Repeat Sales Regression on Heterogeneous Properties

This paper proposes a generalized repeat sales regression (GRSR) that uses repeat sales from the entire market, in which properties may have heterogeneous value appreciation processes, to estimate price indices for not only the entire market, but also submarkets or customized portfolios of properties that only have small numbers of value observations. Monte Carlo simulations provide strong evidence that the GRSR indices more accurately measure the index for the entire market as well as individual property value appreciation than conventional RSR indices. This paper also proposes a Chi-square test to detect the heterogeneity in property value appreciation across submarkets/portfolios, and use simulations to show that the test is powerful in small samples. This paper finally illustrates the application of the GRSR using a historical dataset of the Chicago housing market from 1970 to 1986.     

Manufacturing versus Distribution: Implicit Pricing of Real Property Characteristics by Submarket

This article develops and tests the idea that the industrial real estate market is an aggregate market consisting of at least two submarkets—manufacturing and distribution. While there is no observable difference in implicit pricing of most industrial property characteristics across these two submarkets, some property-characteristic implicit prices do differ. Therefore, manufacturing and distribution submarket property-pricing functions are best estimated in aggregate, while making allowances for variability of coefficients on some property characteristics. For this sample of 331 industrial property sales from the southeastern region of the United States, the two submarkets vary with regard to implicit pricing of building volume, below-average building condition, site area, and dock-high doors.     

Spatial Autocorrelations and Urban Housing Market Segmentation

This paper seeks to let data define urban housing market segments, replacing the conventional administrative or any pre-defined boundaries used in the previous housing submarket literature. We model housing transaction data using a conventional hedonic function. The hedonic residuals are used to estimate an isotropic semi-variogram, from which residual variance–covariance matrix is constructed. The correlations between hedonic residuals are used as identifier to assign housing units into clusters. Standard submarket identification tests are applied to each cluster to examine the segmentation of housing market. The results are compared with the prevailing structure of market segments. Weighted mean square test shows that the defined submarket structure can improve the precision of price prediction by 17.5%. This paper is experimental in the sense that it represents one of the first attempts at investigating market segmentation through house price spatial autocorrelations.     

The Housing Market Effects of Local Home Purchase Restrictions: Evidence from Beijing

Home prices have surged in major Chinese cities, leading to concerns of asset price bubbles and housing affordability. The policy of home purchase restrictions (HPR) has been one of China’s harshest housing market interventions to squeeze out speculative demand and dampen the soaring home prices. Beijing was the first city to implement the HPR. Employing the regression discontinuity design technique, we find that Beijing’s HPR policy triggered a 17–24 % decrease in resale price, a drop in the price-to-rent ratio of about a quarter of its mean value, and a deep (1/2 to 3/4) reduction in the transaction volume of the for-sale market, with no significant change in the rent or the transaction volume of rental units. In submarkets where housing supply was less elastic, the effects of the HPR were larger in price and smaller in quantity, suggesting that wealthy buyers likely benefited more from the HPR. The scope of the analysis does not allow conclusions regarding the persistence or longevity of these effects.     

Integrating intelligent systems into marketing to support market segmentation decisions

For the last 50 years market segmentation has been considered to be a key concept in marketing strategy. As a means of tackling market heterogeneity, the underlying logic and managerial rationale for market segmentation is well established in the marketing literature. However, there is evidence to suggest that attempts by organizations to classify customers into distinct segments for whom product or services can be specifically tailored are proving to be difficult to implement in practice. As the business environment in which many organizations operate becomes increasingly uncertain and highly competitive, greater importance is now being attached to marketing knowledge. The purpose of this paper is to highlight market segmentation problems as a relevant area for a greater level of engagement of intelligent systems academic researchers and practitioners with their counterparts within the marketing discipline, in order to explore how data mining approaches can assist marketers in gaining valuable insights into patterns of consumer behaviour, which can then be used to inform market segmentation decision‐making. Since the application of data mining within the marketing domain is only in its infancy, a research agenda is proposed to encourage greater interdisciplinary collaboration between information systems and marketing so that data mining can more noticeably enter the repertoire of analytical techniques being employed for segmentation. Copyright © 2007 John Wiley & Sons, Ltd.     

