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Exploring the determinants of real estate liquidity from an alternative perspective: censored quantile regression in real estate research

Author

Listed:
  • Marcelo Cajias

    (Patrizia Immobilien AG)

  • Philipp Freudenreich

    (University of Regensburg)

  • Anna Freudenreich

    (University of Regensburg)

Abstract

In this paper, the liquidity (inverse of time on market) of rental dwellings and its determinants for different liquidity quantiles are examined for the seven largest German cities. The determinants are estimated using censored quantile regressions in order to investigate the impact on very liquid to very illiquid dwellings. As market heterogeneity is not only observed between cities but also within a city, each of the seven cities is considered individually. Micro data for almost 500,000 observations from 2013 to 2017 is used to examine the time on market. Substantial differences in the magnitude and direction of the regression coefficients for the different liquidity quantiles are found. Furthermore, both the magnitude and direction of the impact of an explanatory variable on the liquidity, differ between the cities. To the best of the authors’ knowledge this is the first paper, to apply censored quantile regressions to liquidity analysis of the real estate rental market. The model reveals that the proportionality assumption underlying the Cox proportional hazards model cannot be confirmed for all variables across all cities, but for most of them.

Suggested Citation

  • Marcelo Cajias & Philipp Freudenreich & Anna Freudenreich, 2020. "Exploring the determinants of real estate liquidity from an alternative perspective: censored quantile regression in real estate research," Journal of Business Economics, Springer, vol. 90(7), pages 1057-1086, August.
    • Handle: RePEc:spr:jbecon:v:90:y:2020:i:7:d:10.1007_s11573-020-00988-w
    DOI: 10.1007/s11573-020-00988-w
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    More about this item

    Keywords

    Residential; Housing; Liquidity; Censored quantile regression; Time on market;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
    • R32 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other Spatial Production and Pricing Analysis

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