Competing Risks in a Time on the Market Analysis

Tinbergen Institute Discussion Paper No. 10-108/2

39 Pages Posted: 2 Nov 2010

See all articles by Erik R. de Wit

Erik R. de Wit

University of Amsterdam - Finance Group; Tinbergen Institute

Date Written: October 29, 2010

Abstract

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).

Keywords: time-on-the-market, duration models, household finance, housing market

JEL Classification: G12, C41, D14, R30

Suggested Citation

de Wit, Erik R., Competing Risks in a Time on the Market Analysis (October 29, 2010). Tinbergen Institute Discussion Paper No. 10-108/2. Available at SSRN: https://ssrn.com/abstract=1699712 or http://dx.doi.org/10.2139/ssrn.1699712

Erik R. De Wit (Contact Author)

University of Amsterdam - Finance Group ( email )

Roetersstraat 11
1018 WB Amsterdam
Netherlands
+31205255414 (Phone)
+31205255285 (Fax)

HOME PAGE: http://www.abs.uva.nl/pp/edewit

Tinbergen Institute

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

HOME PAGE: http://www.tinbergen.nl

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