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Testing Alternative Theories of Property Price-Trading Volume with Commercial Real Estate Market Data

  • Charles Ka Yui Leung
  • Dandan Feng

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File URL: http://www.econ.cuhk.edu.hk/~discusspaper/00003.pdf
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Paper provided by Chinese University of Hong Kong, Department of Economics in its series Discussion Papers with number 00003.

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Date of creation: Feb 2004
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Handle: RePEc:chk:cuhkdc:00003
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  1. 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.
  2. David Genesove, 1999. "The Nominal Rigidity of Apartment Rents," NBER Working Papers 7137, National Bureau of Economic Research, Inc.
  3. Francois Ortalo-Magne & Sven Rady, 1998. "Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints," Finance 9810003, EconWPA.
  4. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  5. 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.
  6. 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.
  7. Sven Rady, 1998. "Boom In, Bust Out: Young Households and the Housing Price Cycle," FMG Discussion Papers dp310, Financial Markets Group.
  8. 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.
  9. 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.
  10. Narayana R. Kocherlakota, 1995. "The equity premium: it's still a puzzle," Discussion Paper / Institute for Empirical Macroeconomics 102, Federal Reserve Bank of Minneapolis.
  11. Smith, Barton A & Campbell, John M, Jr, 1978. "Aggregation Bias and the Demand for Housing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 495-505, June.
  12. Jeremy C. Stein, 1993. "Prices and Trading Volume in the Housing Market: A Model with Downpayment Effects," NBER Working Papers 4373, National Bureau of Economic Research, Inc.
  13. 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.
  14. Andrew W. Lo & Jiang W. Wang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers 7625, National Bureau of Economic Research, Inc.
  15. 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.
  16. 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.
  17. 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.
  18. Eric A. Hanushek & Steven G. Rivkin & Lori L. Taylor, 1996. "Aggregation and the Estimated Effects of School Resources," NBER Working Papers 5548, National Bureau of Economic Research, Inc.
  19. Chen, Nan-Kuang, 2001. "Bank net worth, asset prices and economic activity," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 415-436, October.
  20. 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.
  21. 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.
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