Predicting House Prices Using Multiple Listings Data

It is often necessary to accurately predict the price of a house between sales. One method of predicting house values is to use data on the characteristics of the area's housing stock to estimate a hedonic regression, using ordinary least squares (OLS) as the statistical technique. The coefficients of this regression are then used to produce the predicted house prices. However, this procedure ignores a potentially large source of information regarding house prices—the correlations existing between the prices of neighboring houses. The purpose of this article is to show how these correlations can be incorporated when estimating regression coefficients and when predicting house prices. The practical difficulties inherent in using a technique called kriging to predict house prices are discussed. The article concludes with an example of the procedure using multiple listings data from Baltimore.     

Spatial Competition and Shopping Externalities: Evidence from the Housing Market

In search markets, greater spatial concentration of sellers increases price competition. At the same time, though, a greater concentration of sellers can create a shopping externality by attracting more buyers to the site. Using housing sales data, we test for spatial competition and shopping externality effects on prices and marketing time. We find that they reflect both competitive and shopping externality effects from surrounding houses, although the relative strength varies with how fresh the house is in the market, the freshness of surrounding houses, and the phase of the market cycle. New listings have the strongest shopping externality effect on neighboring houses that have been on the market for some time. Vacant houses have their strongest competition effects in the declining market and externality effects in the rising market. Fresh houses on the market reap little benefit from shopping externalities in all phases of the market cycle.     

担保型商品房买卖合同纠纷的裁判困境及其出路

为担保借款合同,当事人同步签署商品房买卖合同,约定借款人不能归还借款本金及利息时,应履行商品房买卖合同。此类具有担保功能的商品房买卖合同,在性质上属于债务清偿协议。法释\[2015\]18号第24条虽要求当事人以民间借贷提起诉讼,但未否定商品房买卖合同的效力。在确认应还本金及利息及借款人没有如期清偿的前提下,出借人请求移转房屋所有权的,应予支持。     

Information, Search, and House Prices: Revisited

Buyers pay different prices for nearly identical homes. One explanation for this is that housing markets are thin, resulting in price bargaining between sellers and buyers. If the relative bargaining power of buyers varies, so will sales prices. One hypothesis is that the relative bargaining strength of buyers coming from outside the local market relative to that of local residents is weak, because distant buyers have high search costs and may know less about the nuances of the local market. Our results, based upon a large number of single-family home transactions from the state of Florida, lend support to this hypothesis. Another related hypothesis is that buyers?? price expectations are anchored to prices they were accustomed to at their previous residence. Hence, if they come from high price markets they will tend to pay more for their new home. This hypothesis is also supported by our results.     

Understanding in‐house transactions in the real estate brokerage industry

About 20% of residential real estate transactions in North America are in‐house transactions, for which buyers and sellers are represented by the same brokerage. We examine to what extent in‐house transactions are explained by agents' strategic incentives as opposed to matching efficiency. Using home transaction data, we find that agents are more likely to promote internal listings when they are financially rewarded and such effect becomes weaker when consumers are more aware of agents' incentives. We further develop a structural model and find that about one third of in‐house transactions are explained by agents' strategic promotion, causing significant utility loss for home buyers.     

Privatization Through an Overseas Listing: Evidence from China's H-Share Firms

We study the partial privatization of 53 Chinese state-owned enterprises (by their listings on the Hong Kong Exchange over the period July 1993 to December 2002. We find that listing has led to a median increase of 70% in real net profits, 80% in real sales, 50% in capital spending, and a mild but nonsignificant improvement in coverage ratios, but no improvement in return on sales and a significant underperformance of returns against several market index benchmarks. Further investigation shows that firm performance is negatively related to state ownership, but positively related to legal-personal ownership and foreign ownership.     

Days on market and home sales

In 2006, Massachusetts adopted a new policy that prohibits home sellers from resetting their properties’ days on market through relisting. Massachusetts homes exposed to the policy change experienced a $16,000 reduction in sale price relative to Rhode Island homes. Slow‐moving homes suffered a greater reduction, but newer listings only had a small increase in sale price. One reason is that some buyers were unaware of sellers’ manipulation of days on market and thus unable to recognize authentically new listings. Sellers reacted to the new policy by cutting listing prices, although in towns where listing price history was transparent, sellers raised listing prices to dampen the stigma of slow sales.     

