Determinants of House Prices: A Quantile Regression Approach

OLS regression has typically been used in housing research to determine the relationship of a particular housing characteristic with selling price. Results differ across studies, not only in terms of size of OLS coefficients and statistical significance, but sometimes in direction of effect. This study suggests that some of the observed variation in the estimated prices of housing characteristics may reflect the fact that characteristics are not priced the same across a given distribution of house prices. To examine this issue, this study uses quantile regression, with and without accounting for spatial autocorrecation, to identify the coefficients of a large set of diverse variables across different quantiles. The results show that purchasers of higher-priced homes value certain housing characteristics such as square footage and the number of bathrooms differently from buyers of lower-priced homes. Other variables such as age are also shown to vary across the distribution of house prices.

Models with Unexpected Components: The Case for Efficient Estimation

Financial models often use unexpected explanatory variables. Conventionally, these are generated as the residuals of auxiliary equations, which are then substituted into the model of interest in a second step. This induces an econometric problem into the estimates, which is typically ignored. We propose a maximum likelihood estimation method as a solution. While there may be a predisposition when using financial data to dismiss our method as difficult to specify correctly, Monte Carlo simulations show that our method is robust. Further, we show that the magnitude of errors due to the generated regressor problem is somewhat larger than that due to ignoring the effects of plausible levels of leptokurtosis. An empirical example using commercial bank stock returns finds that hypothesis test conclusions from the conventional method can often be overturned.     

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.     

Prospects: A Missing Piece of Current Selling Price Reporting

This article seeks to provide insights about a conceptual objection to current selling price reporting: that, in its determination of asset amounts, such reporting ignores the reporting entity's prospects (potential, promise, outlook) for achievement of possession of or of access to consumer general purchasing power beyond its achievement to date of such possession or access. The article argues that financial reports should provide (a) information that is helpful to the users to evaluate the prospects of the reporting entity, including financial statement information based on current selling price reporting, (b) a section of the income statement presenting amounts spent during the reporting period to enhance the reporting entity's prospects, and (c) various kinds of supplementary information to aid the evaluations, such as the kinds discussed in this article.     

The Housing and Credit Bubbles in the United States and Europe: A Comparison

A house price boom occurred simultaneously in the United States and in a number of European countries from 2003 to 2007, accompanied in each case by an expansion in housing finance. This article considers the role of financial innovation along with incomplete markets in these cycles.     

A Complete-Market Generalization of the Black-Scholes Model

The author proposes a new single-stock generalization of the Black-Scholes model. The stock price process is Markovian, the volatility is time-varying, and the market is complete. We also consider the option pricing based on our model and a connection with the equilibrium theory.     

Market Reform and Efficiency: The Case of KOSPI200 Options

The Korean government and exchange have identified a need to regulate excessive speculative trading and to protect domestic individual investors from foreign and professional traders. As such, they have proposed an options market reform that requires higher levels of margin accounts for options trading and that increases the basic options multipliers in the KOSPI200 options market. This study examines how this market reform affects the price disagreement and adjustment behaviors of the index options market. Our analyses indicate that the efficiency and information quality of out-of-the-money options trades have increased since the reform took effect.     

石油价格与股票市场的溢出效应——基于中美数据的比较分析

本文以中美股票市场和国际原油市场的数据为样本,用VAR模型和二元GARCH模型研究了中美股市价格和国际石油价格的收益率及波动的溢出效应。研究结果表明,中国股市价格和国际石油价格之间,既不存在任何方向的收益率溢出效应,也不存在任何方向的波动溢出效应;而国际石油价格的变化率对于美国股市收益率确有负向先导作用,并且两者之间具有双向的波动溢出。     

虚拟资本的运动特征与中国上市公司的监管

20 0 1年的股市大辩论和股市大曝光表明 ,加强对我国证券市场尤其是上市公司的监管势在必行。本文拟从希法亭虚拟资本理论入手 ,通过分析虚拟资本运动的基本规律和特征 ,冀求探索中国上市公司监管的理论依据和有效途径     

