Sample Selection Approaches to Estimating House Price Cash Differentials

We extend the literature on house price cash differentials in important ways. First, our paper is the first to employ methods to correct for sample selection bias, using both switching regression and propensity score matching of cash vs. non-cash transactions. We use selection models to produce price counterfactuals for cash and noncash buyers. We also include both average treatment effect and a propensity score weighted selection models. From the selection models, we find that previous studies likely overstate the cash discount. Results from counterfactual tests examining cash discounts suggest amplified cash discounts in areas with close proximity to an environmental hazard; and also a pricing differential based on CBG level income, with purchasers in high income areas more likely to pay a cash premium compared to market participants in areas with comparably lower income, where a cash discount is detected. These results provide useful insights for market participants including real estate appraisers, brokers, and buyers and sellers of real estate.     

The influence of intraday seasonality on volatility transmission pattern

Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response analysis and in the dynamic and directional measurement of volatility spillovers are encountered depending on whether the intraday periodic component is considered. Thus, the convenience of removing intraday seasonality seems to be critical to reduce the risk of spurious causality when employing high-frequency data in volatility transmission. Moreover, the impact of market microstructure noise seems negligible when using an optimal frequency of observations.     

The Aftermath of Civil War

Using an event-study methodology, the article analyzes the aftermathof civil war in a cross-section of countries. It focuses oncases where the end of conflict marks the beginning of relativelylasting peace. The analysis considers 41 countries involvedin internal wars over the period 1960–2003. To providea comprehensive evaluation of the aftermath of war, a rangeof social areas is considered: basic indicators of economicperformance, health and education, political development, demographictrends, and conflict and security issues. For each indicatorthe post- and pre-war situations are compared and their dynamictrends during the post-conflict period are examined. The analysisis conducted in both absolute terms and relative to controlgroups of countries that are similar except for conflict. Thefindings indicate that even though war has devastating effectsand its aftermath can be immensely difficult, when the end ofwar marks the beginning of lasting peace, recovery and improvementare achieved.     

数据管理:电子商务数据的存储问题

许多情况说明，用于组织中数据存储的消费已经成爆炸状态。产生这种情况的主要因素是电子邮件和电子商务对数据的质量和数量的要求提高了，并且这种数据大部分是分散的、非结构性的，这就增加了对组织中数据管理的要求。本文是在澳大利亚进行的一次调查的基础上做出的，该调查是关于组织中如何处理数据增长和由于数据增长所带来的问题。调查的结果显示人们对该问题表现出高度的关注，同时显示出一种乐观的趋势，即技术将对未来出现的各种各样的问题提供解决方案。     

Moment explosions in stochastic volatility models

In this paper, we demonstrate that many stochastic volatility models have the undesirable property that moments of order higher than 1 can become infinite in finite time. As arbitrage-free price computation for a number of important fixed income products involves forming expectations of functions with super-linear growth, such lack of moment stability is of significant practical importance. For instance, we demonstrate that reasonably parametrized models can produce infinite prices for Eurodollar futures and for swaps with floating legs paying either Libor-in-arrears or a constant maturity swap rate. We systematically examine the moment explosion property across a spectrum of stochastic volatility models. We show that lognormal and displaced-diffusion type models are easily prone to moment explosions, whereas CEV-type models (including the so-called SABR model) are not. Related properties such as the failure of the martingale property are also considered.

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The Effects of Attributes on the Repeat Sales Pattern of Residential Property in Hong Kong

There has been copious research work on the development of house price models and the construction of house price indices. However, results in some studies revealed that the accuracy of such indices could be subject to selection bias when using only information from a sample of sold properties to estimate value movements for the entire housing stock. In particular, estimated house price appreciation is usually systematically higher among properties that change hands more frequently. It therefore suggests that the determination of important factors affecting the transaction frequency or intensity of a housing unit should be a more fundamental research question. This paper examines the possible factors that determine the popularity of residential unit by means of a repeated sales pattern. The Poisson regression model and event history analysis techniques are employed to assess the effect of attributes on transaction frequency and intensity. The event history analyses technique can take account of transaction-specific as well as time-dependent covariates, and therefore is recommended for analyzing repeated sales data in a real estate market. All transaction records during the period 1993–2000 from the Land Registry of one of the most popular residential estates in Hong Kong were used to illustrate the method. Unlike a response to favorable transaction price, good quality units do not necessarily inherently display a high transaction frequency. Rather, units of average quality are more likely to be transactionally active.     

The double liability rule

Conventional liability rules do not lead to a first best allocation. Optimal bilateral risk control can be achieved by not compensating any losses and, in addition, charging each party a fine equal to the loss suffered by the other party. In this way, each party internalizes the full accident loss. This paper investigates the properties of this “double liability” rule under risk neutrality and risk aversion of the parties. Finally the use of this rule in the context of multiple-party accidents is discussed.     

A note on wealth effect under CARA utility

There is a simple but overlooked way of capturing the wealth effect under CARA utility via making the absolute-risk aversion parameter wealth-dependent. We implement this approach in the asymmetric information setting of Verrecchia (1982), and compare it with the alternative approach of changing the utility function (Peress, 2004). Ours is a straightforward tractable extension of Verrecchia, while Peress has to resort to approximate methods. Importantly, our closed-form solution reveals that the relation between wealth and wealth share invested in a risky asset can be negative, while Peress’s main result is that this relation is uniquely positive.     

Decision parameters in global R&D management

This paper addresses the question of which variables have what kind of impact on the decision to locate new R&D facilities in countries different from the home country of a corporation. In the first section of the paper we demonstrate the complexity of this question by referring to empirical research, managerial statements and literature. We then develop a conceptual model for the location decision of international R&D activities. This is based on Porter's (1990) framework of the factors constituting the competitive advantage of nations. In the final section of this paper we show how such a model helps us to understand and also to explain a number of management issues related to global R&D activities.