Average Transaction Price Research Articles

Negotiating housing deal on a polluted day: Consequences and possible explanations

The topic of air pollution has drawn considerable attention globally. In this paper, we examine the immediate effect of air pollution on a substantial decision, that is, a housing purchase. By linking housing purchasing behavior with the air quality in Beijing, we document market participants' behaviors unexplained by rational economic theories. Our main result suggests that the transaction prices on a severely polluted day are 0.65% higher than those of the days without pollution, other things being equal. This translates into approximately 3.51 million yuan daily increase based on the average transaction volume and price on a typical day in Beijing. The heterogeneity analysis further suggests that this effect is mostly driven by non-local and low income buyers. After ruling out rational explanations, we demonstrate that our empirical results are consistent with salience theory under weak assumptions.

STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET

We introduce a method to infer lead-lag networks of agents’ actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the foreign exchange market. We show that these networks are remarkably persistent, which explains why and how order flow prediction is possible from trader-resolved data. In addition, if traders’ actions depend on past prices, the evolution of the average price paid by traders may also be predictable. Using random forests, we verify that the predictability of both the sign of order flow and the direction of average transaction price is strong for retail investors at an hourly time scale, which is of great relevance to brokers and order matching engines. Finally, we argue that the existence of trader lead-lag networks explains in a self-referential way why a given trader becomes active, which is in line with the fact that most trading activity has an endogenous origin.

Cartographic Methods of Presentation the Average Transaction Prices of the Undeveloped Land

The article presents a description of basic cartographic methods used to visualize spatial data. Information on average transaction prices of the undeveloped land in Warmińsko-Mazurskie voivodeship, from The Agricultural Property Agency, Regional Office in Olsztyn, was the basis for map creation. Unified data allows the accurate presentation of information and highlights the differences in selected cartographic methods. The objective of this article is to describe the selection process of the best method for presenting spatial data by identifying the data structure and visualization purpose; as well as to describe the different types of data presentation for its potential use for work related to activities performed by professionals dealing with the real estate market and by individuals.

PHP132 - Potential Impact of Changes to Basket of Comparator Countries from PMPRB7 to Pmprb12 has on Canadian Product List Prices

To predict/estimate the potential impact on maximum prices for patented medicines in Canada after new Patented Medicine Prices Review Board (PMPRB) regulations, to update comparator countries from PMPRB7 to PMPRB12, are implemented. The study sample consists of 16% of the patented drug products reported to PMPRB, in 2016. For each product, the most common Canadian list price (in most cases the highest Canadian list price), not the average transaction price, was compared to international prices in PMPRB7 and PMPRB12. The following tests were conducted to determine the proportion of products with a Canadian list price that was higher than the international comparator metric and the associated maximum/minimum price reductions (MxPR/MnPR, respectively) required to match the international comparator metric: Highest International Price Comparison (HIPC) and Median International Price Comparison (MIPC). Data Sources: international public formularies for PMPRB7 countries and Australia; IMS Pricing Insights (as of June 2017) for the other 5 countries in PMPRB12. The Canadian list prices of 42% of the study sample were found to be higher than HIPC for PMPRB12 (MxPR 96%, MnPR 0.2%); 1% was higher for PMPRB7 (MxPR 25%, MnPR 11%). MIPC test: 70% of the sample was higher for PMPRB12 (MxPR 76%, MnPR 6%); 49% was higher for PMPRB7 (MxPR 76%, MnPR 1%). If implemented, the federally mandated change to the basket of comparator countries is expected to have a significant impact on patented drug pricing and will require a significant proportion of drugs to decrease their prices, with just the change in basket countries. If a median international price ceiling is applied to existing drugs, the impact can be expected to affect the majority of drugs with list price reductions of at least 6%. Draft PMPRB Guidelines (Spring 2018) will provide direction on how any changes will affect existing drugs.

Competition or cooperation: a case study of the 2005 'employee discount pricing' promotions in the US automobile industry

This paper considers the widely successful employee discount pricing (EDP) promotional program of 2005 to uncover the nature of competition in the US automobile industry, with a specific focus on the big three automakers. In contrast to previous research on automobile competition, this paper uses quarterly average dealer-level transaction price data to capture the short term nature of inter-firm competition that might be embedded in such promotional programs. In doing so, a structural oligopoly model of differentiated products is setup explicitly incorporating the nature of competitive interactions. Results imply that the overall nature of competitiveness in the US automobile industry is consistent with a static model of Bertrand behaviour without any changes in conduct among the big three during the EDP promotion period. These results corroborate the problems of inventory backlog faced by the big three in recent years and indicate that the EDP program has been more of a novel marketing intent on part of the big three to clear up such backlogs.

