Testing for Price Anomalies in Sequential Sales

Journal of Real Estate Finance and Economics, May 2019, Volume 58, Issue 4, pp 517–543

Posted: 27 Jun 2019

See all articles by Henry J. Munneke

Henry J. Munneke

University of Georgia - Department of Insurance, Legal Studies, Real Estate

Joseph T. L. Ooi

National University of Singapore (NUS) - Department of Real Estate

C. F. Sirmans

Florida State University - Department of Risk Management, Insurance, Real Estate & Business Law

Geoffrey K. Turnbull

University of Central Florida

Date Written: May 26, 2019

Abstract

This paper provides new evidence of sales sequence-real estate price relations in a setting in which consumption risk and completion risk are both minimized and where agglomeration economics do not pertain. The results illustrate that the monotonic declining price "afternoon effect" or rising price from increasing relative demand documented in auction settings do not extend to real estate transactions in open (non-auction) markets. Instead, we find underlying non-monotonic U-shaped and inverted U-shaped sales sequence-price relations for high-rise and mid-rise developments, respectively, when correcting for unit selectivity effects. The results represent price anomalies in that they are evident after removing the effects of previously identified factors associated with sales sequence-price relations.

Keywords: Afternoon Effect; Sequential Sales; Price Formation; Selectivity Bias

JEL Classification: R31, R38, D40

Suggested Citation

Munneke, Henry J. and Ooi, Joseph T. L. and Sirmans, C. F. and Turnbull, Geoffrey K., Testing for Price Anomalies in Sequential Sales (May 26, 2019). Journal of Real Estate Finance and Economics, May 2019, Volume 58, Issue 4, pp 517–543, Available at SSRN: https://ssrn.com/abstract=3410503

Henry J. Munneke (Contact Author)

University of Georgia - Department of Insurance, Legal Studies, Real Estate ( email )

Athens, GA 30602-6254
United States
(706) 542-0496 (Phone)
(706) 542-4295 (Fax)

Joseph T. L. Ooi

National University of Singapore (NUS) - Department of Real Estate ( email )

4 Architecture Drive
Singapore 117566
Singapore

C. F. Sirmans

Florida State University - Department of Risk Management, Insurance, Real Estate & Business Law ( email )

Tallahasse, FL 32306
United States
850 644-4076 (Phone)

HOME PAGE: http://www.cob.fsu.edu/rmi

Geoffrey K. Turnbull

University of Central Florida ( email )

4000 Central Florida Blvd
Orlando, FL 32816-1400
United States

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