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SUMMARY:Prices of peers: identifying endogenous price effects between real
  assets - Dr Nikodem Szumilo\, The London School of Economics and Politica
 l Science.
DTSTART:20180221T160000Z
DTEND:20180221T170000Z
UID:TALK98665@talks.cam.ac.uk
CONTACT:Ingrid Cizaite
DESCRIPTION:Traditionally\, correlations between prices of assets are attr
 ibuted to common fundamental factors. However\, a rich body of literature 
 documents correlated changes in asset prices that cannot be explained by a
 ny observable common causes. By applying Manski’s framework of social in
 teractions to asset pricing this study shows explicitly that house prices 
 are not driven solely by the asset characteristics but also by prices of o
 ther properties. Critically\, it shows that after controlling for exogenou
 s\, correlated and individual factors house prices are endogenously affect
 ed by prices of their neighbours. If prices are driven by human behaviour 
 and social interactions then it is possible that\, just like the behaviour
  of individuals in a group\, prices are influenced by prices of their peer
 s. The main theoretical contribution of this study is to show how\, in add
 ition to the well-documented individual\, correlated and exogenous effects
 \, house prices can be affected by prices of their peers. I refer to this 
 as the price/peer effect. The results show a strong positive influence of 
 a change in price of a house on the price of its neighbours. This can be i
 nterpreted as an endogenous correlation between prices of peer-houses that
  is not driven by any other common factors. In addition\, it appears that 
 the effect persists over time and is compounded if multiple properties ren
 ovate.\n\nNikodem holds a PhD and an MPhil from Cambridge University where
  he also completed his post-doctoral work and taught Real Estate Finance b
 efore joining the LSE in 2017. His research focuses on applied real estate
  economics and finance. His most recent work includes research of the fina
 ncial value of sustainability in real estate markets\, forecasting housing
  affordability and the impact of location choices on health. He is also in
 terested in methods of measuring\, modelling and forecasting prices and fi
 nancial risk in real estate markets. His most recent applied work focused 
 on developing spatial methods of indexing asset performance. He is also a 
 co-founder of the HAIRI index of hotel investments returns.
LOCATION:Mill Lane Lecture Room 1
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