IDEAS home Printed from
   My bibliography  Save this paper

The Effect of Seller Reserves on Market Index Estimation


  • William Goetzmann


This paper examines the effect of seller reserves on market index construction. It reports the results of simulations in which transactions are conditioned upon various reservation strategies. Indices constructed by averaging across observed conditional prices each period differ dramatically from unconditional indices. Not only are conditional price levels higher, but the dynamics of the price path are changed. Time-series' of conditional mean returns are not highly correlated to the time-series' of unconditional mean returns, and average return estimates are biased upwards. Alternate estimation procedures provide clear improvements to the conditional mean estimate. Volume of sales is a significant predictor of returns in the presences of certain types of reservation behavior. Hedonic control via the repeat-sales regression provides significant improvements, generating an index that is well correlated to the unconditional mean est

Suggested Citation

  • William Goetzmann, 1998. "The Effect of Seller Reserves on Market Index Estimation," Yale School of Management Working Papers ysm61, Yale School of Management, revised 01 Aug 2000.
  • Handle: RePEc:ysm:somwrk:ysm61

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Goetzmann, William Nelson, 1993. "The Single Family Home in the Investment Portfolio," The Journal of Real Estate Finance and Economics, Springer, vol. 6(3), pages 201-222, May.
    2. Taylor, William M., 1992. "The Estimation of Quality-Adjusted Auction Returns with Varying Transaction Intervals," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(01), pages 131-142, March.
    3. Anderson, Robert C, 1974. "Paintings as an Investment," Economic Inquiry, Western Economic Association International, vol. 12(1), pages 13-26, March.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ysm:somwrk:ysm61. 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: (). General contact details of provider: .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.