2014年上半年中国货币市场运行报告

2014年上半年，中国人民银行继续执行稳健货币政策，适时主动地进行预调微调，有效稳定市场预期。货币市场平稳运行，成交规模稳步扩大，市场利率震荡下行，波动幅度逐步收窄，各子市场发展速度出现分化。银行业金融机构融出意愿有所增强，非银行市场主体参与度不断提升，货币市场流动性管理功能进一步发挥。     

Submarkets and the evolution of market structure

We construct a model of industry evolution in which the central force for change is the creation and destruction of submarkets. Firms expand when they are able to exploit new opportunities that arrive in the form of submarkets; they contract and ultimately exit when the submarkets in which they operate are destroyed. This simple framework can transparently explain a wide range of well‐known regularities about industry dynamics, most notably the subtle relationships between size, age, growth, and survival. Data on the laser industry, where submarkets are prominent, further illustrate the ability of the model to explain distinctive patterns in the evolution of industries and firms.     

Market Segmentation and the Cost of Capital in a Domestic Market: Evidence from Municipal Bonds

We study the implications of market segmentation in a domestic setting, the US municipal bond market. A (state‐level) segmentation of this market emerges from asymmetric tax exemption. Municipal bond investors are exempt from state and local taxes on bonds issued by their own state, but not on bonds issued by other states. We demonstrate that market segmentation imposes significant costs on both issuers and investors in the form of higher yields and higher costs of financial intermediation. Our results provide insight into some well‐documented artifacts of the municipal bond market, such as high yields and the popularity of insurance.     

Seemingly Irrational but Predictable Price Formation in Seoul’s Housing Market

This paper tests the dynamics implied by a supplied-constrained view of the relationship between market fundamentals and house prices in the case of Seoul’s condominium market. The view is that supply constraints have led to serious shortages in certain submarkets, and that these shortages have led to a rapid rise in house prices and to panic buying or inflation-induced investing and to further price increases. The estimation period of the test is November 1988–February 2007. The results suggest that house prices in Seoul are highly persistent because of these supply constraints. Additionally, we do what we can with the available data to determine if house price increases serve to increase demand further, and if rent-price ratios and nominal interest rates are a good predictor of how housing prices in Seoul will evolve over time.     

Analysis of Spatial Autocorrelation in House Prices

This article examines spatial autocorrelation in transaction prices of single-family properties in Dallas, Texas. The empirical analysis is conducted using a semilog hedonic house price equation and a spherical autocorrelation function with data for over 5000 transactions of homes sold between 1991:4 and 1993:1. Properties are geocoded and assigned to separate housing submarkets within metropolitan Dallas. Hedonic and spherical autocorrelation parameters are estimated separately for each submarket using estimated generalized least squares (EGLS). We find strong evidence of spatial autocorrelation in transaction prices within submarkets. Results for spatially autocorrelated residuals are mixed. In four of eight submarkets, there is evidence of spatial autocorrelation in the hedonic residuals for single-family properties located within a 1200 meter radius. In two submarkets, the hedonic residuals are spatially autocorrelated throughout the submarket, while the hedonic residuals are spatially uncorrelated in the remaining two submarkets. Finally, we compare OLS and kriged EGLS predicted values for properties sold during 1993:1. Kriged EGLS predictions are more accurate than OLS in six of eight submarkets, while OLS has smaller prediction errors in submarkets where the residuals are spatially uncorrelated and the estimated semivariogram has a large variance.     

