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Article: Volume-related heteroskedasticity and liquidity premium in hedonic pricing model
Title | Volume-related heteroskedasticity and liquidity premium in hedonic pricing model |
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Authors | |
Keywords | Comparables Hedonic pricing model Heteroskedasticity Liquidity Volume of transaction |
Issue Date | 2006 |
Publisher | Routledge. 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? |
Abstract | Volume 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 Identifier | http://hdl.handle.net/10722/168742 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.364 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Yiu, CY | en_HK |
dc.contributor.author | Tam, CS | en_HK |
dc.contributor.author | Lee, PY | en_HK |
dc.date.accessioned | 2012-10-08T03:32:00Z | - |
dc.date.available | 2012-10-08T03:32:00Z | - |
dc.date.issued | 2006 | en_HK |
dc.identifier.citation | Journal Of Property Research, 2006, v. 23 n. 1, p. 39-51 | en_HK |
dc.identifier.issn | 0959-9916 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/168742 | - |
dc.description.abstract | Volume 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.language | eng | en_US |
dc.publisher | Routledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/09599916.asp | en_HK |
dc.relation.ispartof | Journal of Property Research | en_HK |
dc.subject | Comparables | en_HK |
dc.subject | Hedonic pricing model | en_HK |
dc.subject | Heteroskedasticity | en_HK |
dc.subject | Liquidity | en_HK |
dc.subject | Volume of transaction | en_HK |
dc.title | Volume-related heteroskedasticity and liquidity premium in hedonic pricing model | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Yiu, CY: ecyyiu@hkucc.hku.hk | en_HK |
dc.identifier.authority | Yiu, CY=rp01035 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1080/09599910600748634 | en_HK |
dc.identifier.scopus | eid_2-s2.0-33745579245 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-33745579245&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 23 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 39 | en_HK |
dc.identifier.epage | 51 | en_HK |
dc.identifier.isi | WOS:000415461300002 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Yiu, CY=9248825800 | en_HK |
dc.identifier.scopusauthorid | Tam, CS=7201444744 | en_HK |
dc.identifier.scopusauthorid | Lee, PY=14026911100 | en_HK |
dc.identifier.citeulike | 731669 | - |
dc.identifier.issnl | 0959-9916 | - |