efficiency and information aggregation in auctions the tension between allocative efficiency and information aggregation is explored in the context of an auction k identical objects of unknown quality are auctioned off to n bidders whose tastes affect their valuation of an object of given quality bidders receive a signal about the quality of the objects the k highest bidders get an object and pay a price equal to the k first highest bid we find conditions under which in the limit objects are allocated efficiently to those with the highest tastes and price converges in probability to the value of an object to the marginal taste type

the fisher hypothesis and the forecastability and persistence of inflation abstract for the period 1860 to 1939 the simple correlation of the u s commercial paper rate with the contemporaneous inflation rate is 0 17 the corresponding correlation for the period 1950 to 1979 is 0 71 this paper attributes this apparent change in the fisher relation to differences in the stochastic process of inflation rather than a change in any structural relationship between interest rates and expected inflation contrary to recent claims in the literature there is little evidence of inflation non neutrality in data from the pre world war i period

number of bids number of bidders and bidding behavior in outer continental shelf oil lease auction markets abstract theoretical models of auction bidding markets typically treat number of bids and number of bidders as equivalent measures when joint bidding opportunities exist this assumption will often not hold in cases such as offshore oil auctions joint bidding is an extremely common occurrence our analysis of these auctions suggests that the actual number of bidding participants is more closely related with variables of interest winning bids average bid per acre etc than is the simple number of bids we argue that analyses such as that presented here are important in developing theoretical models that are useful in explaining or predicting actual bidding auction outcomes

the probability of sale and price premiums in withdrawn auctioned properties this paper examines the impact of the auction process of residential properties that whilst unsuccessful at auction sold subsequently the empirical analysis considers both the probability of sale and the premium of the subsequent sale price over the guide price reserve and opening bid the findings highlight that the final achieved sale price is influenced by key price variables revealed both prior to and during the auction itself factors such as auction participation the number of individual bidders and the number of bids are significant in a number of the alternative specifications

are higher levels of inflation less predictable a state dependent conditional heteroscedasticity approach milton friedman proposed that there is a positive relationship between inflation and uncertainty about the future path of inflation in contrast to previous studies of this hypothesis we find strong statistical evidence that higher levels of inflation are less predictable although innovations in inflation are somewhat better predictors of future volatility than the actual level of inflation we argue that previous failures to find an inflation uncertainty relationship are due to two factors first none of the previous work directly tested friedman s hypothesis by including the level of inflation in the model of the conditional variance second these studies also used symmetric models which appears inconsistent with friedman s hypothesis our results are robust to different sample periods and to assumptions about the presence of a unit root in inflation to test the inflation uncertainty hypothesis we use state dependent models sdm s of conditional moments to estimate the time varying conditional v

bid shading and risk aversion in multi unit auctions with many bidders abstract we extend the analysis of optimal price taking bidding in multi unit auctions to allow for risk aversion and a continuous random stop out price we show that in a discriminatory auction risk averse bidders should bid less aggressively than risk neutral bidders however bid shading is optimal at each price which implies with complete certainty inefficient trade this is in sharp contrast to competitive auctions where truthful bidding is optimal even under risk aversion

how to set minimum acceptable bids with an application to real estate auctions in a general auction model with affiliated signals common components to valuations and endogenous entry we compute the equilibrium bidding strategies and outcomes and derive a lower bound on the optimal reserve price this lower bound can be computed using data on past auctions combined with information about the subsequent sales prices of unsold goods we illustrate how to compute the lower bound using data from real estate auctions

the winner s curse experiments with buyers and with sellers this paper explores the winner s curse phenomena as it was studied experimentally by kagel and levin experiments with the winner s curse are complicated by the fact that subjects can lose money and the experimenter has only a limited means of collecting it from them thus subjects enjoy only limited liability which has theoretical implications for behavior in the kagel and levin experiments subjects were removed from the bidders competition after losses reached a predetermined value this experimental procedure has unknown implications for the results so ambiguity exists about whether the winner s curse was actually observed in this study their results were replicated in an environment in which subjects were not removed the case in which competitors are sellers is also studied bankruptcy cannot be a problem in sellers competition in both cases the winner s curse is observed thus the limited liability cannot be an explanation for the phenomenon reported by kagel and levin in addition the paper examines the bidding behavior of all individuals and shows that this behavior does not fit any of the tested theories either on the aggregate or individual level the winner s curse did not disappear over time during the conduct of the research

the dynamics of real estate prices institute of university of i business and v california at i economic research berkeley fisher center for real estate and urban economics p working paper series working paper no 88 151 the dynamics of real estate prices by these papers are preliminary in nature their purpose is to i e z i d 2f iz e ey bradford case are nottobccited ortluotedin john mq quigley any publication without the ex press permission of the author walter a haas school of business

testing for the long run relationship between nominal interest rates and inflation using cointegration techniques 1989 testing for the long run relationship between nominal interest rates and inflation using cointegration techniques applied economics vol 21 no 4 pp 439 447

