The Predictability of House Prices
Year: 2002
Type: article
Abstract: 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.
Source: Journal of Real Estate Research
Author: Anthony Gu
Institution: SUNY Geneseo
Language: English
Topic: Housing Market and Economics
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1532648619