets. Quality-controlled price dispersion data series are estimated using a sample of transaction data in the housing presale and spot markets in Hong Kong. Our results show that transaction volume has a negative and significant effect on price dispersion in the spot market, but a positive and significant in the presale market. These support our conjecture that there are more noise traders in the presale market due to lower transaction costs. The volume effects also provide support for the use of a volume weighted least squares model when constructing a repeat sales index.
Author: Marc Francke
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
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Book Description
Price indices based on repeat sales are the most widely used type of real estate index based on asset transaction prices. But such indices are particularly prone to revision. When a new period of transaction data becomes available and is used to update the repeat sales model, all past index values can potentially be revised. These revisions are especially problematical for commercial real estate (as compared to housing), because commercial transactions are relatively scarce and properties are heterogeneous, reducing estimation precision. From a methodological perspective, the magnitude of expected revisions is a particularly useful measure of the quality of the empirical index, as it directly reflects both the precision of the index and its practical usefulness in economic and business applications, since revisions themselves are problematical in practice. This paper focuses on random revisions for indexes in thin, commercial property markets, the type of market that is most challenging for empirical price indexing. We present multiple specifications of the repeat sales model, seeking to reduce revisions. With the objective of minimizing the expected magnitude of revisions, among the specifications we explore, the best result obtains from an index methodology that specifies the periodic returns as a first order autoregressive process, that also uses the periodic returns of an aggregate index as an explanatory variable for more granular indices, and that allows the variance parameters of the signal and the noise to be time-varying. In our small-sample test cases, this model reduces overall index revisions by more than 50%.
Author: Marc Francke
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper concerns the estimation of granular property price indices in commercial real estate and residential markets. We specify and apply a repeat sales model with multiple stochastic log price trends having a hierarchical additive structure: One common log price trend and cluster specific log price trends in deviation from the common trend. Moreover, we assume that the error terms potentially have a heavy tailed (t) distribution to effectively deal with outliers. We apply the hierarchical repeat sales model on commercial properties in the Philadelphia/Baltimore region and on residential properties in a small part of Amsterdam. the results show that the hierarchical repeat sales model provides reliable indices on a very detailed level based on a small number of observations. The estimated degrees of freedom for the t-distribution is small, largely rejecting the commonly made assumption of normality of the error term.
Author: Steven D. Levitt
Publisher:
ISBN:
Category : Real property
Languages : en
Pages : 56
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Book Description
"Agents are often better informed than the clients who hire them and may exploit this informational advantage. Real-estate agents, who know much more about the housing market than the typical homeowner, are one example. Because real estate agents receive only a small share of the incremental profit when a house sells for a higher value, there is an incentive for them to convince their clients to sell their houses too cheaply and too quickly. We test these predictions by comparing home sales in which real estate agents are hired by others to sell a home to instances in which a real estate agent sells his or her own home. In the former case, the agent has distorted incentives; in the latter case, the agent wants to pursue the first-best. Consistent with the theory, we find homes owned by real estate agents sell for about 3.7 percent more than other houses and stay on the market about 9.5 days longer, even after controlling for a wide range of housing characteristics. Situations in which the agent's informational advantage is larger lead to even greater distortions"--National Bureau of Economic Research web site.
Author: Britta Folmer
Publisher: Academic Press
ISBN: 0128035587
Category : Technology & Engineering
Languages : en
Pages : 558
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Book Description
The Craft and Science of Coffee follows the coffee plant from its origins in East Africa to its current role as a global product that influences millions of lives though sustainable development, economics, and consumer desire. For most, coffee is a beloved beverage. However, for some it is also an object of scientifically study, and for others it is approached as a craft, both building on skills and experience. By combining the research and insights of the scientific community and expertise of the crafts people, this unique book brings readers into a sustained and inclusive conversation, one where academic and industrial thought leaders, coffee farmers, and baristas are quoted, each informing and enriching each other. This unusual approach guides the reader on a journey from coffee farmer to roaster, market analyst to barista, in a style that is both rigorous and experience based, universally relevant and personally engaging. From on-farming processes to consumer benefits, the reader is given a deeper appreciation and understanding of coffee's complexity and is invited to form their own educated opinions on the ever changing situation, including potential routes to further shape the coffee future in a responsible manner. Presents a novel synthesis of coffee research and real-world experience that aids understanding, appreciation, and potential action Includes contributions from a multitude of experts who address complex subjects with a conversational approach Provides expert discourse on the coffee calue chain, from agricultural and production practices, sustainability, post-harvest processing, and quality aspects to the economic analysis of the consumer value proposition Engages with the key challenges of future coffee production and potential solutions
Author: John S. Oakland
Publisher: Routledge
ISBN: 0750661852
Category : Architecture
Languages : en
Pages : 539
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Book Description
This text tackles the key issues of total quality management, supply chain management and knowledge management, demonstrating their significance as strategic concepts for the construction sector and illustrating how development goals in each of these critical areas can be met.
Author: Christian Hafner
Publisher: MDPI
ISBN: 3038979783
Category : Business & Economics
Languages : en
Pages : 218
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Book Description
Alternative assets such as fine art, wine, or diamonds have become popular investment vehicles in the aftermath of the global financial crisis. Correlation with classical financial markets is typically low, such that diversification benefits arise for portfolio allocation and risk management. Cryptocurrencies share many alternative asset features, but are hampered by high volatility, sluggish commercial acceptance, and regulatory uncertainties. This collection of papers addresses alternative assets and cryptocurrencies from economic, financial, statistical, and technical points of view. It gives an overview of their current state and explores their properties and prospects using innovative approaches and methodologies.
Author: Iain Christie
Publisher: World Bank Publications
ISBN: 1464801975
Category : Business & Economics
Languages : en
Pages : 325
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Book Description
This book presents how tourism initiates economic development and how constraints to the growth of tourism in Sub-Saharan Africa can be addressed. With 24 case studies that illustrate tourism development, it reveals that despite destination challenges, the basic elements needed to initialize or intensify success are applicable across the region.
Author: James A. Graaskamp
Publisher: Urban Land Institute
ISBN:
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
