Information Spillovers and House Prices

39 Pages Posted: 20 Mar 2011

See all articles by Aydogan Alti

Aydogan Alti

University of Texas at Austin - Department of Finance

Joseph Engelberg

University of California, San Diego (UCSD) - Rady School of Management

Christopher A. Parsons

Marshall School of Business, University of Southern California

Date Written: March 15, 2011

Abstract

We present direct evidence of information spillovers through transactions prices in real estate markets. This behavior is not explained by common shocks to housing values. The effect is strongest in homogenous markets, where the information content of price is higher. The effect is weakest among sellers expecting a nominal loss from selling, suggesting that behavioral factors may limit price-mediated information flow. Information spillovers improve liquidity, reducing time on market as much as 20%.

Keywords: House prices, information spillovers, housing market liquidity

Suggested Citation

Alti, Aydogan and Engelberg, Joseph and Parsons, Christopher A., Information Spillovers and House Prices (March 15, 2011). Available at SSRN: https://ssrn.com/abstract=1786824 or http://dx.doi.org/10.2139/ssrn.1786824

Aydogan Alti

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States

Joseph Engelberg

University of California, San Diego (UCSD) - Rady School of Management ( email )

9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
United States

Christopher A. Parsons (Contact Author)

Marshall School of Business, University of Southern California ( email )

3670 Trousdale Pkwy
Los Angeles, CA 90089
United States

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