sealed bids sunk costs and the process of competition how do firms recover precontract costs for example suppose 10 firms compete in a sealed bid auction for the right to explore and develop an offshore oil field each spends 500 000 to estimate the value of the field and to prepare its bid suppose this investigation reveals that the tract is worth approximately 20 million if sunk costs do not matter competition dictates that the winner must bid 20 million but if the winner is to recover its prebid costs the maximum offer can be only 19 5 million furthermore long run industry equilibrium considerations suggest that the highest bid will be only 15 million 20 million minus the total bid preparation costs of 5 million if competition forces firms to charge marginal cost why do firms ever invest in resources which become sunk in some industries inframarginal rents can be used to recover these costs however the example above as well as many others involves an all or none deci

insecure property rights and government ownership of firms we develop a theory of the ownership of firms in an environment without secure property rights against state encroachment private ownership leads to excessive revenue hiding and state ownership i e national government ownership fails to provide incentives for managers and local governments in a credible way because local government ownership integrates local government activities and business activities local government may better serve the interests of the national government and thus local government ownership may credibly limit state predation increase local public goods provision and reduce costly revenue hiding we use our theory to interpret the relative success of local government owned firms during china s transition to a market economy

testing for price anomalies in real estate auctions this paper reports on the results of an auction sale of 83 condominium apartment units in new jersey at the auction every unit was hammered down but unknown to the 2 348 registered bidders 40 of the sales fell through prices in the subsequent sale of condominium units in face to face negotiations resulted in identical units selling for 13 less than they fetched at auction and the discount was largest for those units hammered down early in the auction these results are inconsistent with the usual predictions from the theory of common value auctions and suggest that uninformed bidders in this auction may have been the subject of a winner s curse which generated considerable profit for the seller this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from ano this abstract was borrowed from another version of this item

persistence in international inflation rates we test for fractional dynamics in inflation rates based on the consumer price index cpi for 27 countries and inflation rates based on the wholesale price index wpi for 22 countries the fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods significant evidence of fractional dynamics with long memory features is found in both cpi and wpi based inflation rates for industrial as well as developing countries implications of the findings are considered and sources of long memory are hypothesized

further long memory properties of inflationary shocks several previous studies have found fractionally integrated or long memory behavior in the conditional mean of inflation this paper notes that extremely similar phenomena are also apparent in the squared and absolute values of residuals from fractionally filtered inflation series hence the inflation process appears to have a dual long memory feature in both its first and its second conditional moments we suggest a parametric model of long memory in both the conditional mean and the conditional variance some monte carlo evidence is presented that supports estimation of the model by approximate maximum likelihood methods we then report estimated models for the inflation series for several different industrialized countries including the united states for nearly all of the countries in our study there is strong evidence of statistically significant long memory parameters in both the conditional mean and the variance we note some of the implications for modeling inflation

fractional integration and the volatility of uk interest rates we find that short rates are more nonstationary than longer rates and that differences in conditional volatility exist between different maturities therefore their dynamics may be both maturity specific and country specific and any a priori generalizing assumptions may be misleading

auctions with a stochastic number of bidders abstract auction theory is generalized by allowing the number of bidders to be stochastic in a first price sealed bid auction with bidders having constant absolute risk aversion the expected selling price is higher when the bidders do not know how many other bidders there are than when they do know this thus the seller should conceal the number of bidders if he can moreover a bidder s ex ante expected utility is the same whether or not there is a policy of concealing the number of bidders concealment therefore pareto dominates announcement with risk neutral bidders the optimal auction is the same whether or not the bidders know who their competitors are

how trading institutions affect financial market performance some laboratory evidence i introduction trading institutions vary considerably across contemporary financial markets 1 but most can be classified into one of two basic types the continuous double auction da allows traders to submit public offers to buy or to sell and to accept other traders offers at any moment in time the double auction institution offers immediacy but non uniform transaction prices the other basic trading institution the clearinghouse ch gathers offers and clears them at a unified price at a pre specified time it sacrifices immediacy for uniform transaction prices 2 the two types of institutions have co existed and evolved for centuries but now are emerging in new electronic versions market participants and policy makers would like to know which institution or variant or combination is most efficient but theoretical and empirical work to date provides little guidance this paper reports on a series of laboratory asset markets experiments designed to compare variants of the double auction and clearinghouse trading institutions the markets are small usually with eight or nine traders but the traders are profit motivated and experienced with the trading institutions the traded asset has uncertain market value and traders receive useful but inconclusive private information they can only learn the asset s true value during the course of trade laboratory markets offer several advantages for empirical study of financial market institutions first private information is observable even controllable in the laboratory and therefore the investigator can directly measure market efficiency 3 second the complexity of the environment can be varied systematically in the laboratory and its effects on market performance can be separated from the effects of the market institution and other forces finally the market institution itself is controllable in the laboratory so it is possible to make valid causal inferences on how the market institution shapes market performance i begin with a survey of relevant literature and other preliminaries in the rest of this section section ii outlines the laboratory procedures the creation of trading environments of varying complexity the electronic implementation of the clearinghouse and double auction trading institutions the computation of theoretical benchmark prices and allocations and the measurement of market performance section iii collects the results following an illustrative account of a double auction trading period and a clearinghouse trading period i use descriptive statistics to summarize market performance in each of the thirty nine experiments the main conclusions are based on statistical comparisons of market performance across alternative market institutions the clearinghouse institution does surprisingly well it delivers greater market depth than the double auction discovers prices at least as efficiently and produces final allocations almost as efficient as the double auction the main institutional variants examined in this paper concern the amount of information made public regarding order placement orderflow the data suggest that public display of the orderflow enhances double auction efficiency but may impair clearinghouse efficiency a study of trading volume shows higher volume in the double auction in both institutions volume increases when important private news arrives and when the trading period is about to end the paper concludes with a brief summary and discussion of the results a companion paper friedman 1991 considers the effects of awarding various privileges to some but not all traders copeland and friedman 1987 1991 provide useful background information on laboratory procedures and computerized double auction markets instructions for the current experiments are available on request the need for empirical work a skeptic might argue that empirical work is unnecessary the mere fact that the double auction and clearinghouse institutions both persist in major financial markets implies that both are highly efficient because a more efficient institution would displace less efficient institutions