The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges

We examine the effectiveness of price limits on Chinese A shares and investigate the characteristics of those stocks that hit their price limits more frequently. We find that the effect of price limits is asymmetric for the A shares in upward and downward price movements and different for bullish and bearish sample periods. During a bullish period price limits effectively reduce stock volatility for downward price movements, but not for upward price movements; while during a bearish period price limits effectively reduce stock volatility for upward price movements, but not for downward price movements. Second, price limits delay efficient price discovery for upward price movements, but not for downward price movements. However, we do not find evidence to suggest that price limits harmfully interfere with the stock trading processes in the Chinese A share markets. Finally, we find that actively traded stocks hit their price limits more often and tend to hit the lower limit more frequently when overall market conditions are bearish. Stocks with high book-to-market values of equity hit their upper price limits more frequently, while stocks with a high ratio of tradable shares tend to hit their price limits less frequently.JEL Classification: G10, G14, G15     

中日证券市场几个重要问题的比较研究

本文系统地比较研究了中国和日本证券市场的多个问题,从数据挖掘和计量经济学角度分别针对价格序列、价格波动性和周内效应三方面对中日证券市场进行分析,得出指数收盘价时间序列比较方面,中国和日本两个证券市场的确存在一定的相似性,但中国市场的短期波动要大于日本市场;中国证券市场中上海和深圳股市的波动具有很强的波动聚类性和持续性,日本证券市场除了过去的方差记忆,还存在其他未知的影响市场变动的因素;周内效应在两国的体现不同等一系列重要结论。     

股票价格波动对银行稳定影响的理论及经验分析

商业银行直接或间接地参与股票市场，就会因股票价格的波动影响银行资产质量进而影响银行资产负债表和银行稳定。理论和实践证明股票价格的急剧波动和银行部门不稳定性扩散之间存在紧密的联系；同时，银行信贷的扩张对股票价格的波动有很大影响。对我国的经验分析表明：银行间信贷市场与股票市场的资金连通存在较强的相关性；上市银行脆弱度与上证综合指数的相关性在5％水平上显著。在综合经营的大背景下，应加强对我国金融脆弱性的识别和监管，疏通货币市场与股票市场正常的资金联系，加强对商业银行的审慎管理，银行自身也要加强风险管理。     

三季度银行间市场走势分析

本文主要分析了三季度货币政策工具的几个特点。在此基础上,对货币、债券市场走势进行判断：一是货币市场方面,资金面逐步缓解,货币市场利率震荡下行;二是债券市场方面,波动加大,短债利率攀至历史最高。     

Owner-Occupied Housing and the Composition of the Household Portfolio: The Case of France

This paper investigates the impact of housing demand on the composition of the optimal portfolios of homeowners in France, following the methodology developed by Flavin and Yamashita (NBER Working Paper 6389, 2002). We use historical data on housing prices and financial assets returns to estimate the mean return and covariance matrix of a set of assets including housing. We then calculate mean-variance efficient frontiers associated to various levels of the housing-to-net wealth ratio, corresponding to the average ratios observed for different age groups in the 1998 French Wealth Survey sample. Our numerical results fit the average portfolios in different age brackets quite well. Also, returns of housing and its covariance with the other assets indicate there is room in France for housing price derivatives.     

The Effects of Uncertainty on Market Prices: Evidence from Coaching Changes in the NBA

Abstract:  This study examines the effects of uncertainty on market prices. Specifically, we use the National Basketball Association betting market to examine whether uncertainty resulting from midseason coaching changes affects the ability of bettors to accurately set betting lines. We find that uncertainty amid midseason coaching changes results in less accurate pricing, as evidenced by higher volatility and greater overall inaccuracy in betting lines. We also find that uncertainty regarding the ability of the replacement coach and/or his strategies results in less accurate pricing, again evidenced by higher volatility and greater overall inaccuracy in betting lines.     

