Local House Price Comovements

43 Pages Posted: 13 Jun 2019

See all articles by Marcel Fischer

Marcel Fischer

Copenhagen Business School

Roland Füss

University of St. Gallen - School of Finance

Simon Stehle

University of Konstanz - Department of Economics

Date Written: May 29, 2019

Abstract

We study the micro-level evolution of residential house prices using data on repeat sales on Manhattan Island from 2004 to 2015. We document that excess price comovement is a highly local and persistent phenomenon. The strength of such excess comovements vanishes with both spatial and temporal distance. Local underperformance is more persistent than local overperformance - particularly when house prices on aggregate level increase.

Keywords: housing market, price comovements, urban economics, real estate, repeat sales

JEL Classification: R30, R32

Suggested Citation

Fischer, Marcel and Füss, Roland and Stehle, Simon, Local House Price Comovements (May 29, 2019). University of St.Gallen, School of Finance Research Paper No. 2019/06 . Available at SSRN: https://ssrn.com/abstract=3403551 or http://dx.doi.org/10.2139/ssrn.3403551

Marcel Fischer (Contact Author)

Copenhagen Business School ( email )

Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark
+45-3815-3628 (Phone)

Roland Füss

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland
+41 (0)71 224 70 42 (Phone)
+41 (0)71 224 70 88 (Fax)

HOME PAGE: http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx

Simon Stehle

University of Konstanz - Department of Economics ( email )

Konstanz, 78457
Germany

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