Liquidity and Information Asymmetry in the Real Estate Market

Posted: 27 Jun 2012

See all articles by Siu Kei Wong

Siu Kei Wong

University of Hong Kong

Edward Chung Yim Yiu

University of Auckland Business School

K.W. Chau

The University of Hong Kong - Ronald Coase Centre for Property Rights Research - Economics

Multiple version iconThere are 2 versions of this paper

Date Written: June 26, 2012

Abstract

This paper draws on six waves of Japanese household longitudinal data (Keio Household Panel Survey, KHPS) and estimates a conditional fixed effects logit model to investigate the effects of housing equity constraints and income shocks on own-to-own residential moves in Japan. By looking at contemoraneous extended Loan-to-value (ELTV) and extended Debt-to-Income (EDTI) ratios under the recourse loan system, we examine whether housing equity constraints and negative income shocks have any impact on own-to-own residential moves. Taking account of the specific nature of the recourse loan system in Japan, we further investigate whether these effects are different between positive and negative equity households. The estimation results show that housing equity constraints and negative income shocks significantly deter own-to-own residential moves for positive equity households.

Keywords: Residential mobility, Housing equity constraint, Conditional fixed effects logit model, Loan-to-value ratio, Debt-to-income ratio, Negative equity, Japan, Recourse loan

JEL Classification: R21, C51, G21

Suggested Citation

Wong, Siu Kei and Yiu, Edward Chung Yim and Chau, Kwong Wing, Liquidity and Information Asymmetry in the Real Estate Market (June 26, 2012). Journal of Real Estate Finance and Economics, Vol. 45, No. 1, 2012, Available at SSRN: https://ssrn.com/abstract=2093487

Siu Kei Wong (Contact Author)

University of Hong Kong ( email )

Pokfulam Road
Hong Kong, HK
China

Edward Chung Yim Yiu

University of Auckland Business School ( email )

Sir Owen G Glenn Building
12 Grafton Road
Auckland, 1024
New Zealand
+64 923 3913 (Phone)

HOME PAGE: http://https://unidirectory.auckland.ac.nz/people/profile/edward-yiu

Kwong Wing Chau

The University of Hong Kong - Ronald Coase Centre for Property Rights Research - Economics ( email )

Ronald Coase Centre for Property Rights Research
Pokfulam Road
Hong Kong
Hong Kong
(852)28592128 (Phone)
(852)25599457 (Fax)

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