optimal dynamic auctions for revenue management we analyze a dynamic auction in which a seller withc units to sell faces a sequence of buyers separated intot time periods each group of buyers has independent private values for a single unit buyers compete directly against each other within a period as in a traditional auction and indirectly with buyers in other periods through the opportunity cost of capacity assessed by the seller the number of buyers in each period as well as the individual buyers valuations are random the model is a variation of the traditional single leg multiperiod revenue management problem in which consumers act strategically and bid for units of a fixed capacity over time for this setting we prove that dynamic variants of the first price and second price auction mechanisms maximize the seller s expected revenue we also show explicitly how to compute and implement these optimal auctions the optimal auctions are then compared to a traditional revenue management mechanism in which list prices are used in each period together with capacity controls and to a simple auction heuristic that consists of allocating units to each period and running a sequence of standard multiunit auctions with fixed reserve prices in each period the traditional revenue management mechanism is proven to be optimal in the limiting cases when there is at most one buyer per period when capacity is not constraining and asymptotically when the number of buyers and the capacity increases the optimal auction significantly outperforms both suboptimal mechanisms when there are a moderate number of periods capacity is constrained and the total volume of sales is not too large the benefit also increases when variability in the dispersion in buyers valuations or in the number of buyers per period increases

purchasing power parity and unit root tests using panel data abstract this paper reports the results of unit root tests for real exchange rates using a panel framework this panel approach provides greatly improved power compared to conventional univariate time series unit root tests we obtain evidence supporting ppp over the recent flexible exchange rate period for g 6 and oecd countries we show explicitly that failure to find such evidence in previous research was due to the low power of the tests

analyzing the analysts career concerns and biased earnings forecasts this paper examines the career concerns of security analysts we relate long histories of their earnings forecasts to job separations we find that relatively accurate past forecasts lead to favorable career outcomes such as remaining at or moving up to a high status large prestigious brokerage house controlling for accuracy optimistic forecasts relative to the consensus increase the chances of favorable job separations job separations depend much less on accuracy for analysts who cover stocks that are underwritten by their brokerage houses such analysts are also much more likely to be rewarded for optimistic forecasts than other analysts furthermore job separations were much less sensitive to accuracy and somewhat more sensitive to optimism during the stock market mania of the late 1990s these findings suggest that the well documented analyst forecast optimism bias is likely due to incentives to promote stocks

the effects of regulation on industry structure and trade generation in the us securities industry abstract this study investigates the effects of regulation fd and the global research analyst settlement on market share within the us securities industry as well as the determinants of market share during 1996 2004 we find that these regulations did not cause top brokers to lose market share in spite of their reduction of information asymmetries existing within the brokerage industry they did however significantly reduce the quarterly variability in market share changes we find that regulation fd and the global research analyst settlement reduce the importance of an all star analyst issuer affiliation and analyst optimism for gaining brokerage market share we further discover that the global research analyst settlement increases the importance of coverage as a market share determinant while reducing the value of analyst experience for non top brokers we find that our results remain robust even when we limit our analysis to a set of pure brokerage firms

stock auction bidding behavior and information asymmetries an empirical analysis using the discriminatory auction model framework abstract this paper empirically analyzes bidding behavior and information asymmetries of stock auctions using a discriminatory auction model framework analyzing stock auctions using auction theory is important because it provides a logical framework for explaining observable behaviors and a solid foundation for empirical testing because of limited availability of stock auction data existing empirical research based on auction theory focus mainly on treasury auctions away from the treasury markets however there is a significant paucity of literature on this subject in this study we make use of a detailed stock auction data set from the taiwan stock exchange to empirically examine the behaviors of the taiwan stock auction market within the framework of the auction theory our results show that the level of competition the dispersion of opinion among bidders and the bidder s risk aversion are significant in determining auction prices results also show that if the offering prices are set equal to the average offering prices the first day post initial public offering abnormal return will be equal to zero additionally we find institutional bidders possess superior bidding skills compared to small bidders and that underwriter s characteristics influence the bidding results

efficiency in auctions with private and common values an experimental study this discussion has resulted in a publication in the american economic review 2002 92 3 625 43 auctions are generally not efficient when the object s expected value depends on private and common value information we report a series of first price auction experiments to measure the degree of inefficiency that occurs with financially motivated bidders while some subjects fall prey to the winner s curse they weigh their private and common value information in roughly the same manner as rational bidders with observed efficiencies close to predicted levels increased competition and reduced uncertainty about the common value positively affect revenues and efficiency the public release of information about the common value also raises efficiency although less than predicted

