Spillovers in Asset Prices: The Curious Case of Haunted Houses

54 Pages Posted: 30 Nov 2017 Last revised: 22 Nov 2019

See all articles by Utpal Bhattacharya

Utpal Bhattacharya

Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management

Daisy J. Huang

Southwestern University of Finance and Economics (SWUFE)

Kasper Meisner Nielsen

Copenhagen Business School - Department of Finance

Date Written: November 21, 2019

Abstract

Exploiting the unique institutional setting of Hong Kong’s real estate market, we uncover a curious ripple effect of haunted houses on the prices of nearby houses. Prices drop on average 19% for units that become haunted, 9% for units on the same floor, 6% for units in the same block, and 1% for units in the same estate. Our study makes two contributions. First, we provide an estimate of a large negative spillover on prices caused by an idiosyncratic quality shock. Second, we find that the demand shock rather than the fire sale supply shock explains most of the spillover.

Keywords: fire sales, negative spillovers, haunted houses

JEL Classification: D62, H23, R21, R31

Suggested Citation

Bhattacharya, Utpal and Huang, Daisy J. and Nielsen, Kasper Meisner, Spillovers in Asset Prices: The Curious Case of Haunted Houses (November 21, 2019). 8th Miami Behavioral Finance Conference 2017, Available at SSRN: https://ssrn.com/abstract=3077951 or http://dx.doi.org/10.2139/ssrn.3077951

Utpal Bhattacharya (Contact Author)

Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management ( email )

Clear Water Bay
Kowloon
Hong Kong

Daisy J. Huang

Southwestern University of Finance and Economics (SWUFE) ( email )

55 Guanghuacun St,
Chengdu, Sichuan 610074
China

Kasper Meisner Nielsen

Copenhagen Business School - Department of Finance ( email )

A4.17 Solbjerg Plads 3
Copenhagen, Frederiksberg 2000
Denmark

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