Idiosyncratic risk in emerging markets and topics in real estate




Huang, Biqing

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My dissertation investigates the impact of idiosyncratic risk in emerging markets and topics in real estate. It contains three chapters.

The first chapter attempts to shed some light on the extent of non-realtor broker listings on the MLS and their resulting price and time-on-the markets effects. Using duration, probit and selling price models, this study indicate that properties listed by non-realtors on the MLS setting sell at lower prices, take slightly longer to sell, and are less likely to sell than properties listed by REALTORs in a MLS setting.

The second chapter tests the impact of idiosyncratic risk on stock returns for emerging markets that experienced a financial market liberalization. We expect that idiosyncratic risk should be positively associated with returns prior to financial market liberalization, but that liberalization should diminish this effect. Moreover, prior to liberalization, we expect that the number (concentration) of stocks available in the market should be negatively (positively) correlated with the degree to which idiosyncratic risk is priced. On average, the empirical evidence supports these hypotheses.

The third chapter reveals that cash discounts are confined to lower priced homes. Cash buyers pay premiums for higher priced homes. Buyers relying on FHA/VA pay premiums for lower priced homes and discounts for higher priced homes. Our results highlight the importance of examining a large and diverse sample in which wide separation in housing prices can be observed and for which proper controls can be implemented.


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