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Housing Market Microstructure

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Author Info
Hazer Inaltekin
Robert Jarrow
Mehmet Saglam
Yildiray Yildirim

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Abstract

In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset, are considered. Maximizing their expected utility, home owners make optimal sale decisions given these changing market conditions. Using these optimal sale decisions, we simulate the implied evolution of housing prices providing insights into the recent subprime lending crisis.

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File URL: http://arxiv.org/abs/0907.1853
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File URL: http://arxiv.org/pdf/0907.1853
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Publisher Info
Paper provided by arXiv.org in its series Quantitative Finance Papers with number 0907.1853.

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Date of creation: Jul 2009
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Handle: RePEc:arx:papers:0907.1853

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  1. Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," NBER Working Papers 3368, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. John R. Knight, 2002. "Listing Price, Time on Market, and Ultimate Selling Price: Causes and Effects of Listing Price Changes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 213-237. [Downloadable!] (restricted)
  3. Norman G. Miller, 1978. "Time on the Market and Selling Price," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 6(2), pages 164-174. [Downloadable!] (restricted)
  4. FRANÇOIS ORTALO-MAGNÉ & SVEN RADY, 2006. "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints," Review of Economic Studies, Blackwell Publishing, vol. 73(2), pages 459-485, 04. [Downloadable!] (restricted)
    Other versions:
  5. Williams, Joseph T, 1995. "Pricing Real Assets with Costly Search," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(1), pages 55-90. [Downloadable!] (restricted)
  6. Grenadier, Steven R. & Wang, Neng, 2005. "Investment timing, agency, and information," Journal of Financial Economics, Elsevier, vol. 75(3), pages 493-533, March. [Downloadable!] (restricted)
    Other versions:
  7. William Goetzmann & Liang Peng, 2006. "Estimating House Price Indexes in the Presence of Seller Reservation Prices," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 100-112, March. [Downloadable!] (restricted)
  8. Sass, Tim R, 1988. "A Note on Optimal Price Cutting Behavior under Demand Uncertainty," The Review of Economics and Statistics, MIT Press, vol. 70(2), pages 336-39, May. [Downloadable!] (restricted)
  9. Cubbin, John, 1974. "Price, Quality, and Selling Time in the Housing Market," Applied Economics, Taylor and Francis Journals, vol. 6(3), pages 171-87, September.
  10. Donald Haurin, 1988. "The Duration of Marketing Time of Residential Housing," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(4), pages 396-410. [Downloadable!] (restricted)
  11. Daniel P. McMillen & Paul Thorsnes, 2006. "Housing Renovations and the Quantile Repeat-Sales Price Index," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(4), pages 567-584, December. [Downloadable!] (restricted)
  12. Michel Glower & Donald R. Haurin & Patric H. Hendershott, 1998. "Selling Time and Selling Price: The Influence of Seller Motivation," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(4), pages 719-740. [Downloadable!] (restricted)
  13. Zhenguo Lin & Kerry D. Vandell, 2007. "Illiquidity and Pricing Biases in the Real Estate Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(3), pages 291-330, 09. [Downloadable!] (restricted)
  14. Rajiv Kalra & Kam Chan & Pikki Lai, 1997. "Time on market and sales price of residential housing: A note," Journal of Economics and Finance, Springer, vol. 21(2), pages 63-66, June. [Downloadable!] (restricted)
  15. Lucas, Robert Jr. & Prescott, Edward C., 1974. "Equilibrium search and unemployment," Journal of Economic Theory, Elsevier, vol. 7(2), pages 188-209, February. [Downloadable!] (restricted)
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