The Efficiency of the Market for Single-Family Homes
Tests of the efficiency of single family home prices are performed using repeat sales prices of 39,210 individual homes in Atlanta, Chicago, Dallas, and San Francisco/Oakland for 1970-86. The market does not appear to be efficient. Year-to-year changes in prices tend to be followed by changes in the same direction in the subsequent year. Moreover, information about real interest rates does not appear to be incorporated in prices. There is, thus, a profitable trading rule for persons who are free to time the purchase of their homes. Still, overall, individual housing price changes are not very forecastable. Copyright 1989 by American Economic Association.
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Volume (Year): 79 (1989)
Issue (Month): 1 (March)
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- Fama, Eugene F, 1975. "Short-Term Interest Rates as Predictors of Inflation," American Economic Review, American Economic Association, vol. 65(3), pages 269-82, June.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
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- John Huizinga & Frederic S. Mishkin, 1985. "Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates," NBER Working Papers 1678, National Bureau of Economic Research, Inc.
- Linneman, Peter, 1986. "An empirical test of the efficiency of the housing market," Journal of Urban Economics, Elsevier, vol. 20(2), pages 140-154, September.
- Engle, Robert F. & Lilien, David M. & Watson, Mark, 1985. "A dymimic model of housing price determination," Journal of Econometrics, Elsevier, vol. 28(3), pages 307-326, June.
- Gau, George W, 1984. "Weak Form Tests of the Efficiency of Real Estate Investment Markets," The Financial Review, Eastern Finance Association, vol. 19(4), pages 301-20, November.
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