The Efficiency of the Market for Single-Family Homes / Karl E. Case, Robert J. Shiller.

Format:

Book

Author/Creator:

Case, Karl E.

Contributor:

National Bureau of Economic Research.

Shiller, Robert J.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2506.

NBER working paper series no. w2506

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1988.

Summary:

Tests of weak-form efficiency of the market for single family homes are performed using data on repeat sales prices of 39,210 individual homes, each for two sales dates. Tests were done for Atlanta, Chicago, Dallas, and San Francisco/Oakland for 1970-86. While evidence for seasonality in real housing prices is weak, we do find some evidence of inertia in housing prices. A city-wide real log price index change in a given year tends to be followed by a city-wide real log price index change in the same direction (and between a quarter to a half as large in magnitude) in the subsequent year. However, the inertia cannot account for much of the variation in individual housing real price changes. There is so much noise in individual housing prices relative to city-wide price index changes that the R[squared] in forecasting regressions for annual real price change in individual homes is never more than .04.

Notes:

Print version record

February 1988.