Alternative Methods of Increasing the Precision of Weighted Repeat Sales House Prices Indices

Weighted repeat sales house price indices have become one of the primary indicators used to identify housing market conditions and to estimate the amount of equity homeowners have gained through house price appreciation. The primary reason for the acceptance of this methodology is that it derives a location specific (typically, census division, state or metropolitan area) average change in house prices from repeated observations of individual house prices. It is this repeat attribute that allows repeat sales price indices to claim that it is a preferable index which does a better job of holding quality constant. The amount of time between the two observed prices for a single property is determined by when the home transacts. Some homes transact twice in a period of months and others do not transact for decades. It is likely that individual house price appreciation rates vary from the mean appreciation rate, as estimated by the index, in a systematic fashion. In general, the longer the time between transactions the more variance there is in individual house price appreciation. This paper extends this concept to include new dimensions. For instance, houses that appreciate faster than the mean, as estimated by the index for that location, may experience a different variation structure than homes that appreciate slower. This process can be viewed as an asymmetric treatment of the variance of house price appreciation around the estimated index. In addition, the variance of expensive and affordable homes may also be different and time varying. This paper finds evidence that adding the dimensions of price tiers and asymmetry to the variance estimate has merit and does affect the estimated index as well as homeowner equity estimates. Homeowner equity estimates are especially sensitive to these added dimensions because they depend on both the revised index and the estimated variances, which are specific to each dimension considered—time between transaction, asymmetry, and price tier.     

Developing a House Price Index for The Netherlands: A Practical Application of Weighted Repeat Sales

This paper describes the development of a house price index that has been introduced in May 2005 in The Netherlands. This monthly index, called Woningwaarde Index Kadaster (House Price Index Kadaster), is designed to detect changes in the price of the overall stock of owner-occupied homes. Fifty-five indices are calculated: one overall index, four regional indices, 12 provincial indices and 38 indices based on combinations of region/province and dwelling type. We used Case and Shiller’s geometric Weighted Repeat Sales Model to calculate monthly house price indices. We used recorded data on the sales of over 500,000 owner-occupied homes in The Netherlands, all representing repeat sales between January 1993 and December 2006. The accuracy of the index was determined using the 95% confidence interval. We observed that accuracy might become a problem in smaller sub samples. Revision volatility was explored by comparing the index values computed from all available data until December 2005 with the index values computed from the data available until December 2006. Our analysis showed that revision volatility does not seem to be a major problem to the index. We also explored heteroskedasticity in the Repeat Sales method but did not find conclusive evidence for the proposed heteroskedasticity. Given our target (a geometric mean index value) and the characteristics of the dataset (very large but without property characteristics) the Repeat Sales Method seems to be adequate for calculating a house price index for The Netherlands.

Short Holds,the Distributions of First and Second Sales,and Bias in the Repeat-Sales Price Index

The Journal of Real Estate Finance and Economics -     

Adjusting for Non-Linear Age Effects in the Repeat Sales Index

A true constant quality real estate price index should measure the general change in price level free from any change in quality over time. In recent years, the repeat-sales method has been widely used to construct constant quality property price indices. Since buildings depreciate over time, a simple repeat-sales index would underestimate the growth in property prices. The major problem of controlling the effects of age constant in a repeat-sales model arises from the exact multicollinearity between the age variable and the time dummy variables. In this study, we derive a solution that is theoretically sound and practical by allowing the age effects to be non-linear. In case of leasehold properties, we further incorporated interest rates into the model because the effects of age on real estate prices depend theoretically on interest rates. A sample of residential units in Hong Kong sold more than once from Quarter 2 of 1991 to Quarter 1 of 2001 (more than 11,000 repeat sales pairs) are used for the empirical analysis.     

The causal relationships between residential property prices and rentals in Hong Kong: 1982–1991

This study examines the causal relationships between sale price changes and rental rate changes in the Hong Kong real estate market. Three different hypotheses are put forth: 1) the demands in the two markets are substitutes, 2) prices and rentals are positively correlated; and 3) prices and rentals are not correlated because of market segmentation. Using quarterly data of sale prices and rental rates for the five categories of residential property from four different districts, causal relationships are not found in 29 cases out of 40. For the other 11 cases, we find that price changes lead rental rate changes. The lag period is found to be one quarter, and this shows that the two markets are efficient: only one quarterly lag is necessary to establish causality where it exists.     

The Construction of Residential Housing Price Indices: A Comparison of Repeat-Sales,Hedonic-Regression,and Hybrid Approaches

This article examines a number of hypotheses that underpin the repeat-sales and hedonic approaches to the construction of housing price indices, as well as the practical problems associated with the implementation of either approach. We also examine a hybrid procedure that combines elements of both the repeat-sales and hedonic-regression techniques. For our sample of individual home sales in Oakland and Fremont California over an 18-year period, repeat-sales methods are subject to sample selection bias; the maintained assumption of time constancy of implicit prices of housing attributes is violated; the repeat-sales estimator is extremely sensitive to influential observations; and the usual method used to correct for heteroskedasticity in repeat-sale housing returns is inappropriate in our sample. Hedonic techniques are better suited to contend with index number problems per se, as they can accommodate changing attribute prices over time. They also appear to give rise to more reliable estimates of price indices, as unusual observations have less effect on estimated price indices. Drawbacks of the hedonic approach include the usual concern with omitted attributes, and their effect on the estimated price index.     

Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index

This article documents 20 years of performance of commercial real estate in the United States using a portfolio of properties that comprise the widely followed NCREIF Property Index (NPI). We develop an extension of the repeated-measures regression (RMR) to produce an improved version of the NCREIF Index that eliminates the stale appraisal and seasonality problems. We use this RMR version of the index to examine the magnitude and duration of the of the crash in property values in the early 1990s. The RMR Index is also compared with the NAREIT Index, and property-type subindices are developed using a Bayesian estimator. Finally, it is also shown how the RMR can be used to estimate the average magnitude of random valuation error in commercial property valuation.     

住宅市场量价关系分析——基于香港数据的实证研究

本文基于滤波方法-9向量自回归模型，对香港十多年的住宅交易量和价格数据进行实证研究。结果显示，考察1996．1-1997．6区间的样本交易量与价格互为格兰杰因果关系，表现出正反馈效应，投机现象非常明显。但当选取1997．7-2007．7区间的样本则仅发现价格是交易量的格兰杰原因，并不存在双向因果关系。方差分解结果表明，交易量波动对于价格波动的影响要大于价格波动对于交易量的影响。     

Effects of the volatility smile on exchange settlement practices: The Hong Kong case

The well-documented volatility smile phenomenon in the US options market has affected the option settlement practices of other markets. To settle Hang Seng Index (HSI) options, the Hong Kong Stock Exchange artificially builds in a piecewise linear “smile” or “sneer” volatility function, which is determined daily by market makers rather than directly by market forces. In this study, we investigate the time-varying settlement function and find the following economic determinants of the volatility function: lag parameters, current-day HSI returns, the distribution of HSI returns, transaction costs as proxied by the bid-ask spread, and the “Monday effect”. For evaluation purposes, we use as a benchmark the estimated piecewise linear volatility function as directly driven by market forces. The comparison analyses show that base volatilities set by market makers run somewhat high, while downside slopes are not steep enough. This results in the overpricing of the lion’s share of traded options. An economic determinants analysis of market-force-driven parameters reveals that market makers can better align artificial volatility parameters both by reducing reliance on the function parameters of prior days and by more precisely accounting for current-day HSI returns, option time-to-maturity, bid-ask spreads and buying pressure.     

Constraints on Loan Sales and the Price of Liquidity

In the syndicated loan market, borrowers and syndicate arrangers sometimes employ contractual restrictions that influence a loan’s liquidity. We analyze two types of constraints on loan resales: (1) prior consent constraints implemented by the borrower or the syndicate’s lead arranger and (2) a minimum denomination requirement for loan sales. We hypothesize that constraints could be mechanisms for fostering relationships and/or facilitating the resolution of financial distress and find some support for each notion. We find that resale constraints are more likely when borrowers are small and have relatively poor credit ratings. We also find that loans with any type of constraint have higher all-in-spreads and are more likely to be secured than unconstrained loans and that the marginal cost of constraining liquidity is relatively high.

海南自由贸易港销售税制度研究

科学合理的税费制度对于海南自由贸易港发展具有至关重要的作用.行将启动的简并增值税、消费税、车辆购置税、城市维护建设税及教育费附加等税费,以及已经启动的在货物和服务零售环节征收销售税的税制改革是实现海南自由贸易港税制设计目标的重要举措.海南自由贸易港销售税宜采取"窄税基、高税率"的设计思路.销售税征收宜根据不同应税商品的...     

The underperformance of the growth enterprise market in Hong Kong

This paper examines the stock return performance of the IPO stocks which are listed on the Growth Enterprise Market (GEM) in Hong Kong. By using several benchmarks, over 3 years, this paper finds that the results produced are sensitive to the benchmark employed. The two factors causing the underperformance of GEM stocks are the ‘technology boom’ and ‘IPO effects’. This suggests that appropriate benchmarks are very important for assessing the performance of newly issued stocks. The results of the cross-sectional analyses suggest that the Hong Kong GEM is a unique market. Since at least 70 percent of the IPO stocks listed on the GEM are technology stocks, the ‘technology’ factor outweighs the various hypotheses advocated by previous researchers to explain the poor performance of newly listed stocks.     

