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Article: Volume-related heteroskedasticity and liquidity premium in hedonic pricing model

TitleVolume-related heteroskedasticity and liquidity premium in hedonic pricing model
Authors
KeywordsComparables
Hedonic pricing model
Heteroskedasticity
Liquidity
Volume of transaction
Issue Date2006
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/09599916.asp
Citation
Journal Of Property Research, 2006, v. 23 n. 1, p. 39-51 How to Cite?
AbstractVolume of transaction plays two roles in a market, first, it is related to liquidity of assets; second, it affects information cost in the price discovery process. The former results in a liquidity premium on price, which is a first moment effect of hedonic price; the latter produces price dispersion, which causes heteroskedasticity of error terms (the second moment) of hedonic price. This study tests empirically on these volume-related liquidity premium and heteroskedasticity in a panel sample of housing. The sample consists of more than 1600 transactions in 1999 of various housing developments in a small area in Hong Kong is studied. The results agree with our postulations that (1) relative liquidity imposes a positive premium on housing price; and (2) the magnitude of error terms in the hedonic pricing analysis is negatively related with the transaction volume in the previous 30-day in the same estate. The hedonic pricing model is re-estimated by an iterative generalized least squares (GLS) approach with volume-effect weighting. The efficiency of the estimation is greatly improved and a homoskedastic estimation is obtained. © 2006 Taylor & Francis.
Persistent Identifierhttp://hdl.handle.net/10722/168742
ISSN
2015 SCImago Journal Rankings: 0.489
References

 

DC FieldValueLanguage
dc.contributor.authorYiu, CYen_HK
dc.contributor.authorTam, CSen_HK
dc.contributor.authorLee, PYen_HK
dc.date.accessioned2012-10-08T03:32:00Z-
dc.date.available2012-10-08T03:32:00Z-
dc.date.issued2006en_HK
dc.identifier.citationJournal Of Property Research, 2006, v. 23 n. 1, p. 39-51en_HK
dc.identifier.issn0959-9916en_HK
dc.identifier.urihttp://hdl.handle.net/10722/168742-
dc.description.abstractVolume of transaction plays two roles in a market, first, it is related to liquidity of assets; second, it affects information cost in the price discovery process. The former results in a liquidity premium on price, which is a first moment effect of hedonic price; the latter produces price dispersion, which causes heteroskedasticity of error terms (the second moment) of hedonic price. This study tests empirically on these volume-related liquidity premium and heteroskedasticity in a panel sample of housing. The sample consists of more than 1600 transactions in 1999 of various housing developments in a small area in Hong Kong is studied. The results agree with our postulations that (1) relative liquidity imposes a positive premium on housing price; and (2) the magnitude of error terms in the hedonic pricing analysis is negatively related with the transaction volume in the previous 30-day in the same estate. The hedonic pricing model is re-estimated by an iterative generalized least squares (GLS) approach with volume-effect weighting. The efficiency of the estimation is greatly improved and a homoskedastic estimation is obtained. © 2006 Taylor & Francis.en_HK
dc.languageengen_US
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/09599916.aspen_HK
dc.relation.ispartofJournal of Property Researchen_HK
dc.subjectComparablesen_HK
dc.subjectHedonic pricing modelen_HK
dc.subjectHeteroskedasticityen_HK
dc.subjectLiquidityen_HK
dc.subjectVolume of transactionen_HK
dc.titleVolume-related heteroskedasticity and liquidity premium in hedonic pricing modelen_HK
dc.typeArticleen_HK
dc.identifier.emailYiu, CY: ecyyiu@hkucc.hku.hken_HK
dc.identifier.authorityYiu, CY=rp01035en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1080/09599910600748634en_HK
dc.identifier.scopuseid_2-s2.0-33745579245en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33745579245&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume23en_HK
dc.identifier.issue1en_HK
dc.identifier.spage39en_HK
dc.identifier.epage51en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridYiu, CY=9248825800en_HK
dc.identifier.scopusauthoridTam, CS=7201444744en_HK
dc.identifier.scopusauthoridLee, PY=14026911100en_HK
dc.identifier.citeulike731669-

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