Competing Risks in a Time on the Market Analysis
Erik R. De Wit
University of Amsterdam - Finance Group; Tinbergen Institute
October 29, 2010
Tinbergen Institute Discussion Paper No. 10-108/2
Theoretical models on the selling process in the housing market are scarce. Taylor (1999) specifies a model where time-on-the-market gives a quality signal of the house to potential buyers if inspection outcomes of the house are not public. We specify a duration model with competing risks, where the competing risks are a sale or a withdrawal from the market. We use a unique administrative dataset from the Netherlands. We find negative duration dependence in the hazard of sale and positive duration dependence in the hazard of withdrawal confirming the empirical predictions from Taylor (1999).
Number of Pages in PDF File: 39
Keywords: time-on-the-market, duration models, household finance, housing market
JEL Classification: G12, C41, D14, R30working papers series
Date posted: November 2, 2010
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