land leasing and local government behaviour in china evidence from beijing since 2004 two auction mechanisms listing auctions and tender auctions have played a dominant role in land lease arrangements for real estate development in beijing listing auctions in land markets are similar to general english auctions where bidders offer the highest price to win however in tender auctions winners are determined by the bidding price and the bidder s financial capability and reputation based on granted land parcels from 2006 to 2012 in beijing this paper attempts to examine the price differences between the two auctions and the role of land auction in urban development and price stabilisation we find that land policy in beijing which aims to stabilise land prices and to provide low price residences has been integrated with urban development planning in terms of spatial and density pattern land leasing in beijing is not only a land policy but also a part of the strategy framework of local development

evidence on the extent and potential sources of long memory in u s treasury security returns and yields unlike equity returns many fixed income return measures appear to display long memory we show that the extent of long memory differs strongly for gross and excess holding period returns on u s treasury securities granger and others have argued that long memory may only reflect infrequent structural breaks we explore the impact of structural instability on tests for long memory and find only weak indications that it lies behind the long memory in our return series the evidence of long memory remains strong for yield and term premia series even after accounting for a series of potential underlying structural changes

super experienced bidders in first price common value auctions rules of thumb nash equilibrium bidding and the winner s curse super experienced bidders have learned to overcome the winner s curse but still earn less than 50 of nash equilibrium profits subjects deviate from the complicated nash strategy employing piecew

sources of fluctuations in relative prices evidence from high inflation countries casual analysis of six high inflation episodes indicates a strong positive relationship between movements in the relative price ratio measured by wpi cpi and the inflation rate the authors estimate a vector autoregression model in which relative price movements are driven by several fundamental disturbances fiscal monetary output and exchange rate identified using only long run restrictions based on a general equilibrium optimizing model analysis of the endogenous response of relative price changes to these disturbances suggests that output and monetary shocks are the most important driving forces although fiscal and exchange rate shocks are also influential in explaining relative price movements in some countries copyright 1993 by mit press

inflation in mozambique empirical facts based on persistence seasonality and breaks this article investigates inflation in mozambique using long range dependence lrd techniques in monthly data from december 1995 to october 2012 two important features of the data are analysed persistence and seasonality looking at aggregated and disaggregated data the stability of the parameters across the sample is also investigated the results indicate a high degree of persistence in the data along with a strong seasonal pattern policy implications are discussed

analysing inflation by the fractionally integrated arfima garch model this paper considers the application of long memory processes to describing inflation for ten countries we implement a new procedure to obtain approximate maximum likelihood estimates of an arfima garch process which is fractionally integrated i d with a superimposed stationary arma component in its conditional mean additionally this long memory process is allowed to have garch type conditional heteroscedasticity on analysing monthly post world war ii cpi inflation for ten different countries we find strong evidence of long memory with mean reverting behaviour for all countries except japan which appears stationary for three high inflation economies there is evidence that the mean and volatility of inflation interact in a way that is consistent with the friedman hypothesis

the pre programme earnings dip and the determinants of participation in a social programme implications for simple programme evaluation strategies the key to estimating the impact of a programme is constructing the counterfactual outcome representing what would have happened in its absence this problem becomes more complicated when agents such as individuals firms or local governments self select into the programme rather than being exogenously assigned to it this paper uses data from a major social experiment to identify what would have happened to the earnings of self selected participants in a job training programme had they not participated in it we investigate the implications of these earnings patterns for the validity of widely used before after and difference in differences estimators

auctions versus posted price selling two popular selling methods posted price selling and auctions are compared here in an independent private values model without auctioning costs auctioning is always optimal when auctioning is costly auctions are still preferable if the marginal revenue curve is sufficiently steep the global steepness of the marginal revenue curve is found to coincide with the dispersion around the mean for a number of standard distributions finally the prices of the monopoly seller and of the social optimum are compared copyright 1993 by american economic association

the japanese deflation has it had real effects could it have been avoided has deflation contributed to the long lasting stagnation of the japanese economy could the bank of japan have stopped deflation by implementing a more expansionary monetary policy tentative answers are probably not to the first question and probably yes to the second question it is found that the total cost of deflation over the period 1995 2003 has been close to a 1 1 rate of lost gdp yet on the basis of statistical significance and robustness to specification choices this evidence is not compelling on the other hand the estimated positive linkage between nominal base money growth and inflation is significant and robust even given current economic conditions however in order to be inflationary monetary policy should have been more expansionary than what actually observed even since the launch of the quantitative easing in 2001

inflation persistence and nonlinearities in central and eastern european countries abstract in this paper we provide an insight into the inflation dynamics in a panel of central and eastern european countries applying unit root tests and allowing for nonlinearities we show that inflation rates in more than half of these countries are stationary

property value maximization and public sector efficiency abstract this paper analyses the efficiency implications of property value maximization communities are open so that utilities are parametric to housing producers and the local government each local government chooses its public good output to maximize aggregate property value in the community ignoring feedback effects on the composition of the housing stock it is shown that this type of government behavior generates an equilibrium in which all communities are internally pareto efficient

