Estimating the House Foreclosure Discount Corrected for Spatial Price Interdependence and Endogeneity of Marketing Time

Most previous empirical research estimates a greater than 20% discount associated with the sale of foreclosed properties. Under the assumption that the real estate market is somewhat efficient, such a large discount would be counterintuitive. We argue, and empirically show, that the estimated foreclosure coefficients in most of the previous research are upward biased because they do not control for variables such as the physical condition of the property and the relationship between marketing time and price. Accounting for these factors and correcting for two types of spatial price interdependence, our results show that estimates of foreclosure discount reported by previous studies are about one-third higher than the true discount caused by foreclosure per se .     

Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours

This paper examines liquidity externalities by analyzing trading costs after hours. There is less than 1/20 as many trades per unit time after hours as during the trading day. The reduced trading activity results in substantially higher trading costs: quoted and effective spreads are three to four times larger than during the trading day. The higher spreads reflect greater adverse selection and order persistence, but not higher dealer profits. Because liquidity provision remains competitive after hours, the greater adverse selection and higher trading costs provide a direct measure of the magnitude of the liquidity externalities generated during the trading day.     

The Effect of Time-on-Market and Location on Search Costs and Anchoring: The Case of Single-Family Properties

Regarding single-family residential properties purchased for investment (non-owner occupied) we examine whether out-of-state buyers pay more than in-state buyers. We focus on the effects of search costs and anchoring. We use data on 2,828 Las Vegas non-owner occupied (investor) residences, 40% of which are purchased by non-local investors. We find that the location of the property affects the empirical results. Specifically, search cost and anchoring effects that appear significant when the location of the property is ignored disappear when location is introduced as an independent variable.

Tax exemption as a marketing tool: The Irish Republic and profits derived from artistic creativity

The Republic Of Ireland (Eire), though a relatively new nation, having been chartered in 1923, reflects a culture more than twenty-five centuries old. This Irish culture has been the source of much uniquely creative fine art, writing, drama, and philosophy. Creativity as a vocation and source of work-product seems endemic to the Irish mentality. As a result, the Irish look upon creativity differently than do most cultures. They have created a tax exemption for many of the financial rewards reaped by creators of “art” in any of the forms mentioned above and some new forms as well. This paper examines the marketplace effects of the Irish exemption from taxation of personal income derived from artistic creativity.     

The impact of listing Latin American ADRs on the risks and returns of the underlying shares

This paper examines the risks and returns of Latin American stocks following American depository receipt (ADR) listings in U.S. equity markets and finds no systematic change in their volatility. This finding differs from previous results for ADR introduction on European and Asian stocks, although it is consistent with several prior findings on international stock listings. Importantly, it supports the predictions of Domowitz, Glen, and Madhavan's 1998 model of international cross-listings. This model predicts that the effects of such listings will differ across stocks because the net effect is indicative of the specific trade-off for each individual stock between benefits of enhanced intermarket competition and costs stemming from the diversion of information-linked orders out of the domestic market.     

The trilogy of China cotton markets: The lead–lag relationship among spot,forward, and futures markets

China is a leading participant in the world cotton market. China’s distinctive regulatory structure and procedures and business environment provide an opportunity to explore some unique market dynamics. This study investigates the interrelationship among the spot, futures, and forward cotton markets in China over a period of a major policy change: A temporary State reserve program for cotton that was established in 2011 and ended in 2014. This government intervention significantly distorted the way farmers, manufacturers, and speculators interacted and was not sustainable. Overall, our results support futures market’s dominant role in the price discovery process.