|
|
|
|
||||
|
||||
Short Term Buyers and Housing Market DynamicsRobert H. EdelsteinUniversity of California, Berkeley - Fisher Center for Real Estate and Urban Economics Wenlan QianNational University of Singapore - NUS Business School October 1, 2011 Abstract: This study shows that taking into consideration heterogeneous investment horizons improves our understanding of price and trading dynamics.We develop an OLG model in which agents have heterogeneous preferences and investment horizons. With transaction costs, short term investors are more sensitive to changes in fundamentals and are less likely to own (and trade) in a declining market. The model predicts that the ownership composition contains information about current and future price and trading dynamics. Empirically we find that owners' expected holding horizons co-vary negatively with prices, and they also predict future (short term) returns.
Number of Pages in PDF File: 45 Keywords: transaction cost, trading volume, return predictability, housing market, short term investors working papers seriesDate posted: September 12, 2008 ; Last revised: February 1, 2012Suggested CitationContact Information
|
|
||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo1 in 0.344 seconds