Competition or cooperation: a case study of the 2005 'employee discount pricing' promotions in the US automobile industry

This paper considers the widely successful employee discount pricing (EDP) promotional program of 2005 to uncover the nature of competition in the US automobile industry, with a specific focus on the big three automakers. In contrast to previous research on automobile competition, this paper uses quarterly average dealer-level transaction price data to capture the short term nature of inter-firm competition that might be embedded in such promotional programs. In doing so, a structural oligopoly model of differentiated products is setup explicitly incorporating the nature of competitive interactions. Results imply that the overall nature of competitiveness in the US automobile industry is consistent with a static model of Bertrand behaviour without any changes in conduct among the big three during the EDP promotion period. These results corroborate the problems of inventory backlog faced by the big three in recent years and indicate that the EDP program has been more of a novel marketing intent on part of the big three to clear up such backlogs.

Introduction

China has been undergoing significant social and economic structural changes since launching its policy of economic reform and opening up in 1978. This has involved a transformation from a centrally planned economy, where there is no role for the market, to a market-oriented economy in which market principles play a major role. During the last four decades, great achievements have been made in terms of economic growth and social well-being. To name a few indicators: the Gross Domestic Product (GDP) of the country increased from USD 189.65 billion in 1980 to USD 10.866 trillion in 2015, positioning China as the second largest economy in the world, with an average annual growth rate over 10%. Meanwhile, poverty levels have greatly improved. The poverty headcount ratio at USD 1.90 a day (2011 PPP) has decreased dramatically, from 42.15% in 1981 to 10.68% in 2013. The rapid economic growth, combined with the reform of the Hukou registration system, has also accelerated the migration flow from rural areas to urban areas. The population living in urban China in 2015 reached 763 million, making the urbanisation level of 55.61%, almost three times that in 1980. With the rapid growth of the urban population, the welfare-based public housing provision system founded in the central planning era could no longer meet the increasing housing demand of urban residents. Thus, in 1994, comprehensive housing reforms were implemented, aiming to privatize the public housing sector and promote a housing allocation system based on market principles. The milestone of housing reform occurred in 1998, when the government completely suspended the traditional housing allocation system, making the housing market the only way to access housing services (Wang et al. 2012). The emergence of the private urban housing market spurred both housing transactions and prices. In 1998, the housing area traded on the market was approximately 108 million square metres on an average transaction price of 1854 yuan/m2. These two figures were nearly ten and three times higher in 2014, soaring to 1.05 billion square metres and 5933 yuan/m2, respectively. At the regional level, rapid economic development has been accompanied by increasing inequality. Soon after the launch of the economic reforms, some coastal regions, Guangdong and Zhejiang in Eastern China, for example, grew quickly, due to the influx of foreign direct investment (FDI), advanced technologies and equipment, and favourable policies of the central government. The ‘core’ position of these regions in the national economy was further enhanced through a self-reinforcing process (Anderson 2012, p.127), shaping a core-periphery economic structure in China. In 1980, the regional gross product of Eastern China accounted for 43.69% of total GDP in China, while in 2014 this ratio increased to 51.16%, reflecting the polarization of economic activities. Reflecting the distribution of economic activities, the inequality in the cost of housing between regions is also striking. In 2014, the average sale price in 35 main cities in mainland China was approximately 8599 yuan/m2, with the standard error also high, at 4651 yuan/m2, making the coefficient of variance 0.54, thus indicating a high degree of heterogeneity across this city-level housing market. The left panel of Figure 1.1 shows the spatial distribution of average house prices. It is apparent that the prices in the coastal cities of Eastern China are generally greater than the prices of inland cities. However, the picture of house price dynamics is a little different. From 2002 to 2014, the rapid growth in house prices, on average 11.38% per year, seems to be anational phenomenon and there is very little variance between the annual growth rates in different cities; the coefficient of variance is only 0.18, much lower than that of the house price level. Perhaps the most prominent spatial pattern of house price growth rate is that the northeastern cities experienced the lowest price appreciation during the period 2002-2014. This dissertation is fundamentally concerned with the spatial patterns of house prices and their dynamics across cities in China. Although literature on the Chinese housing market has been emerging in recent years, little is known about the spatial interaction of regional housing markets. The following four chapters will be dedicated to responding to questions concerning the emerging market: Why is there a core-periphery structure in the distribution of interurban house prices? To what extent are the house price developments across cities similar? How do house price dynamics in one city affect the house price changes in other cities? The investigation of the spatial dimension of the Chinese housing market has been always hampered by the quality of the data, especially when analysing house price dynamics. This situation has inspired the pursuit of research to construct house price indexes that reflect the house price changes as accurately as possible. In line with a key theme of this study, particular a

