Are Housing Price Cycles Driven by Irrational Expectations?

This paper investigates the extent to which condominium apartment prices are set in an efficient asset market. Unlike previous work that focuses on the time-series properties of measures of excess returns, the analysis is framed in terms of the changes in observable house prices over time. More precisely, the paper develops and applies a test of the joint null hypothesis of rational expectations, perfect markets, and no risk premium in the Vancouver condominium apartment market. The empirical results provide significant evidence against the joint null hypothesis. On average, ex post house price changes move in a direction opposite to their rational expectation. This approach offers a methodological advantage over the standard efficiency literature and is shown to provide a more powerful test of market efficiency than conventional return regressions. Another contribution of the paper is to characterize the time-series properties of deviations of condominium prices from those predicted by the risk-neutral rational expectations model, using cointegration and random coefficients techniques. Deviations in house price changes from their (risk-neutral) rational expectations are time varying, stationary, and related to the stage of the real estate price cycle.     

Informed Traders and Price Variations in the Betting Market for Professional Basketball Games

This paper examines betting line changes from the opening to the closing of the point spread betting market on National Basketball Association games for evidence of informed trader betting. We show that within-betting period line changes significantly improve the accuracy of betting lines as forecasts of game outcomes. We examine individual line change magnitudes and show that these are directly and proportionately related to biases in opening lines. Further, line changes are of sufficient magnitude to remove these biases by the close of betting. We interpret these results as evidence that informed traders are influential in this market.     

Volume, Volatility, Price, and Profit When All Traders Are Above Average

People are overconfident. Overconfidence affects financial markets. How depends on who in the market is overconfident and on how information is distributed. This paper examines markets in which price-taking traders, a strategic-trading insider, and risk-averse marketmakers are overconfident. Overconfidence increases expected trading volume, increases market depth, and decreases the expected utility of overconfident traders. Its effect on volatility and price quality depend on who is overconfident. Overconfident traders can cause markets to underreact to the information of rational traders. Markets also underreact to abstract, statistical, and highly relevant information, and they overreact to salient, anecdotal, and less relevant information.     

The Inter-Temporal Behavior of Informed and Uninformed Traders

The purpose of this study is to investigate the inter-temporal trading behavior of informed and uninformed investors. We estimate a variation of the market microstructure model developed in Easley, Keifer, O'Hara, and Paperman (1996) and document the day-of-the-week pattern in informed and uninformed trading, as well as the probability of an information event and the probability of bad news. Using bootstrapped distributions, we show that the probability of trading against informed investors follows a U-shape pattern from Monday to Friday. Cross-sectional regression results suggest that inter-temporal patterns between informed and uninformed traders can generate observed patterns in liquidity provision costs.     

关于理性交易者与噪声交易者划分的进一步探讨

本文从信息与噪声、套利者的交易策略、赚钱的噪声交易者、股票的基本价值等多个方面讨论了交易者类型,认为把金融市场上的交易者划分为理性交易者与噪声交易者是不妥当的,缺乏理论和事实依据。     

The Share Price Impact of UK CCA Disclosures

This study investigates the impact of the experimental standard, SSAP16 (Current Cost Accounting), on share returns on the London stock market. Approximately 200 companies were examined between 1980–84. The experimental design specifies current cost as a supplementary signal to historical cost and employs two main statistical tools: ordinary least squares regression and the abnormal performance metric. In addition, a number of different CCA measurements are specified in order to assess the sensitivity of the results and to ease comparison with other studies. The results suggest that CCA information has a small but significant impact on stock returns in the days up to announcement. However, CCA does not seem to be the main driving force behind long period returns. Returns in the long run are associated more closely with historical cost information than with that generated by SSAPI6.     

The Trade-off Between the Selling Price of Residential Properties and Time-on-the-Market: The Impact of Price Setting

When a house is placed on the market, the seller must choose the initial offer price. Setting the price too high or too low affects the marketability of the property. While there is near universal agreement that the seller faces a trade-off between selling at a higher price and selling in less time, there is less agreement about how to measure this trade-off. This paper offers a framework for analysis and shows that an increase in the list price increases expected time-on-the-market (TOM). Because house buyers must solve a type of signal extraction problem, the effect of a higher list price is magnified for houses in a market segment having a low predicted variance of the list price. This paper also shows that the list price of houses which are withdrawn before sale has a higher mean and variance, and that the possibility of withdrawal censors information about the time-on-the-market.     