do analysts generate trade for their firms evidence from the toronto stock exchange abstract it has generally been assumed that the potential commission revenue is an important determinant of a sell side analyst s decision of what firms to cover and what information to publicly release however because stock volume has not been disaggregated on a brokerage firm level uncertainty remains regarding the economic importance of the relation between analyst coverage and brokerage firm volume using a unique data set that identifies the broker s involved in each trade i find that brokerage volume is significantly higher in covered stocks than in uncovered stocks on average brokers increase their market share in covered stocks by 3 8 relative to uncovered stocks

the impact of global warming on agriculture a ricardian analysis reply we measure the economic impact of climate on land prices using cross sectional data on climate farmland prices and other economic and geophysical data for almost 3 000 counties in the united states we find that higher temperatures in all seasons except autumn reduce average farm values while more precipitation outside of autumn increases farm values applying the model to a global warming scenario shows a significantly lower estimated impact of global warming on u s agriculture than the traditional production function approach and in one case suggests that even without co sub 2 fertilization global warming may have economic benefits for agriculture 16 refs 5 figs 5 tabs

price determinants of foreclosed urban land foreclosure proceedings are the primary cause of real estate auction sales in the us given the added legal constraints and risk associated with foreclosure proceedings it is an empirical question as to whether the resulting prices are a function of the usual underlying factors of physical characteristics locational benefits and neighbourhood effects which motivate normal market sale pricing using a hedonic pricing model common in the analysis of market sale prices we find systematically determined price behaviour which replicates market pricing

on the persistence of prices in mexico a fractional integration approach abstracta relevant yet often overlooked characteristic of the inflation rate is its mean reverting property if a series has this feature shocks eventually dissipate whereas if it does not they have a permanent effect on the series the usual i 1 versus i 0 dichotomy in time series econometrics goes only so far towards disentangling this issue by employing a methodology that estimates the persistence of inflation by allowing i fractional integration and ii persistence and level shifts in the series we aim to define whether it is stationary and or mean reverting and if so during which periods the results of our analysis for the period 1987 2015 are threefold firstly inflation in the eighties and nineties should be seen as a highly persistent yet mean reverting process not a random walk secondly inflation remained mean reverting though became a short memory less persistent process around the date of the implementation of the inflation targeting framework of 2001 thirdly during the l

long memory in inflation rates international evidence we examine monthly inflation rates of five industrial countries the application of tests against stationarity as well as tests against a unit root yield contradictory results thus fractional integration allowing for long memory is a plausible model we discuss and apply the periodogram regression to estimate the difference parameters for all countries we find estimates significantly different from 1 as well as from 0 this is evidence in favor of long memory specification tests and maximum likelihood estimates support the fitted models finally we relate our empirical results to the construction of the data

the long run fisher effect can it be tested empirical support for the long run fisher effect a hypothesis that a permanent change in inflation leads to an equal change in the nominal interest rate has been hard to come by this paper provides a plausible explanation of why past studies have been unable to find support for the long run fisher effect this paper argues that the necessary permanent change to the inflation rate following a monetary shock has not occurred in the industrialized countries of australia austria belgium canada denmark france germany greece ireland italy japan the netherlands norway sweden switzerland the united kingdom and the united states instead this paper shows that inflation in these countries follows a mean reverting fractionally integrated long memory process not the nonstationary inflation process that is integrated of order one or larger found in previous studies of the fisher effect applying a bivariate maximum likelihood estimator to a fractionally integrated model of inflation and the nominal interest rate the inflation rate in all seventeen countries is found to be a highly persistent fractionally integrated process with a positive differencing parameter significantly less than one hence in the long run inflation in these countries will be unaffected by a monetary shock and a test of the long run fisher effect will be invalid and uninformative as to the truthfulness of the long run fisher effect hypothesis

equilibrium price paths in sequential auctions with stochastic supply abstract in many sequential auctions supply is unknown ex ante consequently price formation depends on information regarding supply uncertain supply reduces the option value and yields declining prices however prices increase if it becomes known that supply falls short of expectations

china s land market auctions evidence of corruption this paper studies the urban land market in china in 2003 2007 in china all urban land is owned by the state leasehold use rights for land for re development are sold by city governments and are a key source of city revenue leasehold sales are viewed as a major venue for corruption prompting a number of reforms over the years reforms now require all leasehold rights be sold at public auction there are two main types of auction regular english auction and an unusual type which we call a two stage auction the latter type of auction seems more subject to corruption and to side deals between potential bidders and the auctioneer absent corruption theory suggests that two stage auctions would most likely maximize sales revenue for properties which are likely to have relatively few bidders or are cold which would suggest negative selection on property unobservables into such auctions however if such auctions are more corruptible that could involve positive selection as city officials divert hotter properties to a more corruptible auction form the paper finds that overall sales prices are lower for two stage auctions and there is strong evidence of positive selection the price difference is explained primarily by the fact that two stage auctions typically have just one bidder or no competition despite the vibrant land market in chinese cities

urban spatial development in the land policy reform era evidence from beijing this paper examines the characteristics of urban spatial development in beijing and identifies the extent to which these characteristics can be attributed to the emerging land market in beijing as

a transitional institution for the emerging land market in urban china chinese economic reforms since 1978 have been a continuous process of fundamental institutional change the new institution of ambiguous property rights over state owned urban land evolves from the