The Choice of Methodology for Computing Housing Price Indexes: Comparisons of Temporal Aggregation and Sample Definition

Housing transactions are executed and recorded daily, but are routinely pooled into longer time periods for the measurement and analysis of housing price trends. We utilize an unusually rich data set, covering essentially all arm's length housing sales in Sweden for a dozen years, in an attempt to understand the effect of temporal aggregation upon estimates of housing prices and their volatilities. This rich data set also provides a unique opportunity to compare the results using the conventional weighted repeat sales model (WRS) to those based on a research strategy which incorporates all available information on house sales. The results indicate the clear importance of temporal disaggregation in the estimation of housing prices and volatilities—regardless of the model employed.The appropriately disaggregated model is then used as a benchmark to compare estimates of the course of housing prices produced by the two models during the twelve year period 1981–1993. These results indicate that much of the difference between estimates of price movements can be attributed to the data limitations which are inherent in the repeat sales approach. The results, thus, suggest caution in the interpretation of government-produced price indices or those produced by private firms based on the repeated sales model.     

Estimating the Economic Benefits of Cleaning Up Superfund Sites: The Case of Woburn,Massachusetts

Superfund was established in 1980 to deal with closed and abandoned hazardous waste sites. Given the large amounts of money being spent on cleanups of Superfund sites, one might hope that the money is being spent in a cost-effective manner, but there is little evidence that the estimated benefits from cleanup affect the cleanup decision. We apply the hedonic method to house prices to estimate the individual willingness to pay (WTP) to clean up a Superfund site. We then show how the individual WTP can be used to calculate the total benefits from cleaning up the site so that a cost-benefit analysis of Superfund cleanup can be undertaken. We apply our technique to the two Superfund sites in Woburn, Massachusetts. We find that the benefits from cleaning up these sites are in the range of $72 million to $122 million (1992 dollars). It is likely that these benefits are greater than the present value of the estimated costs of cleaning up these sites. Thus it appears that the cleanup of the Woburn Superfund sites results in positive net benefits to society.     

房地产税收的一般经济分析

房地产税作为地方政府理想的收入来源,对于实质性财政分权制度的建立具有非常重要的作用。关于房地产税的税负归宿问题,理论界存在三种不同的观点。但这三种观点并不是相互排斥的,在不同的情况下,每种观点可能都是有效的。按照现代资产定价理论,房地产税收通过改变住宅投资的预期增值,从而影响住宅资产价格的走势。     

Explaining co-movements between stock markets: The case of US and Germany

We explain co-movements between stock markets by explicitly considering the distinction between interdependence and contagion. We propose and implement a full-information approach on data for US and Germany to provide answers to the following questions:

(i) Is there long-term interdependence between US and German stock markets?

(ii) Is there short-term interdependence and contagion between US and German stock markets, i.e. do short-term fluctuations of the US share prices spill over to German share prices and is such co-movement unstable over high-volatility episodes?

Our answers are, respectively, no to the first question and yes to the second one.     

推动房价上涨的货币因素研究——基于美国、日本、中国泡沫积聚时期的实证比较分析

本文从理论上探究了货币量与房价之间的双向联系,分析了不同渠道下两者之间的动态加速器机制。从货币结构的视角选用了准货币作为考察货币与房价关系的主要变量进行论证。在此基础上,采用协整VAR模型的框架在货币、资产价格、宏观经济之间建立多变量关系,同时针对美国、日本、中国三个国家的典型房价泡沫积聚时期的数据进行实证比较分析。结果表明三个国家中货币量与房价之间都存在长期均衡关系,巨额货币存量推动房价上涨的力量比较强大而且明显。在资产泡沫积聚时期,推动房价上涨的实体因素不足,最重要的还是货币因素推动。因此,要控制房价过快增长,需要中央银行调整货币政策框架及通胀目标,关注资产价格变化并有效控制货币量。