scholarly journals Informational Cycles in Search Markets

2020 ◽  
Vol 12 (4) ◽  
pp. 170-192
Author(s):  
Eeva Mauring
Keyword(s):  
Steady State ◽  
Informational Content ◽  
Search Model ◽  
Sequential Search ◽  
Market Participants ◽  
Transaction Prices ◽  
Unknown Distribution ◽  
Trading Volumes

I show that market participants’ equilibrium beliefs can create fluctuations in the volume of trading, even in a stationary environment. I study a sequential search model where buyers face an unknown distribution of offers. Each buyer learns about the distribution by observing whether a randomly chosen buyer traded yesterday. A cyclical equilibrium exists where the informational content of observing a trade fluctuates, which leads to fluctuations in the volume of trading. The cyclical equilibrium is more efficient than steady-state equilibria. The efficiency result holds also if buyers get a signal about past transaction prices or past trading volumes. (JEL D82, D83)

scholarly journals Comparative Analysis of Transaction Prices and the Values of Forest Properties in Poland

Forests ◽  
2020 ◽  
Vol 11 (12) ◽  
pp. 1323
Author(s):  
Radosław Gaca ◽  
Robert Zygmunt ◽  
Michal Gluszak
Keyword(s):  
Imperfect Information ◽  
Private Forest ◽  
Market Prices ◽  
Market Participants ◽  
Market Values ◽  
Transaction Prices ◽  
Property Prices ◽  
Additional Question ◽  
Unbiased Estimates ◽  
Asymmetrically Distributed

Research Highlights: In the paper, we explore systematic discrepancy between sale prices and values of forest properties in Poland. We argue that the systematic valuation bias found is partially caused by the simplified parametric appraisal methodology currently used in Poland. Background and Objectives: Most of the forests in Poland are state-owned, but in recent decades, the market for private forest properties has been dynamically growing. In the paper, we investigate the relations between the actual transaction prices, and the estimated value of forest properties in selected regions in Poland. We hypothesize that sale prices systematically deviate from valuations. An additional question arises regarding the determinants of forest property prices. We hypothesize that due to asymmetric information positive amenities are not fully capitalized in property prices in Poland. Materials and Methods: In the paper, we adopt two regression models used to investigate the valuation accuracy and bias. We test the hypothesis that valuations are unbiased estimates of transaction prices. Results: The results indicate that market prices for forest properties systematically differ from estimated values. Conclusions: Systematic deviation of forest property sales prices from market values may contribute to the imperfect information available to the market participants, especially when information is asymmetrically distributed between buyers and sellers. This may confirm the hypothesis that sellers are not fully aware of the advantages of the property being sold, and provide further explanations for large systematic differences between sales prices and valuations based on parametric valuation methods used in Poland.

Informative Price Advertising in a Sequential Search Model

Econometrica ◽  
1993 ◽  
Vol 61 (3) ◽  
pp. 657 ◽  
Author(s):  
Jacques Robert ◽  
Dale O. Stahl II
Keyword(s):  
Search Model ◽  
Sequential Search ◽  
Price Advertising

Pricing efficiency of Saudi exchange traded funds (ETFs)

2020 ◽  
Vol 11 (3) ◽  
pp. 793-809
Author(s):  
Fahad Almudhaf ◽  
Bader Alhashel
Keyword(s):  
Trading Volume ◽  
Negative Relationship ◽  
Ordinary Least Squares ◽  
Research Approach ◽  
Exchange Traded Funds ◽  
Market Prices ◽  
Content Type ◽  
Market Participants ◽  
Pricing Efficiency ◽  
Trading Volumes

Purpose This paper aims to investigate the pricing efficiency of Saudi Sharia-compliant (i.e. Islamic) exchange-traded funds (ETFs). Design/methodology/approach The paper adheres to a positivist research philosophy with a deductive research approach where data is collected, analyzed and interpreted to examine a hypothesis. Ordinary least squares (OLS) regressions are applied to investigate pricing efficiency and persistence. Findings The results show that Saudi ETFs do not currently offer proper diversification for investors, possibly due to their low trading volumes and the delays of market prices in reflecting net asset value (NAV). On average, ETFs trade at a premium to their NAVs. Moreover, the authors find that the deviations of ETF prices from their NAVs (i.e. premiums or discounts) do not disappear in one day. The results reveal a significant positive relationship between the trading volume of Saudi ETFs and volatility, a significant positive correlation between ETF returns and contemporaneous deviations and a significant negative relationship between returns and lagged deviations. These findings can be interpreted as evidence against the market efficiency of Saudi ETFs. Practical implications Individual and institutional investors can use Saudi ETFs, especially as their efficiency improves with increased trading volume (liquidity). Saudi regulators must increase their efforts to educate market participants and expand the availability of information to enhance transparency and awareness of the benefits of investing in ETFs, which will positively affect liquidity and pricing efficiency in the future. Originality/value This paper is the first to perform empirical tests on Saudi ETFs. Saudi Arabia deserves further attention because it is the most significant stock market in the Gulf Cooperation Council and only recently allowed foreigners to participate.

International Real Estate Review

2010 ◽  
Vol 13 (1) ◽  
pp. 46-78
Author(s):  
Doo Woan Bahng ◽  
◽  
Sae Woon Park ◽  
Keyword(s):  
Price Index ◽  
Residential Building ◽  
Price Reduction ◽  
Qualitative Assessment ◽  
Repeat Sales ◽  
Market Conditions ◽  
Price Inflation ◽  
Sales Price ◽  
Transaction Prices ◽  
Trading Volumes

We examine the behavior of broker quotes in Korean housing markets by comparing the Kookmin Bank apartment (a condominium in a high- rise residential building) price index, a broker quote based apartment price index, and a repeat sales apartment price index that we built using transaction prices, which have become available since January 2006. Broker quotes may differ from actual prices depending on the housing market conditions. Specifically, we test the hypotheses: (1) price increases shown by the broker quote based apartment price index are greater than those shown by the repeat sales apartment price index in an up market; and (2) the broker quote based price index shows a far less price reduction than the repeat sales price index in a down market. We find that indeed in a down market, the broker quote based price index shows far less price reduction than the repeat sales price index (5.75%-8.07%). However, the broker quote based price index does not distort the prices in an up market, where trading volumes are high. It appears that the price inflation in the broker quotes rises as the transaction volume drops. While broker quotes are substantially higher than transaction prices in a down market, the broker sentiment, which is a qualitative assessment of market conditions, appears to be more in line with transaction prices. We have also documented that the broker quote based index reaches its peak about two months after the peak of the repeat sales based index. Finally, broker quotes are smooth in comparison to transaction prices and they are smoothed more in a down market than an up market. Our results suggest that an optimistic view of broker quotes is problematic only in down markets where trading volumes are limited. The price inflation in broker quotes is a risk to the financial system in a market with only a broker quote based index in that it overstates the collateral values underlying mortgage loans in a down market.

scholarly journals Multiproduct Search and the Joint Search Effect

2014 ◽  
Vol 104 (9) ◽  
pp. 2918-2939 ◽  
Author(s):  
Jidong Zhou
Keyword(s):  
Search Costs ◽  
Multiproduct Firms ◽  
Search Model ◽  
Sequential Search ◽  
Market Prices ◽  
Pricing Decisions

This paper presents a sequential search model where consumers look for several products from multiproduct firms. Multiproduct search can significantly influence firms' pricing decisions. For example, it can make market prices decrease with search costs. Possible applications of the model are also discussed. (JEL D11, D43, D83)

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