Anisotropic Autocorrelation in House Prices

This article examines anisotropic spatial autocorrelation in single-family house prices and in hedonic house-price equation residuals using a spherical semivariogram and transactions data for one county in the Philadelphia, Pennsylvania, MSA. Isotropic semivariograms model spatial relationships as a function of the distance separating properties in space. Anisotropic semivariograms model spatial relationships as a function of both the distance and the direction separating observations in space. The goals of this article are (1) to determine whether there is spatial autocorrelation in hedonic house-price equation residuals and (2) to empirically examine the validity of the isotropy assumption. We estimate the parameters of spherical semivariograms for house prices and for hedonic house-price equation residuals for 21 housing submarkets within Montgomery County, Pennsylvania. These housing submarkets are constructed by dividing the county into 21 groupings of economically similar adjacent census tracts. Census tracts are grouped according to 1990 census tract median house prices and according to characteristics of the housing stock. We fit the residuals of each submarket hedonic house price equation to both isotropic and anisotropic spherical semivariograms. We find evidence of spatial autocorrelation in the hedonic residuals in spite of a very elaborate hedonic specification. Additionally, we have determined that, in some submarkets, the spatial autocorrelation in the hedonic residuals is anisotropic rather than isotropic. The empirical results suggest that the spatial autocorrelation in Montgomery County single-family house-price equation residuals is anisotropic in submarkets where residents typically commute to a regional or local central business district.     

The research vendor selection process: A quantitative decision matrix for increasing value for both buyers and sellers

This paper provides a real life example of the importance of the research vendor selection process within an organisation that is transforming its focus towards a customer-centric approach through an increased understanding of customers and consumers and the use of research for segmentation. The authors have developed a ‘Vendor Selection Matrix’ which quantitatively weighs and measures potential vendors against key criteria for successful research and segmentation. This matrix was used on a consulting project with a Canadian-based financial services organisation. Valuable insights and ideas for marketing executives, managers and professionals, the market research community and marketers of financial services products are provided. The paper finishes with the key lessons learnt throughout the market research vendor selection process, industry applicability and implications for further research.     

Housing Segmentation in Developing Countries in Transition: A Recent Case Study of Residential Development in Bangkok

This article utilizes case study research of the residential market in Bangkok to investigate residential development and market segmentation in developing countries with emerging market economies. The article first considers the process of economic reform and transformation before examining the entrepreneurial, legal, and institutional environments in Thailand and evaluating the pattern of urban growth in Bangkok. Segmentation studies are then presented by product type, price level, and spatial distribution before conclusions from the case study are generalized to developing countries in transition.     

Cointegration and causal relations in mortgage and capital markets

In years past, credit rationing resulted in the primary mortgage market being segmented from national capital markets. Some research suggests that the deregulation of depository institutions in the early 1980s along with the exponential growth in the secondary mortgage market, has resulted in a primary mortgage market more fully integrated with national capital markets. This study employs Granger Causality to test primary and secondary mortgage market segmentation. Our findings support the conclusion that causality is unidirectional from the treasury market to the primary and secondary mortgage market. The results also indicate that mortgage market speed of adjustment increased significantly by the end of the decade.     

Barriers to international investing and market segmentation: Evidence from Indian GDR market

In this paper we evaluate market segmentation and its effect on the pricing of cross-listed securities using Indian Global Depositary Receipts (GDRs). When international capital markets are segmented, cross-listed securities may trade at different prices. We test this market segmentation hypothesis using a theoretical and empirical model developed along the lines of Hietala [Hietala, P.T., 1989, Asset pricing in partially segmented markets: Evidence from the Finnish market, Journal of Finance 44, 697–718]) and Foerster and Karolyi [Foerster, S.R., Karolyi, A.G., 1999, The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States, Journal of Finance 54, 981–1013; Foerster, S.R., Karolyi, A.G., 1999, The long-run performance of global equity offerings, Working Paper, Ohio State University]. Our model looks at a specific type of market segmentation in India, where capital flow barriers are such that domestic investors are allowed to invest only in domestic securities, while the foreign investors can invest in dollar-denominated Indian GDRs as well as other foreign securities. Tests on these GDRs indicate that foreign investors, who hold these depositary receipts, estimate the expected returns at a lower level than the domestic investors do. This leads to the GDRs being priced at a premium over the exchange rate adjusted prices of the underlying Indian securities. GDR index returns are affected by both domestic and international factors, while the underlying Indian securities are affected only by domestic variables.     

