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1.
Domino Effects Within a Housing Market: The Transmission of House Price Changes Across Quality Tiers 总被引:1,自引:0,他引:1
Lok Sang Ho Yue Ma Donald R. Haurin 《The Journal of Real Estate Finance and Economics》2008,37(4):299-316
We argue that shocks to a housing market are transmitted through the hierarchy of quality tiers within a housing market. The
result is the prediction of waves of house price changes accompanied by changes in transaction volume. Our study is related
to existing models of spatial ripple effects across housing markets. The data are from the Hong Kong housing market. The findings
from Granger causality tests strongly support the argument that domino effects within a single housing market occur in response
to external shocks.
相似文献
Donald R. HaurinEmail: |
2.
This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
相似文献
Louis T. W. ChengEmail: |
3.
Durables like cars or houses are a substantial component in the balance sheets of households. These durables are exposed to
risk and can be insured in the market. We build a dynamic model in which agents have three possibilities to cope with the
risk exposure of the durable stock: (i) purchase of market insurance, (ii) buffer-stock saving of the riskless asset or (iii)
adjustment of the durable stock. We calibrate our model to the US economy and find a small role for market insurance.
相似文献
Winfried Koeniger (Corresponding author)Email: |
4.
This paper extends the call option model of Milonas and Thomadakis (1997) to estimate oil convenience yields with futures
prices. We define the business cycle of a seasonal commodity with demand/supply shocks and find that the convenience yield
for crude oil exhibits seasonal behavior. The convenience yield for West Texas Intermediate (WTI) crude oil is the highest
in the summer, while that for Brent crude oil is the highest in the winter. This implies that WTI crude oil is more sensitive
to high summer demand and that Brent crude oil is more sensitive to shortages in winter supply. Convenience yields are negatively
related to the inventory level of the underlying crude oil and positively related to interest rates due to the business cycle.
We also show that convenience yields may explain price spread between WTI crude oil and Brent crude oil. Our computed convenience
yields are consistent with Fama and French (1988) in that oil prices are more volatile than futures prices at low inventory
level, verifying the Samuelson (1965) hypothesis that future prices are less variables than spot prices at lower inventory
levels.
相似文献
Chang-Wen DuanEmail: |
5.
Asset Price Spillover,Collateral and Crises: with an Application to Property Market Policy 总被引:1,自引:0,他引:1
Nan-Kuang Chen Charles Ka Yui Leung 《The Journal of Real Estate Finance and Economics》2008,37(4):351-385
This paper studies the impact of land supply elasticity and land use regulation. For sufficiently adverse shocks constrained
entrepreneurs liquidate their assets for debt repayment. This effect can spillover to the residential property market. A crisis
occurs when households are forced to default on their mortgages as well. While both converting costs and land use regulation
tend to magnify the effect of adverse shock, the former generates an asymmetric effect between a positive and a negative shock
on the land market, and the latter tends to raise the likelihood of a crisis, by raising the threshold value of liquidation.
相似文献
Charles Ka Yui LeungEmail: |
6.
We propose two alternative models to estimate fundamental prices on real estate markets. The first model is based on a no-arbitrage
condition between renting and buying. The second model interprets the period costs as the result of market equilibrium between
housing demand and supply. We estimate both models for the USA, the UK, Japan, Switzerland, and the Netherlands. We find that
observed prices deviate substantially and for long periods from their estimated fundamental values. However, we find some
evidence that, in the long-run, actual prices tend to return to their fundamental values progressively. This result is due
to both impulse–response functions and forecast analyses. In particular, we find that using the fundamental price significantly
increases the accuracy of out-of-sample long-term forecasts of the price.
相似文献
Christian HottEmail: |
7.
We conduct an experimental test of a screening model of an insurance market with asymmetric information. We first conduct
three sessions in which the proportion of high risk buyers is such that a separating equilibrium should exist. We then conduct
three more sessions in which the only change we make is decreasing the proportion of high risks such that the equilibrium
is now a pooling equilibrium. In both treatments, the observed behavior converges to the equilibrium prediction.
相似文献
Abdullah YavasEmail: |
8.
