An econometric model of housing price, permanent income, tenure choice, and housing demand

This paper addresses the determination of housing price, permanent income, tenure choice, and housing demand. Full housing demand elasticities incorporate the interactive effects among the four stages of the model. Price and income have major effects in the tenure choice equation. Sociodemographic variables, such as age, have complex effects that may be lost in simpler forms of estimation.     

住房价格指数以及区位对住房价格的影响——北京市住房价格实证分析

根据北京市的1308个新建住宅项目数据,建立了Hedonic模型,着重分析了时间、距离、环线以及行政区等变量对住房价格的影响,构建了北京市住房Hedonic价格指数和住房价格的梯度曲线.     

Managing hedonic housing price indexes: The French experience

Despite their theoretical advantages, hedonic housing price indexes are not so commonly computed by statistical agencies or real estate professionals. Many published indexes still rely on mean or median prices, or favor repeat-sales methods, which require less information about the attributes of the housing units and less econometric expertise on the part of the index compilers, but may be less accurate and robust. In France as in other countries where housing sales have to be recorded in front of a notary, data on transaction prices and characteristics of dwellings are available. Such data have been centralized since 1994, and quarterly hedonic housing price indexes have been computed for more than 10 years. This paper describes the institutional setting of housing transactions in France, and the collaboration between the notaries and the national statistical agency (INSEE). The former are responsible for data collection and regular computation, whereas the latter takes scientific responsibility for the method. The detailed information on the individual properties transacted remains proprietary data, but disaggregated indexes are publicly and freely available. This organization and assignment of roles has proven effective and might be extended to countries with similar institutional settings.     

The reduced form price elasticity of housing

This paper focuses on the modeling of the housing market. First, there is a discussion of terminology. The importance of distinguishing between housing and structures, and between reduced form and supply elasticities is emphasized. Second, the role of tastes and technology is emphasized. Third, the integration of the housing market into a general equilibrium urban model to investigate such issues as the effects of a housing subsidy is discussed. Throughout attention is drawn to what additional information is needed to provide an adequate empirical characterization of the housing market.     

The demand for housing in developing countries: The case of Korea

This paper presents the results of an analysis of urban housing demand for Korea taking into account the most recent findings of housing demand analysis concerning specification and aggregation biases. In order to obtain correctly specified demand functions, a procedure based on a model of the housing market originally proposed by Muth is used. Drawing on the detailed land information available in Korea, this procedure permits the calculation of an individual price per unit of housing services for each household. The results show conclusively that both the income and price elasticity of the demand for housing services in Korea are comparable to those found in the United States: the income elasticity is smaller than one and the price elasticity is negative and smaller than one in absolute value. Given the number of countries found within the per capita income range between Korea ($700) and the United States ($7800), the finding that these two countries have comparable demand elasticities is of major significance: in the absence of good national estimates, the order of magnitudes found here would be used for other country analyses.     

The relationships between income and price elasticities in studies of housing demand,tenure choice,and household formation

Three decisions pertaining to the demand for housing are (1) household formation, (2) tenure choice, and (3) how much housing to consume, given the household formation and tenure choice decisions. Income and price elasticities can be estimated that include one, two, or all three of these decisions. The relationships between these elasticities are developed.     

我国城市移民的住房需求分析

农民工是构成城市移民的主要成分,尽管住房并不是移民支出的主要部分,大多数农民工在进城后选择低端房屋,但家庭聚居方式让移民对住房的要求逐步提高。计算发现,我国每年新增约200万-250万城市移民,即使按照廉租住房标准给他们提供住房,每年的需求增量也多达2600万平方米。因此,解决城市移民的住房问题对经济社会协调发展具有重要意义。     

The use of proxy variables in housing price analysis

This paper presents a reexamination of data used by Berry to study housing prices in Chicago. The detailed data on 275 single-family houses are used to test the proposition that the tax assessment on improvements is a good proxy for the attributes of the houses. It is shown that the test used by Berry is irrelevant for the question of omitted variables bias, and the correct test is presented. It is concluded that the proxy corrects for a bias in the coefficient of percent black population, but increases the negative bias in the coefficient of percent Latino population.     

The reversal of large stock price declines: The case of large firms

This paper examines the long-run reversal pattern for a sample of large U.S. firms that experienced significant stock price declines of more than 20 percent during a specific month. The results from the analysis are largely consistent with the overreaction hypothesis and significantly greater in magnitude than those reported by previous studies. Six and 12 months after their initial price decline, the stocks of large firms earn approximately 4 and 12 percent in excess of what was expected, respectively. However, the magnitude and trend of that reversal differs substantially across industries. Technology stocks experience the largest and strongest reversal pattern followed by manufacturing stocks, while service industry stocks exhibit a clear downward drift that lasts up to three years and can be described as investorunderreaction to the large price drop.     

