TESTING FOR MICRO-EFFICIENCY IN THE HOUSING MARKET

• 成果类型: Article
• 署名作者: Anundsen, Andre Kallak; Larsen, Erling Roed
• 署名单位: Norges Bank; BI Norwegian Business School
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12332
• 发表日期: 2018
• 页码: 2133-2162
• 关键词: price; equilibrium; hypothesis; DYNAMICS; RISK

摘要

Using highly granular transaction-level data for the Norwegian housing market over the period 2002-2014, we investigate whether excessive prices persist or revert in repeat sales. Excessiveness in prices is detected by comparing selling prices to predicted prices implied by a hedonic model, which includes a rich set of attributes. Persistence is rejected and there is substantial reversion in excessive prices. Our results also show little scope for profitable arbitrage by investing in apparently underpriced units. We suggest that excessive prices are related to the stochastic arrival of interested purchasers at public showings, which we show is nonrepeatable.