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Momentum in Residential Real Estate

  • Eli Beracha

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  • Hilla Skiba

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    File URL: http://hdl.handle.net/10.1007/s11146-009-9210-2
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    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 43 (2011)
    Issue (Month): 3 (October)
    Pages: 299-320

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    Handle: RePEc:kap:jrefec:v:43:y:2011:i:3:p:299-320
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

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    1. Rangan Gupta & Stephen Miller, 2012. "“Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 48(3), pages 763-782, June.
    2. K. Rouwenhorst, 1996. "International Momentum Strategies," Yale School of Management Working Papers ysm36, Yale School of Management, revised 01 Feb 2008.
    3. Simon Gervais & Terrance Odean, . "Learning To Be Overconfident," Rodney L. White Center for Financial Research Working Papers 05-97, Wharton School Rodney L. White Center for Financial Research.
    4. Robert J Shiller, 2008. "Historic Turning Points in Real Estate," Eastern Economic Journal, Palgrave Macmillan, vol. 34(1), pages 1-13, Winter.
    5. Monika Piazzesi & Martin Schneider, 2009. "Momentum traders in the housing market: survey evidence and a search model," NBER Working Papers 14669, National Bureau of Economic Research, Inc.
    6. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 363-387, May.
    7. 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.
    8. Brounen, D., 2008. "The Boom and Gloom of Real Estate Markets," ERIM Inaugural Address Series Research in Management EIA-2008-035-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
    9. Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," NBER Working Papers 3368, National Bureau of Economic Research, Inc.
    10. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    11. Christopher J. Mayer, 2007. "Understanding recent trends in house prices and homeownership: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 125-137.
    12. Yuming Fu & Lilian K Ng, 2000. "Market Efficiency and Return Statistics: Evidence from Real Estate and stock Markets Using a Present-Value Approach," Wisconsin-Madison CULER working papers 00-03, University of Wisconsin Center for Urban Land Economic Research.
    13. Robert Shiller, 2007. "Understanding Recent Trends in House Prices and Home Ownership," Yale School of Management Working Papers amz2557, Yale School of Management, revised 01 Nov 2007.
    14. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
    15. Robert J. Shiller, 2007. "Understanding Recent Trends in House Prices and Home Ownership," Cowles Foundation Discussion Papers 1630, Cowles Foundation for Research in Economics, Yale University, revised Oct 2007.
    16. X. Frank Zhang, 2006. "Information Uncertainty and Stock Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 105-137, 02.
    17. Ashiq Ali & Mark A. Trombley, 2006. "Short Sales Constraints and Momentum in Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3-4), pages 587-615.
    18. George W. Gau, 1987. "Efficient Real Estate Markets: Paradox or Paradigm?†," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(2), pages 1-12.
    19. Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, vol. 55(5), pages 2017-2069, October.
    20. 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.
    21. Hamilton, Bruce W. & Schwab, Robert M., 1985. "Expected appreciation in urban housing markets," Journal of Urban Economics, Elsevier, vol. 18(1), pages 103-118, July.
    22. Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
    23. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, vol. 79(1), pages 125-37, March.
    24. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    25. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    26. William L. Attebery & Ronald C. Rutherford & Mark E. Eakin, 1993. "Industrial Real Estate Prices and Market Efficiency," Journal of Real Estate Research, American Real Estate Society, vol. 8(3), pages 377-386.
    27. Szu-Yin Hung & John Glascock, 2008. "Momentum Profitability and Market Trend: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 51-69, July.
    28. Steve Thomas, 2006. ""Discussion of" Short Sales Constraints and Momentum in Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3-4), pages 616-631.
    29. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December.
    30. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, 04.
    31. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 277-297.
    32. Otmar Issing, 2007. "Understanding recent trends in house prices and homeownership: general discussion," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 139-148.
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