auctions and land values an experimental analysis although urban land development is a well researched area there has been inadequate research on the allocation mechanism for land this paper offers a new perspective on the effects of the auction mechanism on land values by appealing to an experimental setting to examine the bidding behaviour of developers in repeated first price sealed bid fpsb auctions where resolution of price uncertainty development revenue is deferred it is shown that overbidding is pervasive participants consistently shave expected profit margins in order to secure land for development the actual profit margins reported in all experiments are significantly lower than the suggested benchmark made known before the experiments consequently participants tend to experience smaller ex post profits relative to ex ante expectations however we find that repeated bidding does mitigate overbidding to some extent as evidenced by lower differences in the winning bid to the second highest bid convergence in the range of bids occur

a comparison of naive and experienced bidders in common value offer auctions a laboratory analysis laboratory economics experiments typically use financially motivated students as subjects an ongoing issue is whether this is an appropriate subject pool since the students are typically inexperienced in the types of decision making required of them in the lab this paper addresses this issue in the context of common value offer auctions as we compare the behaviour of experienced business executives in the construction contract industry experts with that of naive student subjects results of previous research of this sort have been equivocal in some cases experts make the same errors as novices in other cases they do not hogarth and reder i987 a series of sealed bid common value offer auctions in which bidders compete for the right to supply an item of unknown cost were conducted inherent to common value auctions cvas is an adverse selection problem which may result in below normal or negative profits the winner s curse experimental studies have documented the presence of the winner s curse with financially motivated student subjects in high price demand side auctions kagel et al i986 kagel and levin i986 the experiments reported here generalise these earlier studies from bid to offer auctions also in employing offer auctions we establish a setting with which our experts are familiar thus allowing their experience the best chance to manifest itself

do security analysts speak in two tongues why do security analysts issue overly positive recommendations we propose a novel approach to distinguish strategic motives e g generating small investor purchases and pleasing management from nonstrategic motives genuine overoptimism we argue that nonstrategic distorters tend to issue both positive recommendations and optimistic forecasts while strategic distorters speak in two tongues issuing overly positive recommendations but less optimistic forecasts we show that the incidence of strategic distortion is large and systematically related to proxies for incentive misalignment our two tongues metric reveals strategic distortion beyond those indicators and provides a new tool for detecting incentives to distort that are hard to identify otherwise

dynamics of persistence in international inflation rates characteristics of inflation play a key role in policy formulation and market analysis several studies have analyzed inflation persistence and reached diverging conclusions in this paper we investigate the dynamics of inflation persistence using fractionally integrated processes and find that there has been a clear decline in inflation persistence in the united states over the past two decades we also show that the presence of fractional integration in inflation successfully explains previous diverging results lastly we provide some international comparisons to examine the extent to which there has been a commensurate decline in inflation persistence in the other g7 economies

who is afraid of reg fd the behavior and performance of sell side analysts following the sec s fair disclosure rules we examine regulation fd s impact on the accuracy and dispersion of sell side analysts earnings forecasts using a large sample of quarterly forecasts made over a nearly 10 year period surrounding fd s adoption we uncover two main sets of findings first individual and consensus forecasts become less accurate post fd particularly for early forecasts and for smaller companies second forecast dispersion increases post fd this effect is stronger for early forecasts and has increased with the passage of time these results which are quite robust to alternative empirical methodologies suggest that there has been a reduction in both selective guidance and forecast quality post fd

dynamic forecasting behavior by analysts theory and evidence abstract we develop a multi period learning model to examine the relation between analysts forecasting behavior and their performance in a competitive market for banking services the surplus and the analyst s payoff which is determined through bargaining are convex in her reputation the convexity of her payoff structure and the presence of employment risk lead to a u shaped relation between the analyst s forecast boldness and prior performance and a positive relation between forecast boldness and experience we find support for these predictions in our empirical analysis significant underperformers outperformers face higher lower employment risk and are more likely to issue bolder forecasts

factors influencing illinois farmland values a hedonic model of illinois farmland values is estimated using county level cross section time series data explanatory variables include land productivity parcel size improvements distances to chicago and other large cities an urban rural index livestock production through swine operation scale and farm density measures population density income and inflation the inclusion of spatial and serial correlation components substantially improves the model fit farmland values decline with parcel size ruralness distance to chicago and large cities and swine farm density and increase with soil productivity population density and personal income

research note strategic bid shading and sequential auctioning with learning from past prices this paper analyzes sequential auctioning of single units of an indivisible good to a fluctuating population composed of overlapping generations of unit demand bidders two phenomena emergent in such a market are investigated forward looking bidding strategies and closed loop selling strategies that involve learning from past prices the buyers shade their bids down i e bid less than they would in a single isolated auction whenever they expect the seller to sell another unit of the good in the near future unlike in exogenous sequences of auctions the optimal bidding strategy thus depends on the seller s selling strategy the converse dependence also occurs the seller can learn about current demand from past realized prices and sell only in periods with high enough demand such learning depends on the extent of bid shading because the seller needs to invert the bidding strategy to learn in equilibrium buyer bid shading persists even when the seller does not sell in every period but it is self regulating in that it eventually vanishes when the existence of the market is threatened by low seller profits in this sense auction markets have a self preservation instinct general properties of learning about current demand from past auction prices are also investigated and characterized

fractional monetary dynamics we test for fractional dynamics in us monetary series their various formulations and components and velocity series using the spectral regression method we find evidence of a fractional exponent in the differencing process of the monetary series both simple sum and divisia indices in their components with the exception of demand deposits savings deposits overnight repurchase agreements and term repurchase agreements and the monetary base and money multipliers no evidence of fractional behaviour is found in the velocity series granger s journal of econometrics 25 1980 aggregation hypothesis is evaluated and implications of the presence of fractional monetary dynamics are drawn