香港银行保险的发展启示

今年6月，中国农业银行香港培训中心举办了为期各一周的“财险代理业务培训班”和“寿险业务培训班”，向全国农行系统代理保险业务战线的主管及骨干全面介绍了香港银行保险业务的监管要求、发展路径、发展程度、运作模式、产品结构及未来策略等。作者有幸参加了此次培训，并将学习体会诉诸笔端，与读者们共同分享。     

The impact of the Japanese market on the intraday Hong Kong stock returns

This paper examines the impact of the price movement of the Japanese market on the Hong Kong market. We find that the Hong Kong stock prices react rapidly to the return information of the Japanese market. The evidence also indicates that the large price movement of the Japanese market can be used as an indicator for the Hong Kong market. The price reaction of the Hong Kong market is instantaneous and takes place in the opening minutes of the afternoon session. However, there is no excess profits when the transactions costs are included. Finally, the Hong Kong market has a significantly higher turnover when the Japanese market is open.     

Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong

Using a direct test, this paper studies the month-of-the-year effect on the higher moments of six industrial stock indices of the Hong Kong market. We also examine the portfolio effect on skewness and kurtosis across month of the year to see if such an anomaly exists. The empirical results support a weak month-of-the-year effect in higher moments of stock returns. Using a complete sample of all possible combinations for each portfolio size, we show that portfolio effect varies across month of the year for both skewness and kurtosis. In particular, our results show that diversification does not necessarily provide benefits to rational investors when the stock return distribution is non-normal, even though portfolio formation can reduce standard deviation. In June, August and October, diversification across industrial sectors results in a more negatively skewed and leptokurtic return distribution, which is not preferred by investors with risk-aversion. Two (one) possible explanations for the portfolio effect on skewness (kurtosis) are also provided. Our empirical results add new evidence to the existence of anomalies in the Hong Kong stock market. This revised version was published online in August 2006 with corrections to the Cover Date.     

The Political Economy of Volatility Dynamics in the Hong Kong Stock Market

Despite its obvious importance, little empirical research has examined the impact of political risk on stock market volatility. This paper uses data on the Hong Kong stock market over a long sample period to investigate whether political risk has induced regime shifts in stock market volatility. Regime shifts are modelled via a Markov switching EGARCH model that allows for regime-dependent volatility asymmetry. We find strong evidence of regime shifts in conditional volatility as well as significant volatility asymmetry in high volatility periods. Major political uncertainties were reflected in a switch to the high-volatility regime. However, contrary to popular perceptions, we find no evidence that the Hong Kong stock market has become persistently more volatile since the start of Sino-British political negotiations in 1982.     

香港离岸金融发展对大陆金融深化的效应——基于离岸金融中心的实证研究

通过构建离岸金融中心对周边国家(地区)的金融效应模型,并经推导发现,离岸金融中心发展短期内会引发离岸金融中心和周边国家(地区)金融机构之间的竞争,长期内则会强化周边国家(地区)的金融深化。本文综合香港和大陆相关样本数据的实证研究证明,短期内香港离岸金融中心发展不会促进中国大陆的金融深化,只会推动中国大陆的资本开放;长期内香港离岸金融中心发展则对中国大陆金融深化却存在正面效应,香港离岸金融中心发展与中国大陆金融深化之间具有兼容性。本文最后提出对策性建议。     

香港居民投资大陆市场的产品方案研究

扩展香港居民投资大陆市场的渠道是深化深港金融合作的重要内容。由于我国目前实行资本项目管制,香港居民不能直接投资大陆市场。目前,香港发行的A股ETF基金是香港居民投资大陆市场的主要渠道。本文考察了香港发行的A股ETF产品的发展现状、产品设计原理以及QFII制度对香港居民投资大陆产品发展的影响。在目前的QFII制度背景下,本文提出了人民币定价的A股ETF、香港和大陆基金互换、QHII制度等一系列循序渐进的产品和方案。     

A Spatial Autocorrelation Approach for Examining the Effects of Urban Greenspace on Residential Property Values

This paper presents spatially explicit analyses of the greenspace contribution to residential property values in a hedonic model. The paper utilizes data from the housing market near downtown Los Angeles. We first used a standard hedonic model to estimate greenspace effects. Because the residuals were spatially autocorrelated, we implemented a spatial lag model as indicated by specification tests. Our results show that neighborhood greenspace at the immediate vicinity of houses has a significant impact on house prices even after controlling for spatial autocorrelation. The different estimation results from non-spatial and spatial models provide useful bounds for the greenspace effect. Greening of inner city areas may provide a valuable policy instrument for elevating depressed housing markets in those areas.     

促进香港人民币业务发展的思路与对策

2009年以来,香港人民币各项业务加速发展,人民币业务与人民币跨境流通的规模与层次迅速提高,如何促进香港人民币业务的良性发展,成为经济社会广泛关注的焦点。本文着眼于香港人民币业务发展的现状,对其中推动业务发展的因素进行了深入分析,并提出了稳妥推进人民币资本项下可自由兑换、拓宽人民币在香港的投资渠道、建立健全人民币投资回流机制和注重风险控制等政策建议。