The Predictability of House Prices
The level and direction of autocorrelation in house price movements differ across areas and change over time. This finding reconciles the conflicting reports in the literature. When quarterly house price indices exhibit negative autocorrelation, autocorrelation shows a positive connection to volatility and a negative connection to rate of return. Autocorrelation between longer time periods is mainly positive; it exhibits a negative relationship with volatility and a positive relationship with rate of return. Volatile house price indices tend to have lower rates of return. It would be possible to obtain excess returns by following a trading strategy based on the estimated autocorrelation.
Volume (Year): 24 (2002)
Issue (Month): 3 ()
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