We investigate if house prices are affected by overconfidence of households who predict house prices using imperfect public information about economic outlook. For this purpose, we develop a new measure of household overconfidence in the Bayesian framework. For the three variables we test –...

No, it doesn't, despite the general perception that illiquidity matters in real estates. As expected, the illiquidity costs we estimate for the US residential properties are large. They are on average equivalent to 12% of the total property returns, ranging from 9.5% to 29.5% of property prices...