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Article: Transaction volume and price dispersion in the presale and spot real estate markets

TitleTransaction volume and price dispersion in the presale and spot real estate markets
Authors
Yiu, CYWong, SKChau, KW
KeywordsNoise trader
Price dispersion
Repeat-sales model
Trading volume
Issue Date2009
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0895-5638
Citation
Journal Of Real Estate Finance And Economics, 2009, v. 38 n. 3, p. 241-253 How to Cite?
DOI: http://dx.doi.org/10.1007/s11146-008-9161-z
AbstractNoise trading has been intensively studied in finance, but rarely in real estate. Theories of price dispersion have also been well established in retailing research, but less so in real estate. This paper is the first attempt to study the effect of noise trading on price dispersion in the real estate spot and presale (forward) markets. Quality-controlled price dispersion data series are estimated using a sample of transaction data in the housing presale and spot markets in Hong Kong. Our results show that transaction volume has a negative and significant effect on price dispersion in the spot market, but a positive and significant effect in the presale market. These support our conjecture that there are more noise traders in the presale market due to lower transaction costs. The volume effects also provide support for the use of a volume weighted least squares model when constructing a repeat sales index. © Springer Science + Business Media, LLC 2008.
Persistent Identifierhttp://hdl.handle.net/10722/59743
ISSN
0895-5638
2023 Impact Factor: 1.7
2023 SCImago Journal Rankings: 0.580
ISI Accession Number ID
WOS:000266559100004
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYiu, CYen_HK
dc.contributor.authorWong, SKen_HK
dc.contributor.authorChau, KWen_HK
dc.date.accessioned2010-05-31T03:56:34Z-
dc.date.available2010-05-31T03:56:34Z-
dc.date.issued2009en_HK
dc.identifier.citationJournal Of Real Estate Finance And Economics, 2009, v. 38 n. 3, p. 241-253en_HK
dc.identifier.issn0895-5638en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59743-
dc.description.abstractNoise trading has been intensively studied in finance, but rarely in real estate. Theories of price dispersion have also been well established in retailing research, but less so in real estate. This paper is the first attempt to study the effect of noise trading on price dispersion in the real estate spot and presale (forward) markets. Quality-controlled price dispersion data series are estimated using a sample of transaction data in the housing presale and spot markets in Hong Kong. Our results show that transaction volume has a negative and significant effect on price dispersion in the spot market, but a positive and significant effect in the presale market. These support our conjecture that there are more noise traders in the presale market due to lower transaction costs. The volume effects also provide support for the use of a volume weighted least squares model when constructing a repeat sales index. © Springer Science + Business Media, LLC 2008.en_HK
dc.languageengen_HK
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0895-5638en_HK
dc.relation.ispartofJournal of Real Estate Finance and Economicsen_HK
dc.subjectNoise traderen_HK
dc.subjectPrice dispersionen_HK
dc.subjectRepeat-sales modelen_HK
dc.subjectTrading volumeen_HK
dc.titleTransaction volume and price dispersion in the presale and spot real estate marketsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0895-5638&volume=38&spage=241&epage=253&date=2008&atitle=Transaction+Volume+and+Price+Dispersion+in+the+Presale+and+Spot+Real+Estate+Markets+en_HK
dc.identifier.emailYiu, CY: ecyyiu@hkucc.hku.hken_HK
dc.identifier.emailWong, SK: kelvin.wong@hku.hken_HK
dc.identifier.emailChau, KW: hrrbckw@hku.hken_HK
dc.identifier.authorityYiu, CY=rp01035en_HK
dc.identifier.authorityWong, SK=rp01028en_HK
dc.identifier.authorityChau, KW=rp00993en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s11146-008-9161-zen_HK
dc.identifier.scopuseid_2-s2.0-77949283753en_HK
dc.identifier.hkuros149750en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77949283753&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume38en_HK
dc.identifier.issue3en_HK
dc.identifier.spage241en_HK
dc.identifier.epage253en_HK
dc.identifier.isiWOS:000266559100004-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridYiu, CY=9248825800en_HK
dc.identifier.scopusauthoridWong, SK=7404591021en_HK
dc.identifier.scopusauthoridChau, KW=24830082500en_HK
dc.identifier.citeulike3621243-
dc.identifier.issnl0895-5638-

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