Social Interactions and Segregation in Public Housing Neighbourhoods in Singapore

This paper investigates cultural amenities and social interactions in Singapore’s resale public housing market. Based on a unique dataset on the Cash-Over-Valuation (COV), which measures differences between transaction prices and appraisal values, for a sample of 73,048 resale public housing transactions from 2007 to 2012, we find that COV per square meter (psm), which is a proxy for premiums that are above the “objective” values of houses, significantly increases with the fraction of a selected ethnic group in housing blocks. The results imply that buyers value social interactions and cultural affinity in housing blocks with high concentration of households of the same ethnic group. To live in a block with more than 90th percentile of residents from their own ethnic groups, Chinese or Malay buyers pay an additional SGD 98.74 and SGD 102.60 for COV per square meter (psm), respectively, which is equivalent to about 2.36% and 2.46%, respectively, of the average transaction prices. We also find that Chinese buyers pay SGD 43.63 more in COV psm in blocks with Chinese’s binding-quota, but pay SGD 11.24 and SGD 41.99 less in blocks with Malay’s and Indian’s binding-quotas, respectively. Lastly, we also show that additional COV are found relatively positive premiums for the within-ethnicity transactions relative to the cross-ethnicity transactions, which support the literature arguing on positive information spillovers and network effects between buyers and sellers of the same ethnicity group.

Are Green Buildings Really 'Greener'? Energy Efficiency of Green Mark Certified Buildings in Singapore

There is no conclusive evidence in the existing literature to show that green buildings save more energy than conventional buildings. Why do buyers pay premiums for green buildings? This study empirically examines whether the “Green Mark” (GM) certification is either a signal for energy efficiency in buildings or a reputational signal segregating developers in the pooling equilibrium. Using a unique panel of electricity consumption data for a large sample of residential buildings in Singapore, we do not find significant differences in energy consumptions between GM-certified buildings and non-GM-certified buildings, on the days when the sky is shrouded by strong haze and the energy consumption in the buildings is relatively high. However, we find that the average transaction price of GM-certified dwellings is 1.61% higher than that of the comparable not GM-certified dwellings. With a difference-in-difference approach, we show significant and positive GM labeling announcement effects on housing prices and energy consumption. An instrumental variable approach is employed to deal with potential omitted variable bias and reverse causality issues between energy consumption and housing prices and to determine whether green housing is a sound investment that leads to intangible returns. The 2SLS estimates indicate that electricity consumption has no effect on housing prices implying that green housing premiums may not be as valuable without providing the expected energy savings.

Methodology for mapping the average transaction prices of residential premises using GIS

Abstract Geographic information systems (GIS) and their tools support the process of real estate trading. Of key importance is the ability to visualise information about real estate in the form of maps of average real estate transaction prices. The following study presents a methodology for mapping average real estate transaction prices using GIS. The map development process comprised three main stages. In the first stage, the input data was processed and statistically analysed. Official data came from the Register of Real Estate Prices and Values, and open data from the National Register of Boundaries. The second stage involved the visualization of the data in the form of maps of average apartment prices using the cartographic methods of choropleth maps and diagrams. The commercial tool ArcMap 10.3 and the free Quantum GIS software were used in the design of the maps of average real estate transaction prices, to check the options for using these types of programs. As a result, eight maps were designed presenting the average transaction prices for residential properties in the Warsaw district of Ursynów in 2015. The final stage was the analysis of the designed maps. The influence of the selection of the reference units on the visualization content, and the impact of combining cartographic presentation methods on the complexity of the presentation of real estate information, were also analysed.

