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Abstract

The efficiency of a market is challenged when price dispersion occurs. Previous studies focused on non-durable consumption goods. This study extends the analysis to the case of residential property, whose transactions are dominated by a second-hand market with many potential buyers and sellers. We demonstrate that housing price dispersion exists, and the degree of dispersion changes systematically with some macroeconomic factors, though the second and the third moment of the price distribution react differently to the macroeconomic variables. Some directions for future research are suggested.

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Bibliographic Info

Paper provided by Chinese University of Hong Kong, Department of Economics in its series Discussion Papers with number 00012.

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Date of creation: Jul 2005
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Handle: RePEc:chk:cuhkdc:00012

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Related research

Keywords: price dispersion; search models; macroeconomic factor; time aggregation;

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Find related papers by JEL classification:

• C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
• D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
• D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
• E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
• R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Production Analysis, and Firm Location - - - Housing Supply and Markets

This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-07-25 (All new papers)
• NEP-GEO-2005-07-25 (Economic Geography)
• NEP-SEA-2005-07-25 (South East Asia)
• NEP-URE-2005-07-25 (Urban & Real Estate Economics)

References

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Citations

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Cited by:

1. Gunther Maier & Shanaka Herath, 2009. "Real Estate Market Efficiency: A Survey of Literature," SRE-Disc sre-disc-2009_07, Institute for the Environment and Regional Development, Department of Socioeconomics, Vienna University of Economics and Business.
2. Lisi, Gaetano, 2012. "Home seekers in the housing market," MPRA Paper 37065, University Library of Munich, Germany.
   
   • Gaetano Lisi, 2013. "Home-seekers in the housing market," Working Papers. Serie AD 2013-04, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
3. Charles Ka Yui Leung & Jun Zhang, 2011. "¡§Fire Sales¡¨ in Housing Market: Is the House- Search Process Similar to a Theme Park Visit?," International Real Estate Review, Asian Real Estate Society, vol. 14(3), pages 311-329.
4. Gaetano Lisi, 2013. "Can the Montersen-Pissarides Model Match the Housing Market Facts?," Working Papers 1312, Department of Applied Economics II, Universidad de Valencia.
   
   • Lisi, Gaetano, 2012. "Can the Mortensen-Pissarides model match the housing market facts?," MPRA Paper 36769, University Library of Munich, Germany.
5. Derek Stacey, 2012. "Information, Commitment, and Separation in Illiquid Housing Markets," 2012 Meeting Papers 401, Society for Economic Dynamics.
   
   • Derek G. Stacey, 2012. "Information, Commitment, and Separation in Illiquid Housing Markets," Working Papers 1289, Queen's University, Department of Economics.
6. Chen, Yong & Clapp, John M. & Tirtiroglu, Dogan, 2011. "Hedonic estimation of housing demand elasticity with a markup over marginal costs," Journal of Housing Economics, Elsevier, vol. 20(4), pages 233-248.
7. Lisi, Gaetano, 2012. "On the theoretical derivation of a functional form for the hedonic price function," MPRA Paper 37066, University Library of Munich, Germany.
8. Tristan-Pierre Maury & Fabien Tripier, 2010. "Strategies for search on the housing market and their implications for price dispersion," Working Papers hal-00480484, HAL.
9. Leung, Tin Cheuk & Tsang, Kwok Ping, 2012. "Love thy neighbor: Income distribution and housing preferences," Journal of Housing Economics, Elsevier, vol. 21(4), pages 322-335.
   
   • Leung, Tin Cheuk & Tsang, Kwok Ping, 2011. "Love Thy Neighbor: Income Distribution and Housing Preferences," MPRA Paper 32599, University Library of Munich, Germany.
   • Tin Cheuk Leung & Kwok Ping Tsang, 2011. "Love Thy Neighbor: Income Distribution and Housing Preferences," Working Papers 372011, Hong Kong Institute for Monetary Research.
10. Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Discussion Papers 00017, Chinese University of Hong Kong, Department of Economics.
    
    • Charles Leung, 2007. "Equilibrium Correlations of Asset Price and Return," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 233-256, February.
    • Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Departmental Working Papers _175, Chinese University of Hong Kong, Department of Economics.
11. Charles Ka Yui Leung & Kelvin Siu Kei Wong & Patrick Wai Yin Cheung, 2007. "On the Stability of the Implicit Prices of Housing Attributes: A Dynamic Theory and Some Evidence," International Real Estate Review, Asian Real Estate Society, vol. 10(2), pages 66-93.
12. Gaetano Lisi, 2011. "Price Dispersion in the Housing Market: The Role of Bargaining and Search Costs," Working Papers hal-00628323, HAL.
    
    • Lisi, Gaetano, 2011. "Price dispersion in the housing market: the role of bargaining and search costs," MPRA Paper 33863, University Library of Munich, Germany.
13. Leung, Charles Ka Yui & Zhang, Jun, 2011. "“Fire Sales” in housing market: is the house-searching process similar to a theme park visit?," MPRA Paper 29127, University Library of Munich, Germany.

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