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
Date Written: May 26, 2019
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: Suggested Citation