6 revenue effects and information processing in english common value auctions an experiment analyzing behavior in english common value auctions is reported english auctions raise more revenue than first price auctions only when bidders do not suffer from a strong winner s curse agents employ other bidders dropout prices along with their private information as nash bidding theory predicts however a simple and natural signal averaging rule which does not require recognizing the adverse selection effect of winning the auction better characterizes the data than the nash rule monte carlo simulations using fiml estimates of the signal averaging rule predict a number of data characteristics not directly employed in the estimation procedure copyright 1996 by american economic association

market thickness and the impact of unemployment on housing market outcomes abstract a search and matching model is developed to study how unemployment influences the housing market in the presence of the thick market effect a structural estimation of the model is conducted based on texas city level data that covers three years 1990 2000 and 2010 simulations help clarify how much the thick market effect amplifies the impact of unemployment a three percentage point increase in the unemployment rate lowers the price by 10 74 and reduces the transaction volume by 5 49 incorporating a feedback mechanism from housing prices to unemployment strengthens the amplification magnitude of the thick market effect

unobserved component time series models with markov switching heteroscedasticity changes in regime and the link between inflation rates and inflation uncertainty in this article i first extend the standard unobserved component time series model to include hamilton s markov switching heteroscedasticity this will provide an alternative to the unobserved component model with autoregressive conditional heteroscedasticity as developed by harvey ruiz and sentana and by evans and wachtel i then apply a generalized version of the model to investigate the link between inflation and its uncertainty u s data gross national product deflator 1958 1 1990 4 i assume that inflation consists of a stochastic trend random walk component and a stationary autoregressive component following ball and cecchetti and a four state model of u s inflation rate is specified by incorporating regime shifts in both mean and variance structures i analyze the interaction of mean and variance over long and short horizons the empirical results show that inflation is costly because higher inflation is associated with higher long run uncertainty

real exchange rates under the gold standard purchasing power parity is one of the most important equilibrium conditions in international macroeconomics empirically it is also one of the most hotly contested numerous recent studies for example have sought to determine the validity of purchasing power parity using data from the post bretton woods float and have reached different conclusions we assert that most such studies are flawed for two reasons first the post 1973 data contain by definition only a very limited amount of the low frequency information relevant for examination of long run parity second the dynamic econometric techniques used to model deviations from parity are typically quite crude with respect to admissible low frequency dynamics both deficiencies are rectified in the present paper with dramatic results we construct a new data set of 16 real exchange rates covering more than a century of the classic gold standard period and we study deviations from parity using long memory models that allow for subtle forms of mean

forced sales and house prices the market for housing differs in several important ways from the textbook model of a liquid asset market with exogenous fundamentals this implies that the price at which a house is sold can be influenced not only by general supply and demand conditions but also by idiosyncratic factors including the urgency of the sale and the effects of the ownership transfer on the physical quality of the house first houses are productive only when people are living in them owning an empty house is equivalent to throwing away the dividend on a financial asset second houses are fragile assets that need maintenance and are vulnerable to van dalism unoccupied houses are particularly vulnerable and expensive to protect third short term rental contracts involve high transactions costs resulting from the moving costs of renters and the need of homeowners to protect their property against damage fourth houses are expensive indivisible and heterogeneous assets each house has certain unique characteristics which are likely to appeal to certain poten tial buyers and not to others so selling a house requires matching it with an appro priate buyer because of the high costs of intermediation in housing this task is normally undertaken by a real estate broker rather than a dealer fifth most home owners must finance their purchases using mortgages collateralized debt contracts that transfer home ownership to the mortgage lender through a foreclosure process if the homeowner defaults the expansion of mortgage credit in the early 2000s and the recent decline in house prices have led to an unprecedented increase in foreclosures since 2006 foreclosures transfer houses to financial institutions which must maintain and pro tect them until they can be sold foreclosed houses are likely to sell at low prices both because they may have been physically damaged during the foreclosure pro cess and because financial institutions have an incentive to sell them quickly in a liquid market an asset can be sold rapidly with a minimal impact on its price but

a model of negotiated sales applied to real estate auctions abstract recently real estate auctions have grown substantially in depressed markets this article develops a framework to compare the performance of auctions to that of negotiated sales first the article solves a search model that incorporates unforeseen shocks and compares how prices respond in the short run and long run next auctions are considered auctions are shown to obtain discounts because a quick sale results in a poorer match between house and buyer on average than could be obtained by waiting longer for a buyer the model predicts that auction discounts should be larger in down markets with high vacancies and in less dense markets

