In an efficient market, differences in quality should be fully reflected in differences in prices. This paper examines a highly active residential property market and verifies whether housing attributes can explain time on the market (TOM) after controlling prices. In contrast to the previous...

Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This...

The significant price-trading volume correlation found in the residential property market presents a challenge to the rational expectation hypothesis. Existing theories account for this fact with either capital market imperfection (down-payment effect or loss-aversion consideration) or imperfect...

This paper examines the correlation between the real housing price and trading volume. Contrary to the predictions of standard rational expectation models, a robust positive correlation between the two variables is identified. While no clear lead-lag relationship is found in the raw data (which...

This paper studies the relative volatility of commercial and residential property prices. Empirical evidence of commercial property prices being more volatile than that of residential property is presented. Models are built a la Lucas. Theoretical statements are derived to show the exact...

Several cities and countries in Asia and North America experience large increases in the housing prices. We extend Rebelo (1991) to mimic this fact. We show that growth in real housing prices can be resulted as the economic growth persists, even when population growth is zero. Another finding is...

The efficiency of a market is challenged when price dispersion occurs. Previous studies focused on non-durable consumption goods. This study extends the analysis to the case of residential property, whose transactions are dominated by a second-hand market with many potential buyers and sellers....

This paper examines the correlation between the real housing price and trading volume. Contrary to the predictions of standard rational expectation models, a robust positive correlation between the two variables is identified. While no clear lead-lag relationship is found in the raw data (which...

This paper investigates the dynamics of property prices and their interaction with output growth in a general equilibrium model. Closed form solutions and testable hypotheses are derived from a mildly restricted version of the model. The testable hypotheses are broadly supported empirically. In...