IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

What Drives the Property Price-Trading Volume Correlation? Evidence from a Commercial Real Estate Market

  • Charles Leung

    ()

  • Dandan Feng

The significant price-trading volume correlation found in the residential property market presents a challenge to the rational expectation hypothesis. Existing theories account for this fact with either capital market imperfection (down-payment effect or loss-aversion consideration) or imperfect information (search theoretic models). This paper employs data from a commercial real estate market, which face a different degree of severity of capital market constraint than the residential market, and thus provide an indirect but effective test for alternative theories. Policy implications are also discussed. Copyright Springer Science + Business Media, Inc. 2005

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hdl.handle.net/10.1007/s11146-005-1374-9
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 31 (2005)
Issue (Month): 2 (September)
Pages: 241-255

as
in new window

Handle: RePEc:kap:jrefec:v:31:y:2005:i:2:p:241-255
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Owen Lamont & Jeremy C. Stein, 1997. "Leverage and House-Price Dynamics in U.S. Cities," NBER Working Papers 5961, National Bureau of Economic Research, Inc.
  2. Hanushek, Eric A & Rivkin, Steven G & Taylor, Lori L, 1996. "Aggregation and the Estimated Effects of School Resources," The Review of Economics and Statistics, MIT Press, vol. 78(4), pages 611-27, November.
  3. Narayana R. Kocherlakota, 1996. "The Equity Premium: It's Still a Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(1), pages 42-71, March.
  4. James A. Berkovec & John L. Goodman, 1996. "Turnover as a Measure of Demand for Existing Homes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 24(4), pages 421-440.
  5. Francois Ortalo-Magne & Sven Rady, 1998. "Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints," Finance 9810003, EconWPA.
  6. David Genesove & Christopher Mayer, 2001. "Loss Aversion and Seller Behavior: Evidence from the Housing Market," NBER Working Papers 8143, National Bureau of Economic Research, Inc.
  7. Chen, Nan-Kuang, 2001. "Bank net worth, asset prices and economic activity," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 415-436, October.
  8. Matteo Iacoviello, 2002. "House prices, borrowing constraints and monetary policy in the business cycle," Boston College Working Papers in Economics 542, Boston College Department of Economics, revised 06 Dec 2004.
  9. Dombrow, Jonathan & Knight, J R & Sirmans, C F, 1997. "Aggregation Bias in Repeat-Sales Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 75-88, Jan.-Marc.
  10. Kamhon Kan & Sunny Kai-Sun Kwong & Charles Ka-Yui Leung, 2004. "The Dynamics and Volatility of Commercial and Residential Property Prices: Theory and Evidence," Journal of Regional Science, Wiley Blackwell, vol. 44(1), pages 95-123.
  11. David Genesove, 2003. "The Nominal Rigidity of Apartment Rents," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 844-853, November.
  12. Sunny Kai-Sun, Kwong & Charles Ka-Yui Leung, 1999. "Price Volatility of Commercial and Residential Property," Departmental Working Papers _114, Chinese University of Hong Kong, Department of Economics.
  13. Charles Ka Yui Leung & Youngman Chun Fai Leong & Ida Yin Sze Chan, 2002. "TOM: Why Isn’t Price Enough?," International Real Estate Review, Asian Real Estate Society, vol. 5(1), pages 91-115.
  14. Jeffrey Fisher & Dean Gatzlaff & David Geltner & Donald Haurin, 2003. "Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(2), pages 269-303, 06.
  15. Sven Rady, 1998. "Boom In, Bust Out: Young Households and the Housing Price Cycle," FMG Discussion Papers dp310, Financial Markets Group.
  16. Yoon Dokko & Robert H. Edelstein & Allan J. Lacayo & Daniel C. Lee, 1999. "Real Estate Income and Value Cycles: A Model of Market Dynamics," Journal of Real Estate Research, American Real Estate Society, vol. 18(1), pages 69-96.
  17. Follain, James R. & Velz, Orawin T., 1995. "Incorporating the Number of Existing Home Sales into a Structural Model of the Market for Owner-Occupied Housing," Journal of Housing Economics, Elsevier, vol. 4(2), pages 93-117, June.
  18. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  19. William C. Wheaton, 1987. "The Cyclic Behavior of the National Office Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(4), pages 281-299.
  20. Gerald R. Brown & K.W. Chau, 1997. "Excess Returns in the Hong Kong Commercial Real Estate Market," Journal of Real Estate Research, American Real Estate Society, vol. 14(2), pages 91-106.
  21. Lawrence J. Cristiano & Terry J. Fitzgerald, 1998. "The business cycle: it's still a puzzle," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q IV, pages 56-83.
  22. Charles K. Y. Leung & Garion C. K. Lau & Youngman C. F. Leong, 2002. "Testing Alternative Theories of the Property Price-Trading Volume Correlation," Journal of Real Estate Research, American Real Estate Society, vol. 23(3), pages 253-264.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:31:y:2005:i:2:p:241-255. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)

or (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.