Exploring the determinants of liquidity with big data – market heterogeneity in German markets. Issue 1 (5th February 2018)

• Record Type: Journal Article
• Authors: Cajias, Marcelo; Freudenreich, Philipp
• Is Part Of: Journal of property investment & finance. Volume 36:Issue 1(2018)
• Page Start: 3
• Page End: 18
• Publication Date: 2018-02-05
• Subjects: Non-linearity -- Big data -- Cox proportional hazards model -- Housing real estate -- Liquidity/time-on-market -- Spatial effects; Real estate investment -- Great Britain -- Periodicals; Real property -- Valuation -- Great Britain -- Periodicals; Real estate development -- Great Britain -- Finance -- Periodicals; 332.6324094105
• DOI: 10.1108/JPIF-01-2017-0006
• Languages: English
• ISSNs: 1463-578X

Abstract

Abstract : Purpose: The purpose of this paper is to examine the market liquidity (time-on-market (TOM)) and its determinants, for rental dwellings in the largest seven German cities, with big data. Design/methodology/approach: The determinants of TOM are estimated with the Cox proportional hazards model. Hedonic characteristics, as well as socioeconomic and spatial variables, are combined with different fixed effects and controls for non-linearity, so as to maximise the explanatory power of the model. Findings: Higher asking rent and larger living space decrease the liquidity in all seven markets, while the age of a dwelling, the number of rooms and proximity to the city centre accelerate the letting process. For the other hedonic characteristics heterogeneous implications emerge. Practical implications: The findings are of interest for institutional and private landlords, as well as governmental organisations in charge of housing and urban development. Originality/value: This is the first paper to deal with the liquidity of rental dwellings in the seven most populated cities of Europe's second largest rental market, by applying the Cox proportional hazards model with spatial gravity variables. Furthermore, the German rental market is of particular interest, as approximately 60 per cent of all rental dwellings are owned by private landlords and the German market is organised polycentrically.