Censored Quantile Regressions and the Determinants of Real Estate Liquidity

32 Pages Posted: 10 Feb 2018

See all articles by Marcelo Cajias

Marcelo Cajias

PATRIZIA AG; Universit├Ąt Regensburg

Philipp Freudenreich

University of Regensburg

Anna Heller

University of Regensburg

Wolfgang Schaefers

University of Regensburg - IRE|BS International Real Estate Business School

Date Written: January 31, 2018

Abstract

In this paper we analyze the liquidity (time on market) of rental dwellings and its determinants for different liquidity quantiles in the largest seven German cities. The determinants are estimated using censored quantile regressions in order to investigate the impact on very liquid to very illiquid dwellings. We use micro data to examine the time on market for about 400,000 observations from the first quarter of 2013 to the second quarter of 2017. Hedonic and socioeconomic characteristics as well as spatial gravity variables and various fixed effects are used as exogenous determinants. For almost all regression coefficients we find consistent signs across all quantiles of the time on market distribution, i.e. the proportional hazard assumption, underlying the Cox model, is not violated. However, we find substantial differences in the magnitude of the regression coefficients over the liquidity quantiles. This is the first paper, to the best of our knowledge, to apply censored quantile regressions to the liquidity analysis on the real estate market.

Keywords: Real Estate Liquidity, Duration Analysis, Time on Market, Censored Quantile Regressions, Cox-Hazard, German Housing

JEL Classification: C24, C14, R21, D41

Suggested Citation

Cajias, Marcelo and Freudenreich, Philipp and Heller, Anna and Schaefers, Wolfgang, Censored Quantile Regressions and the Determinants of Real Estate Liquidity (January 31, 2018). Available at SSRN: https://ssrn.com/abstract=3114219 or http://dx.doi.org/10.2139/ssrn.3114219

Marcelo Cajias (Contact Author)

PATRIZIA AG ( email )

Fuggerstr. 26
Augsburg, 86150
Germany
+49 (0) 151 17215198 (Phone)

HOME PAGE: http://www.patrizia.ag

Universit├Ąt Regensburg ( email )

93040 Regensburg
D-93040 Regensburg, 93053
Germany

Philipp Freudenreich

University of Regensburg ( email )

93040 Regensburg
D-93040 Regensburg, 93053
Germany

Anna Heller

University of Regensburg ( email )

93040 Regensburg
D-93040 Regensburg, 93053
Germany

Wolfgang Schaefers

University of Regensburg - IRE|BS International Real Estate Business School ( email )

93040 Regensburg
D-93040 Regensburg, 93053
Germany

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