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Inside the mind of a stock market crash
Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; … - 2020 - First draft: April 4th 2020, this draft: May 21, 2020
We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at...
Persistent link: https://www.econbiz.de/10012224226
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The short and the long of it : stock-flow matching in the US housing market
Smith, Eric; Xie, Zoe; Fang, Lei - 2022
This paper investigates the US housing market from just before the Great Recession onward (2006-2019) and assesses the viability of stock-flow matching in generating the observed outcomes. The paper documents that the probability a house sells declines sharply after listing for two weeks....
Persistent link: https://www.econbiz.de/10013419282
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Housing market expectations
Kuchler, Theresa; Piazzesi, Monika; Stroebel, Johannes - 2022
We review the recent literature on the determinants and effects of housing market expectations. We begin by providing an overview of existing surveys that elicit housing market expectations, and discuss how those surveys may be expanded in the future. We then document a number of facts about...
Persistent link: https://www.econbiz.de/10013170986
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Social networks and housing markets
Bailey, Michael; Cao, Ruiqing; Kuchler, Theresa; … - 2016
The recent house price experiences within an individual's social network affect her perceptions of the attractiveness of property investments, and through this channel have large effects on her housing market activity. Our data combine anonymized social network information from Facebook with...
Persistent link: https://www.econbiz.de/10011476018
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Long-run trends and cycles in US house prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023
This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...
Persistent link: https://www.econbiz.de/10014427184
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On the cyclicity of regional house prices : new evidence for US metropolitan statistical areas
Flor, Michael A.; Klarl, Torben - 2015
This paper is mainly concerned with the analysis of regional house price cycles. Based on a newly available data set consisting of the 40 largest U.S. Metropolitan Statistical Areas (MSAs), we introduce a wavelet transform based metric to study the housing cycle synchronization across MSAs. We...
Persistent link: https://www.econbiz.de/10011306112
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Market depth, leverage, and speculative bubbles
Enders, Zeno; Hakenes, Hendrik - 2017
We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …
Persistent link: https://www.econbiz.de/10011780495
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Do real estate contingency clauses affect selling price and time-on-the-market?
Gordon, Bruce L.; Seiler, Michael J.; Siebert, Ralph; … - 2022
Real estate contracts often contain a wide variety of contingency clauses. These third-party approvals are often outside the seller's control and can lengthen the-time-on-the-market (TOM) and reduce the surety of close. To compensate for these undesirable attributes, buyers typically offer...
Persistent link: https://www.econbiz.de/10013368894
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Do as essay, not as I do? : how inflated list prices of unsold essayer homes affect the price discovery process
Agarwal, Sumit; Seiler, Michael J.; Siebert, Ralph - 2022
In the U.S. real estate market, around 30 percent of listed properties remain unsold. We examine whether unsold property listings exert externalities in the housing market. Our study builds on a comprehensive dataset that encompasses residential property listings in Orange County (California)...
Persistent link: https://www.econbiz.de/10013440434
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Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading
Farjam, Mike; Kirchkamp, Oliver - 2015
Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments … smaller bubbles if human traders expect algorithmic traders to be present. …
Persistent link: https://www.econbiz.de/10011392621