auctions and bidding a primer maybe the contractor was right to think bid jobs are different but it is more likely that he suffered from too simple a view of what is involved in preparing a competitive bid our analysis will show that even an experienced estimator working in familiar terrain can lose money if he doesn t understand the subtleties of competitive bidding the phenomenon experienced by the painting contractor known as the winner s curse is just one of the surprising and puzzling conclusions that have been turned up by modern research into auctions another is the theoretical proposition supported also by some experimental evidence that for example a sealed bid treasury bill auction in which each buyer pays a price equal to the highest rejected bid would yield more revenue to the treasury than the current procedure in which the winning bidder pays the seemingly higher amount equal to his own bid there are also subtle results that demonstrate the equivalence of such apparently different institutions as the standard sealed bid auction in which the auctioneer seller sells the goods to the highest bidder for a price equal to his bid and the dutch auction in which the auctioneer seller begins by asking a high price and gradually lowers the price until

estimates of the impact of crime risk on property values from megan s laws abstract we estimate the willingness to pay for reductions in crime risk using the location and move in dates of sex offenders we find significant effects of sex offenders locations that are geographically localized house prices within 0 1 miles of a sex offender fall by 4 percent on average we then use this finding to estimate the costs to victims of sexual offenses and find costs of over 1 million per victim far greater than previous estimates however we cannot reject the alternative hypotheses that individuals overestimate risks posed by offenders or that living near an offender poses significant costs exclusive of crime risk jel k42 r23 r31

credit cards and money demand a cross sectional study this study investigates credit card holding and the household demands for several monetary assets in a simultaneous equations framework it exploits the detailed data on household assets as well as demographic and preference characteristics in the 1983 survey of consumer finances a key finding is that consistent with theory a higher probability of credit card ownership implies lower demand for transaction balances with no effect on small time deposit balances copyright 1995 by ohio state university press

property tax auction sales we analyze sales of tax delinquent properties offered at a single property tax auction data on 1 073 parcels offered at the 1987 tax sale in indianapolis are used the two stage heckman selectivity model is used for the estimation the results indicate that more valuable developed residential parcels located outside of the central city are more likely to sell higher minimum bids decrease the probability of sale parcels offered later in the auction are less likely to sell the selling price is associated with a property s assessed value with a negative premium for properties located in the city center

price formation in farm land markets four models of price formation incorporating search and bargaining concepts were specified for an australian farm land market the models were estimated using primary data obtained from land buyers a sequential four equation model of buyer seller behavior was selected as conceptually superior substantively final prices were closer to buyers bid prices than sellers offer prices buyers valued soil conservation and proximity to town more highly and property productivity and size less highly than the sellers and market information had a positive influence on price in this area education may be preferable to subsidies for achieving soil conservation

do liquidation values affect financial contracts evidence from commercial loan contracts and zoning regulation we examine the impact of asset liquidation value on debt contracting using a unique set of commercial property loan contracts we employ commercial zoning regulation to capture the flexibility of a property s permitted uses as a measure of an asset s redeployability or value in its next best use within a census tract more redeployable assets receive larger loans with longer maturities and durations lower interest rates and fewer creditors controlling for the property s type sale price and earnings to price ratio these results are consistent with incomplete contracting and transaction cost theories of liquidation value and financial structure

auctions versus negotiations which is the more profitable way to sell a company an auction with no reserve price or an optimally structured negotiation with one less bidder we show under reasonable assumptions that the auction is always preferable when bidders signals are independent for affiliated signals the result holds under certain restrictions on the seller s choice of negotiating mechanism the result suggests that the value of negotiating skill is small relative to the value of additional competition the paper also shows how the analogies between monopoly theory and auction theory can help derive new results in auction theory jel d44 g34 there are close analogies between standard price theory and the theory of auctions in an absolute english auction in which the price rises continuously until only one bidder remains and the seller is required to accept the final bid the sale price equals the lowest competitive price at which supply equals demand in the theory of optimal auctions the seller is treated as a monopolist who can choose any

measuring the contributions of site characteristics to the value of agricultural land this study examines the effects of different combinations and qualities of selected site characteristics on the value of agricultural land in six substate regions in washington state the analysis follows the general hedonic regression form but incorporates nonnegativity constraints on the models this coupled with an adaptation of bierens s conditional moment test yields consistent results showing a land value is a function of site characteristics b land markets in washington state are highly regional c parsimonious empirical models can provide adequate representations of expected land values and d nonnegative truncation is a valuable procedure in hedonic models

the political economy of the privatisation of the land market in shanghai this paper examines a land market in which the authority in china has a monopolistic power in the granting of the use rights of land to developers investors for real estate development purposes by granting land in private treaty mode rather than open market competition to the developers investors the chinese authority is actually distorting the land prices achieved in the emerging market which will subsequently lead to a distortion of normal land price behaviour despite the fact that the authority might have been underpricing land in shanghai they continue to sell land through the same private treaty mechanism one possible explanation for this is the deeply rooted ideology of the concept of cost as value while another is the possible political complications involved in the property rights of various invisible interests in land

forced sales and farmland prices we analyze farmland prices in the german federal state of brandenburg from 2000 to 2011 with the aim to understand the price formation process in farmland foreclosures pressured sales usually result in a price discount due to time constraints however the land is sold using public auctions this may lead to a price premium since the effect of a foreclosure on farmland prices is ambiguous we empirically quantify the overall effect we use matching techniques and a regression based approach we find that on average price premiums are realized though the effect depends on prevailing land market conditions