Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/192488 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Discussion Papers No. 506
Verlag: 
Statistics Norway, Research Department, Oslo
Zusammenfassung: 
The question of whether the housing market is efficient or not is posed by an increasing number of economists, policymakers, current homeowners and prospective homebuyers. This article tests the efficiency hypothesis on data from the Norwegian housing market in its capital, Oslo. We employ the Case-Shiller time-persistence-test on a repeated-sales model of a house price index and returns to housing. Our data cover the period 1991-2002 and comprise 20 752 transactions of same-object-repeated-sales. We explain why certain features, sometimes suppressed in earlier tests, of the data set are of importance in efficiency tests, and argue that ours is particularly well-suited for the purpose. We demonstrate that the repeated-sales house price index contains inertia and time-persistence. In addition, we investigate how the price history of returns; which consist of capital gains, dividends, and interest payments; can be exploited to predict future returns. Both the house price index and housing returns contain forecastable elements, so we reject the null hypothesis of martingale processes, a finding that is indicative of Case-Shiller inefficiency. This discovery is supplemented with an exploration of trading and timing rules by examinations of intra-market and inter-market returns. We show that the housing market consistently yield higher return at lower risk than does the stock market over the period, which is inconsistent with inter-market efficiency.
Schlagwörter: 
efficient market hypothesis
excess returns
house prices
housing market
martingale process
risk
time persistency
trading rules
JEL: 
C22
C43
D12
E37
G14
R21
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
181.28 kB





Publikationen in EconStor sind urheberrechtlich geschützt.