Anthony Murphy, Nuffield College, Oxford

Housing Market Dynamics and Regional Migration in Britain (with John Muellbauer and Gavin Cameron). PDF 22 August 2006.

Economic conditions exert a strong influence on regional migration. On the one hand, strong labour market conditions, as exemplified by low unemployment rates and high earnings, draw migrants into regions. On the other hand, strong housing market conditions can prevent movement since expensive housing can deter migrants and commuting may often be an alternative. This can be thought of as giving rise to a migration equilibrium, where high house prices choke off migration caused by strong labour market conditions. Expected capital gains in housing and expected earnings growth however, can offset high levels of house prices, effects ignored in previous literature. Migration can also be influenced more directly by the availability of housing relative to population without this being mediated through prices. This paper presents evidence from a 28 year panel on net and gross migration for the regions of Britain that is broadly in accord with these expectations.

Order Flow, Transactions Clock and Normality of Asset Returns: Ane and Geman (Journal of Finance 2000) Revisited. PDF of presentation at Econometric Study Group Annual Conference, Bristol, July 2006.

Was There a British House Price Bubble? Evidence from a Regional Panel (with Gavin Cameron and John Muellbauer). Revised PDF 28 June 2006.

This paper investigates the bubbles hypothesis with a dynamic panel data model of British regional house prices between 1972 and 2003. The model consists of a system of inverted housing demand equations, incorporating spatial interactions and lags and relevant spatial parameter heterogeneity. The results are data consistent, with plausible long-run solutions and include a full range of explanatory variables. Novel features of the model include transaction cost effects influencing the speed of adjustment, and interaction effects between an index of credit availability and real and nominal interest rates. No evidence for a recent bubble is found.

Crossed Markets: Arbitrage Opportunities in Nasdaq Stocks (with Ryan Garvey). Journal of Alternative Investments, Fall 2006, forthcoming. (Revised PDF 23 May 2006)

We examine how crossed markets create potential arbitrage opportunities in Nasdaq stocks. On average, actively traded Nasdaq listed stocks are crossed approximately 0.5% of the trading day. The incidence of crosses is higher in more fragmented markets. When crosses occur, the mean duration is three seconds, the value of the cross is around one cent, and the offer side has approximately 2,000 shares available for trading. Our simulated trading analysis shows that institutional traders, who act fast and pay little in transaction costs, can potentially exploit the arbitrage opportunities presented by market crosses.

Housing and Inter-Regional Migration in Britain. Powerpoint presentation (slides), Royal Economic Society Annual Conference (20 April 2006). Accompanying tables (PDF)

Was There a British House Price Bubble? Evidence from a Regional Panel Powerpoint presentation (slides), Royal Statistical Society and Royal Economic Society Annual Conference (19 and 20 April 2006).

The UK House Price Bubble Illusion (FT article, 29 March 2006 PDF).

