Excess Returns Inflation And The Efficiency Of The Housing Market

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Excess Returns, Inflation and the Efficiency of the Housing Market

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Author : Dean H. Gatzlaff
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

Book Synopsis Excess Returns, Inflation and the Efficiency of the Housing Market by : Dean H. Gatzlaff

Download or read book Excess Returns, Inflation and the Efficiency of the Housing Market written by Dean H. Gatzlaff and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the influence that unexpected inflation has on the reported time pattern in housing returns. Two alternative models of expected inflation are used to study its effect: a rational expectations model and an adaptive expectations model. Findings indicate that both estimates of unexpected inflation are positively correlated with excess returns to housing. If inflation expectations are assumed to have been adaptive during the 1970's and early 1980's, serial correlation in the excess returns is shown to be greatly diminished when adjusted to control for the return component associated with unexpected inflation. However, substantial inertia in the pattern of the adjusted return series remains. Under this scenario, profitable trading strategies are found to be available only to buyers who need to purchase additional housing services, and are not constrained by the time of purchase.

Further Evidence on the (In-) Efficiency of the U.S. Housing Market

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Author : Felix Schindler
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

Book Synopsis Further Evidence on the (In-) Efficiency of the U.S. Housing Market by : Felix Schindler

Download or read book Further Evidence on the (In-) Efficiency of the U.S. Housing Market written by Felix Schindler and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research in real estate finance and economics has been dealing with the topic of efficiency in the U.S. housing market for over 25 years. However, most recent research either examines local markets based on single homes or focuses on the Conventional Mortgage Home Price Indices (CMPHI) and Federal Housing Finance Agency (FHFA) indices. To our knowledge, however, there does not yet exist any study based on the Case-Shiller indices. This is surprisingly given that the Case-Shiller indices have several advantages over the CMPHI and FHFA indices, particularly since they serve as the underlying of derivatives traded at the Chicago Mercantile Exchange. This study examines the behavior of monthly house price changes for 20 cities in the U.S. and two nationwide indices from January 1987 to June 2009 incorporating both the longlasting boom and the steep and strong downturn of the U.S. housing market. The conducted analysis gives empirical evidence that house price changes in the U.S. exhibit certain patterns. The results show that the return generating process of U.S. housing markets differs significantly from the theoretical model of the random walk hypothesis. Without any exception, the conducted tests reject the null hypothesis of a random walk for all time series of house price changes. Furthermore, trading strategies are implemented as a robustness check and support the findings by generating excess returns in comparison to a buy-and-hold strategy. In general, we can conclude that investors might be likely to earn excess returns by using past information in the U.S. housing market, in particular when standardized derivatives of the indices are traded on exchange markets. However, due to data limitations, the analysis does not conduct the tests based on prices and price changes in derivatives. This analysis would give further empirical evidence whether inefficiencies in the U.S. housing market are exploitable or whether they are incorporated into the pricing process of tradable products and are thus not exploitable by investors.

Forecasting Prices and Excess Returns in the Housing Market

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Author : Karl E. Case
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)

Book Synopsis Forecasting Prices and Excess Returns in the Housing Market by : Karl E. Case

Download or read book Forecasting Prices and Excess Returns in the Housing Market written by Karl E. Case and published by . This book was released on 2010 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U. S. market for homes appears not to be efficient. A number of information variables predict housing price changes and excess returns of housing relative to debt over the succeeding year. Price changes observed over one year tend to continue for one more year in the same direction. Construction cost divided by price, the change in per capita real income, the change in adult population are all positively related to price changes or excess returns over the subsequent year. The results are based on time-series cross section regressions with quarterly data 1970-1 to 1987-3 and for cities Atlanta, Chicago, Dallas, and San Francisco.