S. K. Wong K. W. Chau C. Y. Yiu 《The Journal of Real Estate Finance and Economics》2007,35(3):281-293
How shocks in one market influence the returns and volatility of other markets has been an important question for portfolio
managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as
well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the
dynamics of its volatility transmission have been largely ignored. This paper provides the first study to examine volatility
spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market through a bivariate GARCH
model. Transaction-based indices were used so that our volatility modelling was free from any smoothing problem. Our results
showed that real estate returns exhibited volatility clustering, and the volatility of the forward market was more sensitive
to shocks than the spot market. Moreover, volatility was mainly transmitted from the forward market to the spot market, but
not vice versa.
相似文献
S. K. WongEmail: |
9.
Annette Hofmann 《The GENEVA Risk and Insurance Review》2007,32(1):91-111
When risks are interdependent, an agent’s decision to self-protect affects the loss probabilities faced by others. Due to
these externalities, economic agents invest too little in prevention relative to the socially efficient level by ignoring
marginal external costs or benefits conferred on others. This paper analyzes an insurance market with externalities of loss
prevention. It is shown in a model with heterogenous agents and imperfect information that a monopolistic insurer can achieve
the social optimum by engaging in premium discrimination. An insurance monopoly reduces not only costs of risk selection,
but may also play an important social role in loss prevention.
相似文献
Annette HofmannEmail: |
10.
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation
overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications
and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction
costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and Summers and Summers (1989). Our results suggest that imposing higher transaction costs might still be a feasible policy tool for stabilizing the market
by curbing short-term noise trading.
相似文献
Zhen Zhu (Corresponding author)Email: |
11.
Geoffrey K. Turnbull Jonathan Dombrow 《The Journal of Real Estate Finance and Economics》2007,35(1):57-76
This study examines how individual agents affect house selling prices and time on the market while controlling for brokerage
firm-specific effects as well as supply and demand conditions that vary by neighborhood. Firm size effects disappear once
firm specialization and agent characteristics are taken into account but geographic concentration by firms leads to higher
selling prices. For individual agents, neither sex nor selling own listings affects price or selling time, but there are gains
from partnering transactions across firms. Agents who specialize in listing properties obtain higher prices for their sellers
while those who specialize in selling obtain lower prices for their buyers. Houses nearer to other transactions of an agent
sell for higher prices. Finally, greater scale of listing and selling activity by an agent tends to lower selling price or
lengthen the time on the market.
相似文献
Geoffrey K. TurnbullEmail: |
12.
Paul K. Asabere Forrest E. Huffman 《The Journal of Real Estate Finance and Economics》2009,38(4):408-419
This study examines the impacts of trails and greenbelts and other amenities on home value. Using the hedonic framework the
study provides analyses of a database consisting of roughly 10,000 sales of homes occurring from April 2001 to March 2002
in and around San Antonio, Bexar County, Texas. Among other things, our study shows that trails, greenbelts, and trails with
greenbelts (or greenways) are associated with roughly 2, 4, and 5%, price premiums, respectively. The following amenities:
proximity to golf course, neighborhood playground, tennis court, neighborhood pool, view, and cul-de-sac, all add significantly
to home value.
相似文献
Forrest E. HuffmanEmail: |
13.
Velma Zahirovic-Herbert Geoffrey K. Turnbull 《The Journal of Real Estate Finance and Economics》2008,37(2):113-130
This paper develops an empirical framework for taking into account the effects of endogenous liquidity on price capitalization
estimates. Changes in school attendance zones in the East Baton Rouge Parish public school district provide a natural experiment
for studying how changes in school characteristics affect house prices and liquidity. House price and selling time, or liquidity,
are simultaneously determined in search markets. The empirical model exploits variation in the surrounding neighborhood market
conditions pertinent to each house to identify the system of price and liquidity equations. The estimates are consistent with
search-market theory in that liquidity absorbs part of the capitalization of school quality.
相似文献
Velma Zahirovic-HerbertEmail: |
14.
Carole Comerton-Forde James Rydge Hayley Burridge 《Review of Quantitative Finance and Accounting》2007,29(4):395-413
On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced an opening call auction. This trading mechanism
is designed to facilitate price discovery in the presence of asymmetric information at the market open, increasing opening
price efficiency. The design of the HKEx differs significantly from opening auctions in other markets. Contrary to previous
research, the results indicate a decrease in market quality following the introduction of the opening call auction. This decline
is largest in the less actively traded stocks.
