Economics at your fingertips  

Long-Term Natural Cycle Momentum and Housing Price Changes in Israel, 1995-2013

Boris A. Portnov (), Charles Ingene () and Sagi Akron ()
Additional contact information
Boris A. Portnov: University of Haifa
Charles Ingene: The University of Oklahoma
Sagi Akron: University of Haifa

Journal of Real Estate Research, 2016, vol. 38, issue 3, 393-422

Abstract: Measures of "price momentum," typically a moving average of previous price changes, are known to improve the predictive power of empirical price models. We introduce polynomially-smoothed price-trend derivatives as a refined momentum measure and apply them to a database of 216 consecutive months of Israeli housing prices. Over the entire housing price cycle and for phases characterized by prices that increase or decrease at an accelerating or decelerating rate our models perform better than models with only economic fundamentals or those that add a moving average of past prices. We also show that some predictor variables which are significant over the entire housing cycle are not key predictors in all four phases; moreover, momentum is a key explanatory variable in some - but not all - phases of the housing price cycle.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323

Access Statistics for this article

Journal of Real Estate Research is currently edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323.
Bibliographic data for series maintained by JRER Graduate Assistant/Webmaster ().

Page updated 2022-07-02
Handle: RePEc:jre:issued:v:38:n:3:2016:p:393_422