Long-Run Equilibrium Shift and Short-Run Dynamics of U.S. Home Price Tiers during the Housing Bubble

We use vector error correction models to examine the interdependence between the high and the low price tiers during the latest housing market boom and bust. For 118 of the 364 US statistical areas analyzed, the tiered price indexes are bound by a long-run relationship. In general, low tier homes appreciated more than high tier homes in the past two decades. In contrast to previous periods of high volatility, however, low tier homes appreciated more during the boom and lost more value during the bust of the market. We find a shift in the long-run equilibrium during the bubble —the cointegration parameter that ties the tiers together is greater in absolute value during the bubble period compared to the periods of more moderate appreciation and depreciation rates. Moreover, the shift in the long-run equilibrium can be explained by differences in subprime originations across housing markets. We also find that short run price dynamics is driven by momentum in both segments of the market

Teaching Futures Markets with the “ZIP Code” Trading Game

The price dynamics of futures markets and the spot-futures convergence are among the hardest concepts for students to fully understand in a traditional lecture. In this paper we present a classroom exercise designed to enable students to better grasp the intricacies of futures market trading. The simulation mirrors trading on an electronic market exchange in that students can freely submit bids and offers or enter into contracts at pre-existing quotes. We present questions and problems related to transaction data generated during the experiment to aid instructors in explaining: the mechanics of opening and closing position, the calculation of gains and losses, the daily settlement process, the futures-spot price convergence, the behavior of arbitrageurs and speculators, as well as the concepts of market efficiency and insider trading. Finally, we present experimental results from a large cohort of students in a Masters of Finance program

On the Disclosure of Ticket Sales in Charitable Lotteries

We show that a policy of disclosing the ticket sales during a fundraising lottery raises total revenue when there are more than two bettors. The optimal timing of the disclosure is when about half of the players have purchased lottery tickets

The Uniform Price Auction with Endogenous Supply

This paper shows that low-price equilibria in the uniform price auction with endogenous supply do not exist if the seller employs the proportional rationing rule and is consistent when selecting among profit-maximizing quantities. In a (consistent) subgame perfect equilibrium the Walrasian quantities are traded at the Walrasian price

Should Lotteries Offer Discounts on Multiple Tickets?

In a complete information setting we show that the standard lottery–in which each lottery ticket is offered for the same price–is an optimal fundraising mechanism in the presence of strong asymmetries in the way bettors value the prize and the public good provided with the lottery proceeds. When participants are more homogeneous, it is optimal to offer discounts for the purchase of multiple tickets

On the Existence of Symmetric Mixed Strategy Equilibria

In this paper we provide a result ensuring the existence of symmetric mixed strategy equilibria in symmetric games. We apply the fixed point theorem of Glicksberg and Fan analogously to the way in which Moulin [Moulin, H., 1986. Game Theory for the Social Sciences, 2nd Edition. New York University Press, New York.] uses Kakutani's theorem to prove the existence of a symmetric equilibrium in pure strategies

The Effect of Time Spent Online on Student Achievement in Economics and Finance Online Courses.

This article studies the determinants of academic achievement in online courses in economics and finance. The authors use the online tracking feature in Blackboard (Campus Edition) to retrieve the real time that each student spent in the course for the entire semester and to analyze the impact of time spent online, prior grade point average (GPA), and some demographic characteristics of students on their final grades. Both time and GPA are significant determinants of the final grade: Higher GPAs and longer times spent online are associated with higher grades