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This paper documents and explains previously unrecognized post-crash dynamics following the collapse of a housing bubble. A simple model predicts that speculative developers ensure stable pre-crash relative prices between small and large homes while their post-crash exit allows small-home...
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One of the most controversial topics in modern financial economics is "excess volatility:" the notion that stock prices move too much to be explained by fundamental economic and firm-specific factors. While the initial work of Shiller indicated a high degree of excess volatility, subsequent...
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type="main" <p>We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We define the portion of this comovement deemed as fundamental (excessive) as the covariation that can (cannot) be attributed to common fundamental factors directly...</p>
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This article focuses on the specialized class of mutual funds that only invest in REITs. These funds are essentially a mutual fund of mutual funds and should only exist if fund managers have superior ability to select REITs or to time movements in the real estate market. Our empirical analysis...
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