Using dwelling prices in Australia’s two largest cities, we consider whether the way in which a property is sold, either through an auction or a private-treaty negotiation, is informative for predicting dwelling prices. We find evidence to suggest that average prices of dwellings sold at auction are informative for forecasting growth in average private-treaty prices and average sales prices overall.  In contrast, we find little evidence to suggest that dwellings sold through private treaty are similarly informative. Why are there such striking differences in the informational efficiency of auction prices when compared with private-treaty prices?  We argue that the most likely explanation is differential weighting of buyers’ and sellers’ valuations across the two mechanism of sale, and differential information flows between buyers and sellers.  We also consider other explanations, all grounded in the micro structure of the sales mechanisms.  We assess these models according to both auxiliary data and a small, linear state space model.