The design of a Probability Bidding Mechanism in electricity auctions by considering trading constraints

In the electricity trading exchange, we need to consider electricity price, transmission costs, network congestion and technology constraints. Therefore, some electricity trading may be forced to be canceled because of limits on power transmission lines. The most challenging issue is how to make an appropriate auction bidding mechanism in electricity trading. According to the bipartite network and evolutionary game theory with the Paid-as-Bid auction mechanism as research background, we explore a Probability Bidding Mechanism (PBM). The designed mechanism could significantly disrupt the learning process and weaken the unconscious collusion behaviors of generators during the auction process. The simulation results of the proposed mechanism are compared with the High–Low Matching bidding mechanism and the comparison shows that the PBM could minimize the average transaction price and maximize the average trading quantities effectively. Further investigation reveals that the parameter, which is used to adjust trading price, has more influence on generators than purchasers. Some suggestions for reducing the generator’s offer and increasing the market trading quantities are recommended at the end of the paper.

The Design of Transportation Service Auction under Time-Cost Environment

Motivated by the taxi refusal problem, this paper presents a new idea of bidding for taxi services through double auction. This is equivalent to a variable surcharge policy as opposed to the existing situation of a fixed surcharge paid in addition to a regular meter fare. Unlike an auction for normal commodities, time-cost is relevant in an auction for taxi services. Thus, the typical design of an auction may not be suitable for a taxi auction. This paper examines one of the problems of auction design: design of information content for the user interface. The authors conducted laboratory experiments to investigate the effect of different levels of information content. They found that the fixed surcharge policy was outperformed by the variable surcharge policy for most of the values of the surcharge considered. Moreover, there is a significant time-cost effect, and providing bidders with greater information leads to the lowest average transaction price.

How efficiency shapes market impact

We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large metaorders is smaller than that of small metaorders. We formulate a stylized model of an algorithmic execution service and derive a fair pricing condition, which says that the average transaction price of the metaorder is equal to the price after trading is completed. We show that at equilibrium the distribution of trading volume adjusts to reflect information, and dictates the shape of the impact function. The resulting theory makes empirically testable predictions for the functional form of both the temporary and permanent components of market impact. Based on the commonly observed asymptotic distribution for the volume of large trades, it says that market impact should increase asymptotically roughly as the square root of metaorder size, with average permanent impact relaxing to about two-thirds of peak impact.

How Efficiency Shapes Market Impact

We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large metaorders is smaller than that of small metaorders. We formulate a stylized model of an algorithmic execution service and derive a fair pricing condition, which says that the average transaction price of the metaorder is equal to the price after trading is completed. We show that at equilibrium the distribution of trading volume adjusts to reflect information, and dictates the shape of the impact function. The resulting theory makes empirically testable predictions for the functional form of both the temporary and permanent components of market impact. Based on the commonly observed asymptotic distribution for the volume of large trades, it says that market impact should increase asymptotically roughly as the square root of metaorder size, with average permanent impact relaxing to about two thirds of peak impact.

Do ‘Green’ Investors Pay More for Eco-Certified Offices?

Previous studies of rental and price premiums in the market for eco-certified real estate have largely ignored buyer characteristics. This paper investigates whether there are significant concentrations of eco-investors in commercial real estate markets and uses hedonic regression analysis to examine whether eco-investors tend to pay additional premiums for these assets. Auction theory is used to model the expected price effects where eco-investors differ systematically in their valuation of assets. Drawing upon a comprehensive database of commercial real estate transactions of Class A offices that took place during between January 2007 and March 2012, The fact that a number of investors have relatively high market shares suggests that there are eco-investors. The results are broadly consistent with previous hedonic studies that find significant positive price premiums for eco-certified offices. We also find that for each 1% increase in a company's market share, the company pays an additional premium of 1.4% for eco-certified assets in excess of the predicted price of our hedonic model. By comparison, a 1% increase in the market only increases the average transaction price by only 0.3% for non-green investors and is insignificant for green investors.

Estimation of house prices in regions with small sample sizes

House price indexes had become important economic indicators worldwide, since movements in house prices have been closely correlated with the economic cycle. In order to compute these kind of indexes it is imperative to produce reliable estimates of the average transaction price of houses, not only at the macrolevel (e.g. national and state level), but also at the microlevel (e.g. district, municipalities or further disaggregate regional level). In Portugal, there is a rapidly growing demand of such microlevel statistics since the beginning of the recent financial and economic crisis. The Portuguese Statistical Office provides a range of invaluable data at national level; however, this data cannot be used directly to produce reliable regional-level estimates due to small sample sizes. In this paper we employ small area estimation techniques to produce design and model-based estimates of average transaction price of houses for Portuguese regions with small sample sizes. Our results show that the model-based estimates based on spatial and temporal models are more accurate than the traditional direct design-based estimates. The use of these techniques allows the production of information at disaggregated regional levels that would not be available under the traditional direct estimation approaches. Furthermore, it is even possible to produce reliable model-based estimates for geographical areas without sample. The estimates are expected to provide invaluable information to policy-analysts and decision-making.

