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Conference Paper: Short sales and price discovery in real estate markets

TitleShort sales and price discovery in real estate markets
Authors
KeywordsShort sales
Price discovery
Real estate markets
Issue Date2014
Citation
The 49th Annual Conference of the AREUEA’s January Meeting is held in conjunction with the Meeting of the Allied Social Science Associations (ASSA), Philadelphia, PA., 3-5 January 2014. How to Cite?
AbstractIndirect real estate (IRE) returns are often shown to lead direct real estate (DRE) returns. Apart from differences in liquidity, transaction costs, and management skills, the DRE market is also less complete than the IRE market – when negative shocks arrive, one can only short IRE (e.g. real estate stocks or REITs), but not DRE. This study investigates if short sales in the IRE market convey any information to the DRE market. Based on high-frequency (weekly) property price data in Hong Kong from 1999 to 2011, we found that short sales in the IRE market led DRE returns, even after controlling for the lagged IRE returns in a VAR model. This suggests that short sales contain private information on the real estate market that is not fully reflected in IRE returns. The spillover effect of short sales, however, weakened after the 2007 global financial crisis because increased uncertainty over the credibility of individual firms made short sales carry more firm-specific information than market-wide news.
Persistent Identifierhttp://hdl.handle.net/10722/205131

 

DC FieldValueLanguage
dc.contributor.authorWong, SKen_US
dc.contributor.authorLai, TCCen_US
dc.date.accessioned2014-09-20T01:39:35Z-
dc.date.available2014-09-20T01:39:35Z-
dc.date.issued2014en_US
dc.identifier.citationThe 49th Annual Conference of the AREUEA’s January Meeting is held in conjunction with the Meeting of the Allied Social Science Associations (ASSA), Philadelphia, PA., 3-5 January 2014.en_US
dc.identifier.urihttp://hdl.handle.net/10722/205131-
dc.description.abstractIndirect real estate (IRE) returns are often shown to lead direct real estate (DRE) returns. Apart from differences in liquidity, transaction costs, and management skills, the DRE market is also less complete than the IRE market – when negative shocks arrive, one can only short IRE (e.g. real estate stocks or REITs), but not DRE. This study investigates if short sales in the IRE market convey any information to the DRE market. Based on high-frequency (weekly) property price data in Hong Kong from 1999 to 2011, we found that short sales in the IRE market led DRE returns, even after controlling for the lagged IRE returns in a VAR model. This suggests that short sales contain private information on the real estate market that is not fully reflected in IRE returns. The spillover effect of short sales, however, weakened after the 2007 global financial crisis because increased uncertainty over the credibility of individual firms made short sales carry more firm-specific information than market-wide news.-
dc.languageengen_US
dc.relation.ispartof49th AREUEA-ASSA Annual Conference 2014en_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectShort sales-
dc.subjectPrice discovery-
dc.subjectReal estate markets-
dc.titleShort sales and price discovery in real estate marketsen_US
dc.typeConference_Paperen_US
dc.identifier.emailWong, SK: kelvin.wong@hku.hken_US
dc.identifier.authorityWong, SK=rp01028en_US
dc.description.naturepostprint-
dc.identifier.hkuros235701en_US

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