Persistence and Long Memory Behavior in Condominium Prices: Evidence from Major U.S. Metropolitan Areas

James Payne and Luis Gil-Alana

Journal of Housing Research, 2020, vol. 29, issue 1, 54-67

Abstract: This study examines the degree of persistence in the prices, returns, excess returns, and risk-adjusted excess returns in the condominium market for five U.S. metropolitan areas: Boston, Chicago, Los Angeles, New York, and San Francisco, using fractional integration techniques that account for structural breaks and nonlinearity. The results show that the prices, returns, excess returns, and risk-adjusted returns for condominiums across the five metropolitan areas are highly persistent, with orders of integration much greater than one in a vast majority of the cases. Such results challenge the conventional view of market efficiency. The degrees of persistence in West Coast metropolitan areas of Los Angeles and San Francisco are much greater than those of Chicago and the East Coast metropolitan areas of Boston and New York City.

Date: 2020
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DOI: 10.1080/10527001.2020.1826663

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