Stock exchange merger and liquidity: The case of Euronext

The paper empirically investigates the effects of the Euronext stock exchange merger on listed firms, i.e. the merger of stock exchanges in Amsterdam, Brussels, Lisbon and Paris. Specifically, it examines how exchange consolidation has affected stock liquidity and how the effect varies with firm type, i.e. what types of firms benefit the most in terms of stock liquidity and other financial outcomes. The results show asymmetric liquidity gains from the stock exchange merger, where the positive effects are concentrated among big firms and firms with foreign sales. There is not a significant increase in stock liquidity of small or medium sized firms, nor of firms that only operate domestically. Beyond the significant size and foreign exposure effects (i.e. big firms and firms with foreign sales gain), the analysis finds no systematic pattern in the distribution of merger benefits across industries or listing locations. The merger is associated with an increase in Euronext's market share, where the increase is drawn from the London Stock Exchange. There is however no evidence of Euronext enhancing its competitive stand in terms of attracting new firm listings.     

Targeted search and the long tail effect

We develop a search model to explain the long tail effect. Search targetability, or the quality of search, is explicitly modelled. Consumers are searching for the right products within the right categories. As search costs decrease, or search targetability increases, additional variety of goods catering to long tail consumers will be provided, and the concentration of sales across different categories of goods decreases. The effects of a decrease in search costs or an increase in search targetability on consumer utility, prices, and profits depend on whether the type coverage increases. Decreases in search costs and increases in search targetability have different qualitative effects.     

Selectivity,Quality Adjustment and Mean Reversion in the Measurement of House Values*

This paper develops a model of price formation in the housing market which accounts for the non-random selection of those dwellings sold on the market from the stock of existing houses. The model we develop also accounts for changes in the quality of dwellings themselves and tests for mean reversion in individual house prices. The model is applied to a unique body of data representing all dwellings sold in Sweden's largest metropolitan area during the period 1982–1999. The analysis compares house price indices that account for selectivity, quality change and mean reversion with the conventional repeat sales models used to describe the course of metropolitan housing prices. We find that the repeat sales method yields systematically large biased estimates of the value of the housing stock. Our comparison suggests that the more general approach to the estimation of housing prices or housing wealth yields substantially improved estimates of the course of housing prices and housing wealth.     

The Dynamics of Location in Home Price

It is well established that house prices are dynamic. It is also axiomatic that location influences such selling prices, motivating our objective of incorporating spatial information in explaining the evolution of house prices over time. In this paper, we propose a rich class of spatio-temporal models under which each property is point referenced and its associated selling price modeled through a collection of temporally indexed spatial processes. Such modeling includes and extends all house price index models currently in the literature, and furthermore permits distinction between the effects of time and location. We study single family residential sales in two distinct submarkets of a metropolitan area and further categorize the data into single- and multiple-transaction observations. We find the spatial component is very important in explaining house price. Moreover, the relative homogeneity of homes within the submarket and the frequency with which homes sell affects the pattern of variation across space and time. Differences between single and repeat sale data are evident. The methodology is applicable to more general capital asset pricing when location is anticipated to be influential.     

Rating manipulation and creditworthiness for platform economy: Evidence from peer-to-peer lending

Credit rating provides essential information on a project's credit risk to both lenders and borrowers. On exploring over five million lending listings from a leading peer-to-peer (P2P) lending platform, a mismatch phenomenon was observed between credit rating and default probability of P2P listings across different credit rating groups, despite controlling for common credit-related characteristics. Further looking into the misevaluation of credit risk, it was found that this phenomenon was more pronounced when an unexpected intervention was likely to be applied in rating projects, such as listings with high credit ratings, large loan amounts, and less personal information. The study results question the credibility of related research that uses internal credit ratings, because this variable is likely to be manipulated by the platform.     

Individual Agents,Firms, and the Real Estate Brokerage Process

This study examines how individual agents affect house selling prices and time on the market while controlling for brokerage firm-specific effects as well as supply and demand conditions that vary by neighborhood. Firm size effects disappear once firm specialization and agent characteristics are taken into account but geographic concentration by firms leads to higher selling prices. For individual agents, neither sex nor selling own listings affects price or selling time, but there are gains from partnering transactions across firms. Agents who specialize in listing properties obtain higher prices for their sellers while those who specialize in selling obtain lower prices for their buyers. Houses nearer to other transactions of an agent sell for higher prices. Finally, greater scale of listing and selling activity by an agent tends to lower selling price or lengthen the time on the market.

The impact of listing Latin American ADRs on the risks and returns of the underlying shares

This paper examines the risks and returns of Latin American stocks following American depository receipt (ADR) listings in U.S. equity markets and finds no systematic change in their volatility. This finding differs from previous results for ADR introduction on European and Asian stocks, although it is consistent with several prior findings on international stock listings. Importantly, it supports the predictions of Domowitz, Glen, and Madhavan's 1998 model of international cross-listings. This model predicts that the effects of such listings will differ across stocks because the net effect is indicative of the specific trade-off for each individual stock between benefits of enhanced intermarket competition and costs stemming from the diversion of information-linked orders out of the domestic market.     