Does (and What) Illiquidity Matter for Real Estate Prices? Measure and Evidence

Using a national sample of transactions in 24 major office markets in the U.S. from 1995 to 2010, this paper shows that illiquidity, especially the search cost component of illiquidity, is an important determinant of expected returns in real estate. We propose two novel measures to capture the price impact and search cost aspects of illiquidity in the real estate market, both of which are easily obtainable from price and volume data. At the regional market level, the price impact measure, which reflects the degree of supply and demand imbalance, is positively correlated with the proportion of high vacancy transactions and negatively related to transaction volume and the proportion of tax-deferred transactions. The search cost measure is strongly positively correlated with time-on-the-market, high vacancy, tax-deferred and out-of-state buyer proportion and is negatively correlated with the proportion of auction sales. Based on both quarterly hedonic price index (estimated from the transaction data) and the average quarterly transaction price, we find that there is a higher expected return in the market with a high price impact and search cost. The illiquidity premium is driven by the bust period, with a 10% increase in either the price impact or search cost measure leading to more than 4 percentage point increase in the annualized expected return in the cross section. Search cost is particularly relevant for understanding real estate prices for non-Class A buildings and during the 2008 financial crisis. We also document flight-to-quality (-liquidity) from non-Class A to Class A (i.e., investment grade) market during the crisis.

Using Information Markets for Pricing: The Case of the Airline Industry

This study evaluates the applicability of information markets to pricing in the airline industry. An information market was established, in which seats on a specific flight were traded for five rounds. Three types of estimates were gathered in each round: the average bid, asking prices, and transaction prices. This study examines whether and why one of them estimated the actual price accurately. The most accurate estimate was the average transaction price in the first round (estimation error of 0.39%). The main finding is that an information market can serve as a decision support tool in the pricing process in the airline industry. The study is innovative in offering possible explanations as to the mechanism that leads these markets to produce accurate results.

High Frequency Traders and Asset Prices

Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely to change the average transaction price, even in the absence of new information. We also find that in a market with a high frequency trader, the distribution of transaction prices has more mass around the center and thinner far tails. With a machine, mean intertrade duration decreases in proportion to the increase in the ratio of the human order arrival rates with and without the presence of the machine; trading volume goes up by the same rate. We show that the machine makes positive expected profits by sniping out human orders somewhat away from the front of the book. This explains the shape of the transaction price density. In fact, we show that in a special case, the faster humans submit and vary their orders, the more profits the machine makes.

Le marché immobilier : quelques perspectives à long terme pour la région de Trois-Rivières

The results of any analysis of local real estate markets must be qualified interms of the long run equilibrium conditions assumed in the study. Such propertycharacteristics as: non homogeneity, durability, length of response lag time, etc.,are frequently suggested as major factors which contribute to the inefficiency ofreal estate markets. Periods of prolonged exogeneous inflationary expectations,which may be indicated by changes in the Consumer Price Index (CPI), addfurther complexity to the analysis of real estate markets. This paper presents a brief discussion of the factors which influence thesupply and demand for Real Estate. Special reference is made to the City ofTrois-Rivières, Québec, which is analysed over the ten year period 1971 to 1981. In this market the impact of changes in income on long run demand would appearto be negative. The effect of demographic factors, particularly population in the25 to 34 year age group, is not clear. There is some indication of a shift in supplyacross submarkets over the 1976-1979 time period. Price changes, measured in current dollars using the Multiple Listing Service(MLS) average transaction price, increased approximately 200 per cent over arelatively short period in the early 1970s. Most of this appreciation appears tohave been lost over the longer time period of the study. Average MLS transaction price, adjusted for inflation, fluctuated between$12,000 and $28,000 over the same period. After appropriate qualification of the results, in terms of the data and themethodology used to analyse the data, it would appear that housing prices in theaggregated Trois-Rivières market have not increased appreciably in current orconstant dollars over the period 1971-1981 although this may not have been thecase in particular submarkets.