Mature Australian consumers' adoption and consumption of self-service banking technologies

The slow diffusion of self-service banking technologies (SSBTs) into the mature consumer market necessitates research to understand better this growing section of the population and the diversity that exists within this market. This research analyses the 50+ market through a segmentation approach based on the level of use of SSBTs. Three segments were identified: non-users, low users and medium-to-high users of SSBTs; these are profiled by frequency of use and demographic variables. The medium-to-high user segment embraces a range of SSBTs and uses credit cards to facilitate their financial activities. Non-users and some low users prefer the customary way of conducting transactions and enjoy the personal interaction with the bank employee. These two segments do, however, have a moderate level of credit card use. Finally, a small percentage of diffusion discontinuance was identified in this study of the mature consumer market.     

Effects of Market Segmentation and Bank Concentration on Mutual Fund Expenses and Returns: Evidence from Finland

A tremendous amount of research examines US mutual funds, but fund markets also thrive in other countries. However, research about these fast growing markets is lacking. This study addresses Finnish funds. Fast growth of the Finnish fund industry, strong bank dominance in the industry and recent EU membership make it an interesting market to examine. The Finnish fund market is also of particular interest since it had the fastest growth among the EU countries during 1996–2000. We find evidence that bank‐managed and older funds charge higher expenses but investors are not compensated for paying higher expenses with higher risk‐adjusted returns, suggesting a potential agency problem. Overall, Finnish fund expenses have decreased over time, consistent with EU membership reducing market segmentation and generating competition.     

A Breakdown of the Valuation Effects of International Cross‐listing*

It is well known that cross‐listing domestic stocks in foreign exchanges has significant valuation effects on the listed company's shares. Using a sample of firms with dual shares, we explore the differential effects of cross‐listing on prices and we are able to separate the different sources of the benefits of cross‐listing. These sources include market segmentation, liquidity, and the bonding of controlling shareholders to lower expropriation of firm resources. Our results show that even though the market segmentation and bonding effects are both statistically significant, the economic significance of segmentation is more than double that of bonding. Furthermore, we document an economically and statistically significant increase in the liquidity of both share classes after the listing. Overall, our results explain why less and less firms are willing to list in the USA: Sarbanes Oxley has increased the cost of adopting better governance while its benefits are not substantial; and market segmentation has decreased significantly in the last years.     

Market segmentation and the valuation of closed-end country funds: An empirical analysis

This article examines the role of market segmentation on the valuation of the U.S. stock exchange-listed closed-end country funds and analyzes the determinants of net fund premia in a multivariate context. It is shown that fund returns are generally sensitive to both national and U.S. market factors, but only national factors are priced. Cross-section and time series estimation of net fund premia indicates the importance of market segmentation as a determinant of net fund premia. There is some evidence that exchange rate changes may exert an additional influence. However, market expectation variables such as economic growth of the country or relative capitalization rates are insignificant.     

Interbank Market Integration under Asymmetric Information

Cross-country bank lending appears to be subject to market imperfectionsleading to persistent interest rate differentials. In a modelwhere banks need to cope with liquidity shocks by borrowingor by liquidating assets, we study the scope for internationalinterbank market integration with unsecured lending when cross-countryinformation is noisy. We find that an equilibrium with integratedmarkets need not always exist, and that it may coexist withone characterized by segmentation. A repo market reduces interestrate spreads and improves upon the segmentation equilibrium.However, it may destroy the unsecured integrated equilibrium.