House Price Index Construction in the Nascent Housing Market: The Case of China

Most existing house price index construction methods are developed mainly based on transaction data from the secondary housing market, and are not necessarily suitable for the nascent housing markets where a predominant portion of housing transactions are new units. Using the booming market in China as an example, we evaluate and compare the performances of three most common house price measurement methods in the newly-built housing sector, including the simple average method without quality adjustment, the matching approach with the repeat sales modeling framework, and the hedonic modeling approach. Our analyses suggest that the simple average method fails to account for the substantial complex-level quality changes over time of sales during our sample period, and the matching model fails to control for the effect of developers’ pricing behaviors when adopted in the newly-built sector, hence both are downward biased. Based on this finding, we apply a hedonic method, which allows us to control for both quality changes over time of sales and developers’ pricing behaviors, to 35 major newly-built housing markets and provide the first multi-city constant-quality house price index in China. The new index reveals that the current Chinese housing market is facing a greater risk of mispricing than reported by the existing official metrics.     

Dual-listings on international exchanges: the case of emerging markets' stocks

This paper examines the effects on stock returns of dual-listing on an international exchange. My sample consists of 70 firms from 10 emerging markets that dual-listed on the NYSE, NASDAQ and SEAQ-I (London) over the period 1991–1995. I evaluate whether an international dual-listing has any significant effect on returns, for the particular case of emerging markets' firms, and I proceed to investigate whether there is evidence to support an International Asset Pricing based explanation. In addition I compare the impact of US and London SEAQ-I listings. My results confirm previous empirical findings on international listings: the firms in my sample experience significant positive abnormal returns before listing and a significant decline in returns following listing. Evidence seems to be supportive of the segmentation hypothesis: dual-listing effects are more pronounced for emerging markets' listings and that pattern is similar across exchanges.
G15     

Illiquidity and its discontents: Trading delays and foreclosures in the housing market

The macroeconomic effects of housing illiquidity are analyzed using a novel directed search model of housing with long-term debt and default. Debt overhang emerges when highly leveraged sellers are forced to post high prices that produce long selling delays. These delays increase foreclosures, raise default premia, and curtail credit. Cheaper credit fuels temporarily higher house prices, faster sales, and fewer foreclosures, but the borrowing surge facilitates future debt overhang and default. More stringent foreclosure punishments also expand credit and, therefore, either generate higher foreclosures or more debt overhang. Leverage caps avoid this conundrum but reduce welfare by restricting borrowing.     

Competition among stock exchanges for equity

We consider cross-border competition by stock exchanges for listings from firms that have controlling shareholders who have private benefits. We examine exchanges’ choices of their listing standards and firms’ choices of the exchanges where they cross-list their shares. We show that the share price compensates controlling shareholders for giving up some private benefits and enables firms with growth opportunities to obtain listings on exchanges with different listing standards. In particular, firms with high-growth opportunities tend to obtain listings on stock exchanges with high listing standards. We empirically examine these predictions and find that they are consistent with evidence.     

House prices,bank instability,and economic growth: Evidence from the threshold model

This paper examines the effects of house prices on bank instability when gauged at various levels of income growth. Bank stability may respond differently to house price changes or deviations from fundamental values in an economic boom environment than in a bust circumstance. A threshold estimation technique developed by Hansen (1999) is applied to a panel of 286 U.S. Metropolitan Statistical Areas (MSAs) over the period 1990Q1–2010Q4. We consider two house price indicators: the house price changes and the house price deviations from long-run equilibrium. The results suggest the existence of income growth threshold effects in the relationship between house prices and bank instability. Specifically, there are two income growth thresholds when using the house price changes and one income growth threshold when the house price deviations are applied. Robustness results using the non-MSAs sample from 1995Q1 to 2010Q4 provide further evidence of income growth threshold effects.     

人口年龄结构与住宅价格调控

在人12老龄化背景下．当人12总量和年龄结构发生质的变化时,将对住宅价格产生深远影响。本文在人口学研究基础上。有效结合住宅销售价格指数．通过逐步回归的方法获得购房适龄人口数量与住宅价格的关系模型,同时创新性地纳入莱宾斯坦人口发展五阶段理论,通过Logarithmic曲线模型进行量化分析。结论显示,在假定条件下．随着未来适龄购房人口的减少,国内住房价格将在2018年出现拐点并逐步回落,并在2030年前后降至2000年水平（剔除通胀因素）,之后将处于长期低迷状态。因此当前在遏制住房价格过快上涨的同时,应从更长远的视角构建调控思路。