Determinants of the stock price reaction to leveraged buyouts

This paper investigates the determinants of leveraged buyout activity through the use of an abnormal return premium from the time of the first announcement through the final trading day. Consistent with the free. cash flow theory, firms with either high free cash flow or low Tobin’s q have higher abnormal returns. However, the returns to firms with both high free cash flow and low Tobin’s q are lower than firms with just one of these characteristics. Firms which substantially increase leverage and management buyouts with high insider ownership prior to the buyout have lower abnormal returns. Firms with lower risk, and therefore greater debt capacity, have higher abnormal returns.     

Potential targets: An analysis of stock price reactions to acquisition program announcements

Stockholders of potential targets experience a statistically significant wealth gain of 0.59% over the 3-day window surrounding the acquisition program announcement. Potential targets are defined as those firms that subsequently receive bids. Using alternative definitions, such as a portfolio of all firms in the industry of the target or firms within the target industry with a higher probability of receiving a bid as predicted by a maximum likelihood logit model, yield qualitatively similar results. These findings suggest that events, such as program announcements, release significant merger related information well before a target is formally approached with implications for wealth effects at subsequent bids. As with normal targets, the likelihood of receiving a bid for targets that are part of a broad-based program of acquisitions increases in the level of agency problems, managerial inefficiency and in the proportion of tangible assets in the target.

Estimation of some limited dependent variable models with application to housing demand

A model which extends the switching regression models and combines several different limited dependent variable models into a general framework is introduced. Methods to get consistent estimates and asymptotic efficient estimates are derived. Our estimation procedures are then used to study a housing expenditure model which takes into account the simultaneous determination of whether or not to own, and how much to spend.     

Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency

This study tests for underreaction and overreaction in European large cap markets by examining the abnormal returns of those stocks in the EuroStoxx 50 Index following large price increases and decreases. We find that large price increases and declines tend to be followed by average market returns. Thus, our results support the efficient market theory, rather than any of the behaviour finance hypotheses. This insight is contrary to price patterns found in various national markets.     

The role of the list price in housing markets: Theory and an econometric model

Houses are routinely sold at prices below, but rarely sold at prices above, their list prices. List prices appear to be price ceilings that preclude the possibility of sales at higher prices. This paper presents a theory of sellers' behaviour that explains why there are list prices in housing markets and why list prices are distinct from sellers' reservation prices. The theory forms the basis of an econometric model that has been estimated using data from the Baltimore, MD, area. The estimated model predicts sale and reservation prices conditional on list prices. The predictions of sale prices are considerably more accurate than those obtained from a standard hedonic price regression. The estimated model also explains why sellers may not be willing to reduce their list prices even after their houses have remained unsold for long periods of time.     

Nonlinear budget constraints and consumer demand: An application to public programs for residential housing

This study presents a methodology for exploiting the nonlinear hedonic nature of housing prices to estimate the compensated demands of households for particular housing attributes. The methodology is employed to provide Hicksian benefit measures of a particular housing subsidy program typical of those undertaken recently in developing countries.     

Time on market and sales price of residential housing: A note

This note extends the study of Kalra and Chan (1994). A simultaneous TOBIT equations model is established to address the simultaneity nature of time on the market (TOM) and sales price (SP) in the presence of censored sample bias. We find that both TOM and SP are positively related to each other.     

Using neural network to forecast stock index option price: a new hybrid GARCH approach

This study aims to apply a new hybrid approach to estimate volatility in neural network option-pricing model. The analytical results also indicate that the new hybrid method can be used to forecast the prices of derivative securities. Owing to combines the grey forecasting model with the GARCH to improve the estimated ability, the empirical evidence shows that the new hybrid GARCH model outperforms the other approaches in the neural network option-pricing model.     

Recovery of hidden information from stock price data: A semiparametric approach

This paper proposes a new methodology for measuring announcement effect on stock returns. This methodology requires no prior specification of the event day, event, and estimation windows, and therefore is a generalization of the traditional event study methodology. The dummy variable, which indicates whether the event occurred or not, is treated as missing. The unconditional probability of abnormal return is estimated by the EM algorithm. The probability that announcement is effective and the average announcement effect are estimated by the Gibbs sampler. How the method works is demonstrated on simulated data and IBM stock price returns.     

The cost implications of waste reduction: factor demand, competitiveness and policy implications

Manufacturing produces both good and “bad” outputs, such as waste, which have negative environmental effects. Economic (e.g., tax) and non-economic (e.g., reputation) incentives encourage firms to reduce waste. However, such practices are costly because decreases in output produced or increases in inputs used may accompany waste reduction. We employ a cost function approach to evaluate patterns of output and waste production and capital, labor, and materials use, for UK manufacturing plants. We find that costs of waste reduction generally imply increasing materials use and capital and labor input saving, but vary by county, region, and industry.