Journal of the American Real Estate and Urban Economics Association

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Author :
Publisher :
ISBN 13 :
Total Pages : 698 pages
Book Rating : 4.:/5 (49 download)

Book Synopsis Journal of the American Real Estate and Urban Economics Association by :

Download or read book Journal of the American Real Estate and Urban Economics Association written by and published by . This book was released on 1994 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Journal of Housing Research

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Author :
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (334 download)

Book Synopsis Journal of Housing Research by :

Download or read book Journal of Housing Research written by and published by . This book was released on 1996 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Efficiency in Housing Markets

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Author : Erik Hjalmarsson
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.3/5 (121 download)

Book Synopsis Efficiency in Housing Markets by : Erik Hjalmarsson

Download or read book Efficiency in Housing Markets written by Erik Hjalmarsson and published by . This book was released on 2006 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Efficient Market Theory and Evidence

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Author : Andrew Ang
Publisher : Now Publishers Inc
ISBN 13 : 1601984685
Total Pages : 99 pages
Book Rating : 4.6/5 (19 download)

Book Synopsis The Efficient Market Theory and Evidence by : Andrew Ang

Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.

Dynamics of Housing in East Asia

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Author : Bertrand Renaud
Publisher : John Wiley & Sons
ISBN 13 : 0470672668
Total Pages : 350 pages
Book Rating : 4.4/5 (76 download)

Book Synopsis Dynamics of Housing in East Asia by : Bertrand Renaud

Download or read book Dynamics of Housing in East Asia written by Bertrand Renaud and published by John Wiley & Sons. This book was released on 2016-04-18 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first to evaluate the organisation, behaviour and performance of six major East Asian real estate markets. It offers a unique analysis of the growth and transformation of the real estate sector across East Asia. The authors examine the interactions between volatility in the sector and the overall stability of the economy, in particular during the Asia financial crisis of 1997-98, and the global financial crisis of 2008-09. draws on the best available theoretical and empirical literature applies analytic tools in the context of East Asian institutions and policies helps understand factors affecting resilience and stability in East Asian real estate markets.

Econometric Analysis of the Real Estate Market and Investment

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Author : Peijie Wang
Publisher : Routledge
ISBN 13 : 1134548761
Total Pages : 242 pages
Book Rating : 4.1/5 (345 download)

Book Synopsis Econometric Analysis of the Real Estate Market and Investment by : Peijie Wang

Download or read book Econometric Analysis of the Real Estate Market and Investment written by Peijie Wang and published by Routledge. This book was released on 2003-09-02 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an economic and econometric analysis of real estate investment and real estate market behaviour. Peijie Wang examines fluctuations in the real estate business to reveal the mechanisms governing the interactions between the industry and other sectors of the economy.

International Encyclopedia of Housing and Home

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Author :
Publisher : Elsevier
ISBN 13 : 0080471714
Total Pages : 3870 pages
Book Rating : 4.0/5 (84 download)

Book Synopsis International Encyclopedia of Housing and Home by :

Download or read book International Encyclopedia of Housing and Home written by and published by Elsevier. This book was released on 2012-10-09 with total page 3870 pages. Available in PDF, EPUB and Kindle. Book excerpt: Available online via SciVerse ScienceDirect, or in print for a limited time only, The International Encyclopedia of Housing and Home, Seven Volume Set is the first international reference work for housing scholars and professionals, that uses studies in economics and finance, psychology, social policy, sociology, anthropology, geography, architecture, law, and other disciplines to create an international portrait of housing in all its facets: from meanings of home at the microscale, to impacts on macro-economy. This comprehensive work is edited by distinguished housing expert Susan J. Smith, together with Marja Elsinga, Ong Seow Eng, Lorna Fox O'Mahony and Susan Wachter, and a multi-disciplinary editorial team of 20 world-class scholars in all. Working at the cutting edge of their subject, liaising with an expert editorial advisory board, and engaging with policy-makers and professionals, the editors have worked for almost five years to secure the quality, reach, relevance and coherence of this work. A broad and inclusive table of contents signals (or tesitifes to) detailed investigation of historical and theoretical material as well as in-depth analysis of current issues. This seven-volume set contains over 500 entries, listed alphabetically, but grouped into seven thematic sections including methods and approaches; economics and finance; environments; home and homelessness; institutions; policy; and welfare and well-being. Housing professionals, both academics and practitioners, will find The International Encyclopedia of Housing and Home useful for teaching, discovery, and research needs. International in scope, engaging with trends in every world region The editorial board and contributors are drawn from a wide constituency, collating expertise from academics, policy makers, professionals and practitioners, and from every key center for housing research Every entry stands alone on its merits and is accessed alphabetically, yet each is fully cross-referenced, and attached to one of seven thematic categories whose ‘wholes' far exceed the sum of their parts

