This paper develops a methodology to identify asset price response to news in the framework of the Campbell-Shiller log-linear present-value equation. We further show that a slow price adjustment in real estate markets not only induces a high serial autocorrelation in excess returns, but also...

This paper develops a methodology to identify asset price response to news in the framework of Campbell-Shiller log-linear present-value equation. We show that slow price adjustment not only induces high serial auto correlation in real estate excess returns, but also dampens their volatility and...