相似文献
Carole Comerton-FordeEmail: |
15.
Nikolas Rokkanen 《Financial Markets and Portfolio Management》2009,23(1):31-57
The paper examines the credit spread between government and corporate bonds at different maturities. Theoretical models assume
that credit risk premiums for high quality firms monotonously increase with maturity. We find evidence suggesting that bonds
issued at maturities attracting the highest issuance volumes tend to have credit risk premiums that are on average 10 to 15
basis points higher than issues at nonconventional maturities. These results point out a shortcoming of existing theoretical
models and show that the credit yield curve is not smooth, but affected by the local supply of issues at various parts of
the yield curve. In addition, the empirical evidence presented in this paper indicates that firms utilizing the bond markets
for funding could lower their funding costs by shifting the term of their debt away from the most commonly targeted maturities.
相似文献
Nikolas RokkanenEmail: |
16.
Apostolos Dasilas 《Financial Markets and Portfolio Management》2009,23(1):59-91
This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004.
We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price
anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading
volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of
dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm
that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.
相似文献
Apostolos DasilasEmail: |
17.
C. Charles Okeahalam 《Journal of Financial Services Research》2008,33(3):147-162
I assess the impact of bancassurance on the price of retail financial services. I find that service fees in a product bundle
increase less than proportionally to the number of services; that an increase in the number of clients in each product bundle
market reduces fees by 1.5%; that the degree of competition in the markets of each bundle also reduces fees; that premium
products have higher average costs; and finally, that cross-holdings reduce prices by about 5% and bancassurance reduces prices
by just over 6%. The price reduction declines if both strategies are combined.
相似文献
C. Charles OkeahalamEmail: |
18.
Existing literature on housing prices is predominantly in a linear framework, and an important question that has not been
addressed is whether housing prices exhibit nonlinearity. We examine Smooth Transition Autoregressive (STAR) model based nonlinear
properties of housing prices over the 1969–2004 period for the entire US and the four regions. Our main findings are (1) housing
price for the entire US and all regions except for the Midwest show non-linearity, (2) the dynamic properties implied by the
nonlinear estimation explain the typical patterns that have characterized each housing market, and (3) results of Granger
causality tests look more plausible in the nonlinear framework where we find stronger evidence of Granger causality from housing
price to employment and also from mortgage rates to housing price.
相似文献
Radha Bhattacharya (Corresponding author)Email: |
19.
We find no evidence of accrual mispricing for firms that disclose accrual information at earnings announcements. For these
firms, the market differentiates the discretionary from the nondiscretionary components of the earnings surprise. In contrast,
the market fails to distinguish between the discretionary and the nondiscretionary components of the earnings surprise for
firms that do not disclose accrual information at earnings announcements. These firms experience some stock price correction
around the filing date. However, the correction is only partial, resulting in a post-filing drift.
相似文献
Henock LouisEmail: |
20.
Relationship Banking and the Pricing of Financial Services 总被引:2,自引:1,他引:1
Charles W. Calomiris Thanavut Pornrojnangkool 《Journal of Financial Services Research》2009,35(3):189-224
We investigate pricing effects of the joint production of loans and security underwritings. We control for firm and borrower
characteristics, including differences in sequencing, which are important for pricing. Contrary to previous studies, when
banks combine lending and underwriting within the same customer relationship they charge premiums for both loans and underwriting
services. Abstracting from effects of joint production within relationships, depository banks engaged in underwriting price
lending and underwriting more cheaply than stand alone investment banks. One advantage borrowers enjoy from bundling products
within a banking relationship is a form of liquidity risk insurance, which is manifested in a reduced demand for lines of
credit. We also find evidence of a “road show” effect; firms enjoy loan pricing discounts on loans that are negotiated at
times close to the debt underwritings, whether or not the same bank provides both services. Relationship effects are only
visible when lending and underwriting both occur, and are stronger for equity-loan relationships than for debt-loan relationships.
Electronic supplementary material The online version of this article (doi:) contains supplementary material, which is available to authorized users.
相似文献
Thanavut PornrojnangkoolEmail: |