Modelling Spatial Housing Markets

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Author : Geoffrey Meen
Publisher : Springer Science & Business Media
ISBN 13 : 1461516730
Total Pages : 279 pages
Book Rating : 4.4/5 (615 download)

Book Synopsis Modelling Spatial Housing Markets by : Geoffrey Meen

Download or read book Modelling Spatial Housing Markets written by Geoffrey Meen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial fixity is one of the characteristics that distinguishes housing from most other goods and services in the economy. In general, housing cannot be moved from one part of the country to another in response to shortages or excesses in particular areas. The modelling of housing markets and the interlinkages between markets at different spatial levels - international, national, regional and urban - are the main themes of this book. A second major theme is disaggregation, not only in terms of space, but also between households. The book argues that aggregate time-series models of housing markets of the type widely used in Britain and also in other countries in the past have become less relevant in a world of increasing income dispersion. Typically, aggregate relationships will break down, except under special conditions. We can no longer assume that traditional location or tenure patterns, for example, will continue in the future. The book has four main components. First, it discusses trends in housing markets both internationally and within nations. Second, the book develops theoretical housing models at each spatial scale, starting with national models, moving down to the regional level and, then, to urban models. Third, the book provides empirical estimates of the models and, finally, the models are used for policy analysis. Analysis ranges over a wide variety of topics, including explanations for differing international house price trends, the causes of housing cycles, the role of credit markets, regional housing market interactions and the role of housing in urban/suburban population drift.

The Inflation of House Prices, Its Extent, Causes, and Consequences

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Author : Leo Grebler
Publisher : Free Press
ISBN 13 :
Total Pages : 280 pages
Book Rating : 4.F/5 ( download)

Book Synopsis The Inflation of House Prices, Its Extent, Causes, and Consequences by : Leo Grebler

Download or read book The Inflation of House Prices, Its Extent, Causes, and Consequences written by Leo Grebler and published by Free Press. This book was released on 1979 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Journal of Economic Literature

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Author :
Publisher :
ISBN 13 :
Total Pages : 1272 pages
Book Rating : 4.:/5 (318 download)

Book Synopsis Journal of Economic Literature by :

Download or read book Journal of Economic Literature written by and published by . This book was released on 1996 with total page 1272 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Expected Inflation, Risk and the Return on Owner-occupied Housing

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Author : Kurt D. Winkelmann
Publisher :
ISBN 13 :
Total Pages : 376 pages
Book Rating : 4.:/5 (319 download)

Book Synopsis Expected Inflation, Risk and the Return on Owner-occupied Housing by : Kurt D. Winkelmann

Download or read book Expected Inflation, Risk and the Return on Owner-occupied Housing written by Kurt D. Winkelmann and published by . This book was released on 1987 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Pragmatic Capitalism

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Author : Cullen Roche
Publisher : Macmillan
ISBN 13 : 1137279311
Total Pages : 252 pages
Book Rating : 4.1/5 (372 download)

Book Synopsis Pragmatic Capitalism by : Cullen Roche

Download or read book Pragmatic Capitalism written by Cullen Roche and published by Macmillan. This book was released on 2014-07-08 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: An insightful and original look at why understanding macroeconomics is essential for all investors

Essays on Housing Markets

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Author : Christian Landers Redfearn
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.:/5 (34 download)

Book Synopsis Essays on Housing Markets by : Christian Landers Redfearn

Download or read book Essays on Housing Markets written by Christian Landers Redfearn and published by . This book was released on 2000 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Journal of Housing Research

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Author :
Publisher :
ISBN 13 :
Total Pages : 338 pages
Book Rating : 4.3/5 (91 download)

Book Synopsis Journal of Housing Research by :

Download or read book Journal of Housing Research written by and published by . This book was released on 1996 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: