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|
|Publication status:||published as Real Estate Economics, vol. 18, no. 3, pp. 253-273, (September 1990)|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
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- 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.
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