Forecasting Prices and Excess Returns in the Housing Market
The U. S. market for homes appears not to be efficient. A number of information variables predict housing price changes and excess returns of housing relative to debt over the succeeding year. Price changes observed over one year tend to continue for one more year in the same direction. Construction cost divided by price, the change in per capita real income, the change in adult population are all positively related to price changes or excess returns over the subsequent year. The results are based on time-series cross section regressions with quarterly data 1970-1 to 1987-3 and for cities Atlanta, Chicago, Dallas, and San Francisco.
|Date of creation:||May 1990|
|Date of revision:|
|Publication status:||published as Real Estate Economics, vol. 18, no. 3, pp. 253-273, (September 1990)|
|Contact details of provider:|| Postal: |
Web page: http://www.nber.org
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mankiw, N. Gregory & Weil, David N., 1989.
"The baby boom, the baby bust, and the housing market,"
Regional Science and Urban Economics,
Elsevier, vol. 19(2), pages 235-258, May.
- N. Gregory Mankiw & David N. Weil, 1988. "The Baby Boom, The Baby Bust, and the Housing Market," NBER Working Papers 2794, National Bureau of Economic Research, Inc.
- Karl E. Case & Robert J. Shiller, 1988.
"The behavior of home buyers in boom and post-boom markets,"
New England Economic Review,
Federal Reserve Bank of Boston, issue Nov, pages 29-46.
- Karl E. Case & Robert J. Shiller, 1988. "The Behavior of Home Buyers in Boom and Post-Boom Markets," NBER Working Papers 2748, National Bureau of Economic Research, Inc.
- Robert J. Shiller & Karl E. Case, 1988. "The Behavior of Home Buyers in Boom and Post-Boom Markets," Cowles Foundation Discussion Papers 890, Cowles Foundation for Research in Economics, Yale University.
- Culter, D.M. & Poterba, J.M. & Summers, L.H., 1990.
"Speculative Dynamics And The Role Of Feedback Traders,"
545, Massachusetts Institute of Technology (MIT), Department of Economics.
- Cutler, David M & Poterba, James M & Summers, Lawrence H, 1990. "Speculative Dynamics and the Role of Feedback Traders," American Economic Review, American Economic Association, vol. 80(2), pages 63-68, May.
- David M. Cutler & James M. Poterba & Lawrence H. Summers, 1990. "Speculative Dynamics and the Role of Feedback Traders," NBER Working Papers 3243, National Bureau of Economic Research, Inc.
- Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
- 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.
- Karl E. Case & Robert J. Shiller, 1988. "The Efficiency of the Market for Single-Family Homes," NBER Working Papers 2506, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:3368. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.