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Mean Reversion and Momentum: Another Look at the Price-Volume Correlation in the Real Estate Market

  • Yuval Arbel

    ()

  • Danny Ben-Shahar

    ()

  • Eyal Sulganik

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s11146-009-9180-4
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    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 39 (2009)
    Issue (Month): 3 (October)
    Pages: 316-335

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    Handle: RePEc:kap:jrefec:v:39:y:2009:i:3:p:316-335
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

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    6. Jeffrey A. Frankel & Andrew K. Rose, 1995. "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries," NBER Working Papers 5006, National Bureau of Economic Research, Inc.
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    9. Chen, Son-Nan & Jeon, Kisuk, 1998. "Mean reversion behavior of the returns on currency assets," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 185-200.
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    18. Francois Ortalo-Magne & Sven Rady, 1998. "Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints," Finance 9810003, EconWPA.
    19. Genesove, D. & Mayer, C.J., 1994. "Equity and Time to Sale in the Real Estate Market," Working papers 94-02, Massachusetts Institute of Technology (MIT), Department of Economics.
    20. Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack, 2004. "An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(1), pages 1-32, 03.
    21. Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
    22. Bange, Mary M., 2000. "Do the Portfolios of Small Investors Reflect Positive Feedback Trading?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(02), pages 239-255, June.
    23. David C. Ling, 2005. "A Random Walk Down Main Street: Can Experts Predict Returns on Commercial Real Estate?," Journal of Real Estate Research, American Real Estate Society, vol. 27(2), pages 137-154.
    24. Hwang, Min & Quigley, John M., 2003. "Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values," Berkeley Program on Housing and Urban Policy, Working Paper Series qt4045q0v3, Berkeley Program on Housing and Urban Policy.
    25. Charles K. Y. Leung & Garion C. K. Lau & Youngman C. F. Leong, 2002. "Testing Alternative Theories of the Property Price-Trading Volume Correlation," Journal of Real Estate Research, American Real Estate Society, vol. 23(3), pages 253-264.
    26. David M. Cutler & James M. Poterba & Lawrence H. Summers, 1991. "Speculative Dynamics," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 529-546.
    27. Cauley, Stephen Day & Pavlov, Andrey D, 2002. "Rational Delays: The Case of Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 143-65, Jan.-Marc.
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    34. Kuo, Chiong-Long, 1996. "Serial Correlation and Seasonality in the Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 12(2), pages 139-62, March.
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    38. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
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    40. Liow, Kim Hiang, 2003. "Property Company Stock Price and Net Asset Value: A Mean Reversion Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 27(2), pages 235-55, September.
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