The Market for New Issues: Impact of Offering Price on Price Support and Underpricing

Previous studies have shown that the pattern of first day returns to initialpublic offerings is consistent with the hypotheses of underpricing and price support. We examine two different periods, 1975–1984 and 1996–2002, and find that in each case the measures of price support and underpricing are substantially affected by the initial public offerings' beginning price. During the period 1975–1984, the mean and standard deviation of returns to the price supported group are nearly always zero regardless of price, whileg the mean of the returns to the underpriced group is smile-shaped: high for low-priced and high-priced stocks but lower for stocks offered at intermediate prices. The patterns are different in the most recent data: the mean and standard deviation of both the price supported and underpriced groups are smile-shaped. For the lowest priced stocks, the measures in the later period mirror those for the 1975–1984 period, but for more expensive stocks the measures are substantially higher. The results apply to the first day returns of both firm commitment and best efforts offerings. Once price is taken into account, other than the difference in the probability of price support, the differences among offering types seem to be of secondary importance in explaining first day returns. JEL Classification: 1, G12, G24     

国际原油价格波动对中国物价水平的影响

本文在多变量VAR模型的基础上,分别采用协整检验、脉冲响应和方差分解方法分析了国际原油价格对中国物价水平的影响.结果显示：国际石油价格冲击对中国物价水平的影响是显著的,对中国生产者物价水平的影响速度大于对消费者物价水平的影响,对中国生产者物价水平的影响程度大于对消费者物价水平的影响.     

物价稳定目标面临的外来因素冲击及其应对措施

本文运用经济学基本原理分别阐述了进口产品价格和外资并购等两种外来因素对我国价格水平的主要影响形式,阐明了外部因素越来越成为物价稳定目标面临的显著不稳定因素,并针对这一问题提出了相关政策建议。     

The Housing Price Impact of Covenant Restrictions and Other Subdivision Characteristics

Private land-use restrictions at the subdivision level, commonly called covenant or deed restrictions, have the potential to reduce housing consumption and investment risk and existing empirical evidence has shown a positive marginal housing price for covenant restrictions. However, some commentators have charged that covenant restrictions are full of boilerplate and mostly unenforced, thus any positive marginal price measurement captures other unobserved aspects of the subdivision. Indeed newly published estimates report zero or negative marginal price for deed-restricted subdivisions (DRS). This paper reviews these claims using a hedonic model of housing and a unique dataset that includes covenant restrictions, by-laws, and club goods. Results show a positive marginal price of deed restrictions even when controlling for several subdivision characteristics; however, the marginal price of restrictions falls to zero if a covenant is not updated after 25 years.     

国际能源价格走势及其对我国经济的影响

作为国际能源价格标杆的国际油价演变大致分为四个时期,一是第一次石油危机前的极低油价时期,二是第一次石油危机到本世纪初的低油价时期,三是本世纪初以来的油价转换期,目前正逐步走向第四个时期——高油价时期。高价能源时代的迫近对我国经济形成多重压力：物价持续上涨压力,产业结构调整压力,发展模式转换压力,涉外经济转轨压力,社会福利下降压力。应对高价能源挑战必须立足经济社会发展全局高度,对能源与经济社会协调发展进行战略谋划,实行科学的可持续的能源战略。     

我国农产品价格波动对通货膨胀的影响分析

本文基于动态面板数据模型,采用Blundell和Bond(1998)提出的系统广义矩估计及Windmeijer(2005)的两步估计标准差的小样本纠正方法,对我国农产品价格波动对通货膨胀的影响进行研究.结果表明:农产品价格波动对通货膨胀的影响呈显著下降趋势,通货膨胀预期对实际通货膨胀的形成作用逐步加强.     

信用评级对股价涨跌的影响

本文实证检验主体信用评级对股价涨跌的影响。结果发现：低的主体评级会提高个股的股价大幅下跌风险;信息不对称程度越高、代理成本越高,低评级影响股价大幅下跌风险的效应越强。从传导机制来看,较低的主体评级水平具有预测企业未来较差绩效的能力,并且伴随着股价信息含量增加,企业未来融资减少,这表明低评级会通过一般性信息渠道、差别信息渠道和融资渠道提高股价大幅下跌风险。评级上调不会影响股价大幅下跌风险,但降低评级则会提高股价大幅下跌风险。     

宏观流动性的测度、波动及其对资产价格的影响

本文对不同层次的流动性概念进行了阐述,并在此基础上着重探讨了宏观流动性的有关问题,同时通过理论分析及实证检验得出以下结论:宏观流动性的波动总体上取决于货币政策的取向和力度;但也可能在外部冲击下短期内发生剧烈波动。宏观流动性状况对资产价格具有一定作用,但实际影响取决于多种因素。     

最小报价单位对证券市场流动性的影响

目前世界上主要交易所基本上是采用十进制的报价方式，但是对不同的股票价位，其最小报价单位还有一定的区别。这从一个侧面反映了最小报价单位对市场质量的影响还有待进一步研究。     

Informed Traders,Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market

This article identifies price leadership patterns in foreign exchange trading, with a focus on central bank intervention as an informational trigger for leadership positioning. Granger causality tests applied to DM/US$ spot rate quotes reveal Deutsche Bank as a price leader up to 60 minutes prior to Bundesbank interventionary reports. By the minus 25-minute mark, interbank quote adjustments become two-way Granger-causal. These results suggest that central bank activity is revealed in stages: first to the price leader, then to competitors, and lastly to the general public.     

Time and the Price Impact of a Trade

We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade-related information, and the positive autocorrelation of signed trades all increase. This suggests that times when markets are most active are times when there is an increased presence of informed traders; we interpret such markets as having reduced liquidity.