The Predictability of House Prices

Anthony Gu

Journal of Real Estate Research, 2002, vol. 24, issue 3, 213-234

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.

Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2002.12091099 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:rjerxx:v:24:y:2002:i:3:p:213-234

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjer20

DOI: 10.1080/10835547.2002.12091099

Access Statistics for this article

Journal of Real Estate Research is currently edited by William Hardin and Michael Seiler

More articles in Journal of Real Estate Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().