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: Devin Lin
Publisher: Taylor & Francis
ISBN: 1315315394
Category : Business & Economics
Languages : en
Pages : 297
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Book Description
This book conducts a detailed examination of the current form of the Hong Kong residential property regulatory system: the 2013 Residential Properties (Firsthand Sales) Ordinance (Cap 621). The author sheds light on how the new legislation promotes a number of values including information symmetry, consumer protection, the free market and business efficacy. It provides a detailed account of how the regulatory mechanism has evolved over the past three decades to catch unconsscionable sales tactics (such as selective information and/or misrepresentation of location, size, completion date and past transactions) and monitor sales practices in order to protect the interests of stakeholders in this ever-changing first-hand residential property market. This book breaks down this complicated subject matter by focusing a number of chapters each on a specific attribute of the residential property on sale. It then examines the various channels through which the information is communicated to the prospective buyer and discusses misrepresentation of the key information in sales of residential properties as criminal liability.The tension between consumer’s rights on one hand and the pursuit of free market principles on the other is but one example of the conflicting values thoroughly discussed in the book, others include superstition vs. modernization and clarity vs. flexibility. Aimed at those with an interest in consumer protection and transparency-orientated legislation in commercialized real estate transactions, this book seeks to provide an in-depth discussion of the latest trends and directions of travel.
Author: Anja Hubig
Publisher: Springer Science & Business Media
ISBN: 3658009187
Category : Business & Economics
Languages : en
Pages : 228
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Book Description
Against the background of the financial-cum-sovereign debt crisis, government debt managers are currently faced by a challenging environment. One key element in that respect is the analysis and forecast of interest rates, which is important for achieving the strategic objective of low borrowing costs. Anja Hubig develops a new mathematical method to estimate the term structure of interest rates, that is adopted to describe the term structure dynamics within a stochastic setting. The introduced model is capable to capture the complex behavior of the entire yield curve with a reduced set of parameters. It essentially ensures a comprehensive analysis of the costs and risks associated with individual funding strategies, and thus effectively supports the selection of a long-term optimal debt portfolio composition.
Author: Siu Kei Wong
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
We examine the effect of forward sale (pre-sale) activities on the volatility of spot prices in the real estate market. The abundance of pre-sales data and major changes in regulatory control on the pre-sale market during the 90's in Hong Kong allow us to undertake empirical tests using Hong Kong's real estate data. Our results show that the volatility of spot prices increased significantly after forward sales were severely dampened by regulatory control measures introduced in 1994, but decreased again when the measures were partly relaxed in 1998. The results contribute to the long lasting debate on whether the introduction of a futures market reduces the volatility of spot prices. Previous studies were mainly conducted in markets with low transaction costs, notably financial markets. By utilizing the unique regulatory changes in the pre-sale market of Hong Kong, we are able to conduct an experiment on the conditional volatility of spot prices in a high information-cost environment, thereby shedding light on the important role of forward housing contracts in providing price expectation information for spot trading.
Author: Zengxiang Jin
Publisher: Open Dissertation Press
ISBN: 9781374670679
Category :
Languages : en
Pages :
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Book Description
This dissertation, "Price Discovery in the Property Forward and Spot Markets" by Zengxiang, Jin, 金增祥, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of thesis entitled PRICE DISCOVERY IN THE PROPERTY FORWARD AND SPOT MARKETS Submitted by Zengxiang Jin, B.Eng., M.Phil. for the degree of Doctor of Philosophy at The University of Hong Kong in February 2007 Price discovery is the process by which market aggregates diversified options and disseminates the fundamental information in the form of realized price. This thesis presents a study on how the property presale (forward sale of uncompleted units) and spot (transaction of completed units) markets compete with each other in price discovery using empirical data from Hong Kong. A number of related topics are covered in this research. First, the price discovery process in the two markets at aggregate levels is investigated. Two complementary approaches are employed for this purpose. The first depicts the temporal lead-lag relationship between the two markets and the second focuses on quantifying the information shares that characterize the two markets' contributions to price discovery. Empirical results suggest that the presale and the spot markets are cointegrated. The VEC model further indicates that the presale market is responsible for error correction while the spot market is not, indicating that spot leads presale in price discovery. For short-term dynamics, the presale return depends on both its own lags and those of the spot return, while the spot return depends exclusively on its own lags, indicating that the short-term innovations unilaterally spillover from the spot to the presale market. This is further confirmed by Hasbrouck's (1995) and the Gonzalo and Granger's (1995) information share measures. The second issue is on the impact of liquidity (transaction volume) on price discovery. Previous studies suggest that price discovery efficiency is affected by both market vliquidity and transaction cost. Therefore, the higher information share of the spot market at aggregate level does not necessarily imply informational efficiency at transaction level. When the liquidity of spot market is controlled to be identical to that of presale market through simulations, information shares of the two markets are found to be similar, despite the differences in the nature of the information asymmetry problem in the two markets. Our results reconfirm that information share is positively related to market liquidity. Change of policies that affect transactions costs in the Hong Kong's property market presents a unique opportunity to investigate how changes in transaction costs affect price discovery. Contrary to the familiar argument that higher transaction cost impairs the price discovery function of a market, we found that transaction cost has a positive impact on the information share of the presale market. We argue that this is due to the presence of both noise traders and professional traders in the presale market. Functioning like an information filter, higher transaction cost drives the uninformed noise traders out of the presale market. However, in the spot market, most traders are more or less equally informed and therefore increase in transaction cost has less effect on price discovery. This is confirmed by the dominance of the presale market over the spot market in price discovery during periods of higher transaction costs. vi DOI: 10.5353/th_b3895775 Subjects: Real property - Prices - Mathematical models
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: M. Choudhry
Publisher: Springer
ISBN: 0230279384
Category : Business & Economics
Languages : en
Pages : 566
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Book Description
Revised and updated guide to some of the most important issues in the capital markets today, with an emphasis on fixed-income instruments. Fundamental concepts in equity market analysis, foreign exchange and money markets are also covered to provide a comprehensive overview. Analysis and valuation techniques are given for practical application.
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: 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
