International Real Estate Review

2001 ◽  
Vol 4 (1) ◽  
pp. 43-56
Author(s):  
Tsong-Yue Lai ◽  
◽  
Hin Man Mak ◽  
Ko Wang ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Supply And Demand ◽  
Short Selling ◽  
Local Market ◽  
Short Sales ◽  
Rates Of Return ◽  
Short Sale ◽  
Asset Pricing Models ◽  
Short Sell ◽  
Property Markets

Asset pricing models have been used extensively in the recent real estate literature to evaluate real estate performance and estimate required rates of return of properties. In this paper, we show that the CAPM and its variants will derive a biased result when short sales are not allowed in the market. This problem is particularly serious for Asian property markets where investors are not able to short sell real estate indexes as a substitute for short selling real properties. We also demonstrate that the bias resulting from the short-sale constraint is related to the supply-and-demand conditions in the local market.

Short Sales and Residential Real Estate Prices

2013 ◽  
Author(s):  
Andrew Narwold ◽  
Stephen J. Conroy ◽  
Dirk Yandell
Keyword(s):  
Real Estate ◽  
Short Sales ◽  
Residential Real Estate ◽  
Real Estate Prices

Research on Supply and Demand of Xi'an Real Estate Market

2011 ◽  
Vol 368-373 ◽  
pp. 3078-3082
Author(s):  
Zhou Ji Meng ◽  
Tao Zhou ◽  
Shu Hua Gao
Keyword(s):  
Principal Component Analysis ◽  
Spectral Analysis ◽  
Real Estate ◽  
Spectral Density ◽  
Supply And Demand ◽  
Principal Component ◽  
Real Estate Market ◽  
Medium Term ◽  
Real Estate Price ◽  
Synthetic Indicators

In the passage, the indicators of supply and demand of real estate market in Xi'an are established, and such indicators are synthesized into a class of synthetic indicators using “principal component analysis”. After the spectral analysis of synthetic indicators, periodic change of supply and demand of real estate through spectral density could be determined. Through the analysis, great randomness existed in supply and demand of real estate in Xi’an. Furthermore, in the medium term, a 3.3 years’ secondary cycle still existed in synthetic indicators of demand, while randomness existed in synthetic indicators of supply. Such findings suggest a declined trend existed in real estate price in medium term of Xi’an.

Short Selling ADRs and Foreign Market Short-Sale Constraints

2010 ◽  
Author(s):  
Benjamin M. Blau ◽  
Richard S. Warr ◽  
Robert A. Van Ness
Keyword(s):  
Foreign Market ◽  
Short Selling ◽  
Short Sale Constraints ◽  
Short Sale

scholarly journals Segmented Housing Search

2020 ◽  
Vol 110 (3) ◽  
pp. 720-759 ◽  
Author(s):  
Monika Piazzesi ◽  
Martin Schneider ◽  
Johannes Stroebel
Keyword(s):  
San Francisco ◽  
San Francisco Bay Area ◽  
Supply And Demand ◽  
Housing Markets ◽  
Search Model ◽  
Local Market ◽  
Search Activity ◽  
Bay Area ◽  
Supply And Demand Shocks ◽  
Housing Search

We study housing markets with multiple segments searched by heterogeneous clienteles. In the San Francisco Bay Area, search activity and inventory covary negatively across cities, but positively across market segments within cities. A quantitative search model shows how the endogenous flow of broad searchers to high-inventory segments within their search ranges induces a positive relationship between inventory and search activity across segments with a large common clientele. The prevalence of broad searchers shapes the response of housing markets to localized supply and demand shocks. Broad searchers help spread shocks across many segments and reduce their effect on local market activity. (JEL D83, R21, R31)

Short‐sell moratorium effects on regional bank performance

2013 ◽  
Vol 5 (2) ◽  
pp. 92-110
Author(s):  
Michael Devaney ◽  
William L. Weber
Keyword(s):  
Trading Volume ◽  
Short Selling ◽  
Bank Risk ◽  
Too Big To Fail ◽  
Content Type ◽  
Naked Short Selling ◽  
Regional Bank ◽  
Capm Model ◽  
Short Sell ◽  
Regional Banks

PurposeThe purpose of this paper is to investigate the effects of the 2008 SEC short‐sell moratorium on regional bank risk and return. The paper also examines the decline in “failures to deliver” securities in the wake of SEC short‐sell moratorium.Design/methodology/approachIn total, six regional bank portfolios are derived and the beta coefficients from a CAPM model are estimated using the integrated generalized autoregressive conditional heteroskedasticity (IGARCH) method accounting for the short‐sell moratorium. Data on 110 regional banks in six US regions from January 2002 to December 30, 2011 are used to estimate the model.FindingsThe ban on naked short selling and the SEC short‐sell moratorium significantly increased individual bank risk for a majority of banks in six geographic regions, but also increased return in three of three regions. There was also reduced naked short selling as failures to deliver securities declined sharply after the September 2008 moratorium took effect.Originality/valueRegional banks have generally not achieved the size needed to be deemed “too big to fail” by policy‐makers. Thus, policy changes such as the SEC short‐sell moratorium might be expected to have larger effects on regional banks than on larger banks, which might be shielded from the policy change by having achieved “too big to fail” status. The authors' results are consistent with research that has shown that short‐sell restrictions increase risk by reducing liquidity and trading volume.

Short selling of ADRs and foreign market short-sale constraints

2012 ◽  
Vol 36 (3) ◽  
pp. 886-897 ◽  
Author(s):  
Benjamin M. Blau ◽  
Robert A. Van Ness ◽  
Richard S. Warr
Keyword(s):  
Foreign Market ◽  
Short Selling ◽  
Short Sale Constraints ◽  
Short Sale
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