Abstract/Details

Information, prices and valuation in real estate markets


1990 1990

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Abstract (summary)

This dissertation introduces two models of price formation in a real estate market characterized by incomplete information, costly search and bargaining. The first is a static model where agents optimally search for the bargaining game which provides them with the highest expected payoff. Agents do not acquire any additional information about the item of exchange as they search. In the dynamic model, we relax this last condition and allow buyers to acquire new information as they progress in their search. Thus at any given time, the buyer's optimal stopping rule encompasses the possibility of acquiring more information in the future.

In both models, it is shown that for reasonable parameter values, any observable market transaction price is a useful signal of the true price for the purpose of inference. Under such an interpretation, the task of an appraiser is formalized: an appraiser filters information from market prices to make inference on properties which are not sold. This interpretation is used to rationalize the appraisal "smoothing" issue. An empirical procedure consistent with this notion of information filtering is estimated using transaction prices of income producing properties.

A procedure to calibrate appraisal errors for the purpose of determining the reliability of appraisal based return indices is also proposed. Transaction prices as well as appraised values of income producing properties were used and it is shown that the bias is modest. This section also discusses the possibility of sample selectivity bias when transaction prices are used to make inference on properties which are not sold. A maximum likelihood estimation procedure is proposed which would explicitly account for such biases.

Indexing (details)


Subject
Economics;
Business costs;
Finance
Classification
0501: Economics
0505: Business costs
0508: Finance
Identifier / keyword
Social sciences
Title
Information, prices and valuation in real estate markets
Author
Quan, Daniel Wah Choo
Number of pages
130
Publication year
1990
Degree date
1990
School code
0028
Source
DAI-A 52/04, Dissertation Abstracts International
Place of publication
Ann Arbor
Country of publication
United States
Advisor
Edelstein, Robert H.
University/institution
University of California, Berkeley
University location
United States -- California
Degree
Ph.D.
Source type
Dissertations & Theses
Language
English
Document type
Dissertation/Thesis
Dissertation/thesis number
9126740
ProQuest document ID
303807534
Copyright
Database copyright ProQuest LLC; ProQuest does not claim copyright in the individual underlying works.
Document URL
http://search.proquest.com/docview/303807534/abstract
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