Further Evidence on the (In-) Efficiency of the U.S. Housing Market

Abstract

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How Efficient is the U.K. Housing Market?

“…by Case and Shiller (1989), Gu (2002), andSchindler (2010), findings for the housing market in the U.K. are similar. Yet, each study focuses on different areas and markets; the studies differ in their focus on markets or single houses, apply different methodologies and data frequencies, partly use appraisal data, and are conducted over different time periods.…”

“…The descriptive statistics for the quarterly returns of the Nationwide indices are presented in However, compared to the U.S., the heterogeneity between the regions in the U.K. is much less distinctive than for the U.S. (see Schindler, 2010 Jarque and Bera (1980), the null hypothesis of normally distributed returns is rejected for five out of the 13 considered markets at the 1 % level of significance.…”

Risk measures for direct real estate investments with non-normal or unknown return distributions

“…8 See, for example, Feldman (2003), Fourt et al (2006), Gardner and Matysiak (2006), Fisher et al (2007). 9 See, for example, Sanders et al (1995), Herath and Maier (2015), Schindler (2010).…”

“…The reason is in the nature of real estate markets which "are typically characterized by high transaction costs, low turnover volumes, carrying costs, specific tax issues, asymmetric information, and unstandardised heterogeneous commodities, compared in particular to assets on financial markets" (Schindler 2010). As a consequence, real estate markets show significant autocorrelation as such property returns are somewhat predictable and the random-walk hypothesis does not hold.…”

Asymmetric Fluctuating Behavior of China's Housing Prices

“…In addition, during periods of economic prosperity, property prices might be overestimated, causing housing prices to exceed fundamental house values. Using monthly and quarterly data based on the Case-Shiller index from 1987 to 2009, Schindler (2010) finds that investors can earn excess returns from the US housing market using past information, indicating that the US housing market did not achieve semi-strong form efficiency. In addition, Schindler uses parametric and nonparametric tests to examine whether excess returns earned by investors were inefficient.…”