House Prices, Fundamentals and Bubbles
AbstractThis paper studies actual (real) house prices relative to fundamental (real) house values. Such a focus is warranted since housing constitutes a large fraction of most household portfolios, and its characteristics are such that, in contrast to what prevails in financial markets, arbitrage will be limited and hence correction toward 'true' value is likely to be a prolonged process. Using UK data and a time-varying present value approach, our results preclude the existence of an explosive rational bubble due to non-fundamental factors. We further find that intrinsic bubbles have an important role to play in determining actual house prices although price dynamics appear to impact, particularly in periods of strong deviation from fundamental value. Price dynamics are found to be driven by momentum behaviour. Copyright 2006 The Authors Journal compilation (c) 2006 Blackwell Publishing Ltd.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.
Volume (Year): 33 (2006-11)
Issue (Month): 9-10 ()
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Erdem Basci & Ismail Saglam, 2008.
"On Roots of Housing Bubbles,"
Working Papers, TOBB University of Economics and Technology, Department of Economics
0801, TOBB University of Economics and Technology, Department of Economics.
- Holinski Nils & Vermeulen Robert, 2009. "The International Wealth Effect: A Global Error-Correcting Analysis," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Patricia Fraser & Martin Hoesli & Lynn McAlevey, 2008.
"House Prices and Bubbles in New Zealand,"
The Journal of Real Estate Finance and Economics, Springer,
Springer, vol. 37(1), pages 71-91, July.
- Patricia Fraser & Martin Hoesli & Lynn Mc Alevey, . "House Prices and Bubbles in New Zealand," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 06-20, Swiss Finance Institute.
- Carlos Pestana BARROS & Zhongfei CHEN & Luis A. GIL-ALANA, 2013. "Long Memory in the Housing Price Indices in China," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(7), pages 785-807, July.
- Fry, J. M., 2010.
"Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices,"
24778, University Library of Munich, Germany.
- John FRY, 2010. "Bubbles And Crashes In Finance: A Phase Transition From Random To Deterministic Behaviour In Prices," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(2), pages 131-137, December.
- Bourassa, Steven & Hoesli, Martin & Scognamiglio, Donato, 2010. "Housing finance, prices, and tenure in Switzerland," MPRA Paper 45990, University Library of Munich, Germany.
- Alberto, Montagnoli & Jun, Nagayasu, 2013.
"An Investigation of Housing Affordability in the UK Regions,"
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
2013-64, Scottish Institute for Research in Economics (SIRE).
- Alberto Montagnoli & Jun Nagaysu, 2013. "An investigation of housing affordability in the UK regions," Working Papers, University of Strathclyde Business School, Department of Economics 1316, University of Strathclyde Business School, Department of Economics.
- Nils Holinski & Robert Vermeulen, 2010.
"The International Wealth Channel: A Global Error-Correcting Analysis,"
CREA Discussion Paper Series
10-04, Center for Research in Economic Analysis, University of Luxembourg.
- Nils Holinski & Robert Vermeulen, 2012. "The international wealth channel: a global error-correcting analysis," Empirical Economics, Springer, Springer, vol. 43(3), pages 985-1010, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.