Recent and Forthcoming Publications

Clinch, P. and Murphy, A. (2001). "Modelling Winners and Losers in Contingent Valuations of Public Goods: Appropriate Welfare Measures and Econometric Analysis", Economic Journal, 111, 1-24.
Garvey, R. and Murphy, A. (2003). "Are Professional Traders Too Slow to Realize Their Losses?", Financial Analyst's Journal, 60 (4), 35-43.
Garvey, R. and Murphy, A. (2004). "Commissions Matters: The Trading Behavior of Institutional and Individual Active Traders", Journal of Behavioral Finance, 5(4), 214-221.
Fuertes, A.-M., Izzeldin, M. and Murphy, A. (2005), "A Guided Tour of TSMod", Journal of Applied Econometrics, 20(5), 691-8.
Garvey, R. and Murphy, A. (2005). "Entry, Exit and Trading Profits: A Look at the Trading Strategies of a Proprietary Trading Team", Journal of Empirical Finance, 12, 629 - 49.
Garvey, R. and Murphy, A. (2005). "The Profitability of Active Stock Traders", forthcoming, Journal of Applied Finance, Fall/Winter. (PDF).
Murphy, A. and Strobl, E. (2005), "Employer and Employee Ignorance in Developing Countries", forthcoming, The Review of Development Economics.
Cameron, G., Muellbauer, J. and Murphy, A. (2005), "Migration Within England and Wales and the Housing Market", Economic Outlook, July, 9-17. (PDF)
Meen, G. et. al. (2005), Affordability Targets: Implications for Housing Supply, report prepared for the Office of the Deputy Prime Minister, HMSO, London. (ODPM website with PDF's).
Garvey, R. , Murphy, A. and Wu, F. (2006), "Do Losses Linger? Evidence from Proprietary Stock Traders", forthcoming, The Journal of Portfolio Management, Spring 2007. (PDF)
Cameron, G., Muellbauer, J. and Murphy, A. (2006), "Bubble Trouble - Are British House Prices Significantly Overvalued?", Economic Outlook, April, 19-29. (PDF)
Garvey, R. and Murphy, A. (2006), "Crossed Markets: Arbitrage Opportunities in Nasdaq Stocks ",Journal of Alternative Investments, Fall 2006, forthcoming. (PDF)

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Other Recent Papers

Was There a British House Price Bubble? Evidence from a Regional Panel (with Gavin Cameron and John Muellbauer). Revised paper version of Booms, Busts and Ripples in Regional UK Housing Markets paper. (5 Mar 2006 PDF).

This paper investigates the bubbles hypothesis with a dynamic panel data model of British regional house prices between 1972 and 2003. The model consists of a system of inverted housing demand equations, incorporating spatial interactions and lags and relevant spatial parameter heterogeneity.The results are data consistent, with plausible long-run solutions and include a full range of explanatory variables. Novel features of the model include transaction cost effects influencing the speed of adjustment and interaction effects between an index of credit availability and real and nominal interest rates. No evidence for a recent bubble is found.

Score Tests of Normality in Bivariate Probit Models. (PDF)

A relatively simple and convenient score test of normality in the bivariate probit model is derived. Monte Carlo simulations show that the small sample performance of the bootstrapped test is quite good. The test may be readily extended to testing normality in related models.

Testing the Goodness of Fit of Count Data Models.
Explaining Irish House Prices: A Review and Some New Results. (Zipped PDF)
Order Flow, Transactions Clock and Normality of Asset Returns: Ane and Geman (2000) Revisited. (with Marwan Izzeldin) ( PDF).

We investigate the procedure used by Ané and Geman (AG, Journal of Finance, 2000) to recover the moments of information flow from high frequency data in a model which generalizes the subordinated or mixture of distributions process in Clark (1973). Using Monte Carlo experiments we show that the third and higher moments of the latent information flow cannot be accurately recovered using this procedure. We explain why this happens. We also show that, contrary to the claims in AG, returns conditioned on the recentered number of trades are not approximately Gaussian.

Bootstrapping Tests of Long Memory (with Marwan Izzeldin). (PDF) Presented at 2004 Ox Users Conference.
Trader YAB, the Disposition Effect and Prospect Theory. Presented at Cass Business School, 2005.
Arbitrage Opportunities on Nasdaq Stocks (with Ryan Garvey). Under revision, Journal of Alternative Investments. (PDF)

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Miscellaneous

The UK House Price Bubble Illusion (PDF, March 2006).

The OECD believes that UK house prices are significantly overvalued and warns of the danger of a protracted period of large house price falls, with implications for a slowdown in consumer spending. The last OECD Economic Outlook suggests that UK house prices are overvalued by 30% or more. Our research suggests this view is wrong.

Has There Been a Britsh House Price Bubble? (Powerpoint presentation, Oxford Economics Dept., October 2005).
Are Day Traders Too Slow to Realize Their Losses? (Powerpoint presentation, December 2005).

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