Forecasting Prices and Excess Returns in the Housing Market

31 Pages Posted: 15 Jan 2007 Last revised: 16 Sep 2010

See all articles by Karl E. Case

Karl E. Case

Wellesley College

Robert J. Shiller

Yale University - Cowles Foundation; National Bureau of Economic Research (NBER); Yale University - International Center for Finance

Date Written: May 1990

Abstract

The U. S. market for homes appears not to be efficient. A number of information variables predict housing price changes and excess returns of housing relative to debt over the succeeding year. Price changes observed over one year tend to continue for one more year in the same direction. Construction cost divided by price, the change in per capita real income, the change in adult population are all positively related to price changes or excess returns over the subsequent year. The results are based on time-series cross section regressions with quarterly data 1970-1 to 1987-3 and for cities Atlanta, Chicago, Dallas, and San Francisco.

Suggested Citation

Case, Karl E. and Shiller, Robert J., Forecasting Prices and Excess Returns in the Housing Market (May 1990). NBER Working Paper No. w3368. Available at SSRN: https://ssrn.com/abstract=421770

Karl E. Case (Contact Author)

Wellesley College ( email )

106 Central Street
Wellesley, MA 02181
United States
617-973-3957 (Phone)
617-283-3639 (Fax)

Robert J. Shiller

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3708 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://www.econ.yale.edu/~shiller/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States
203-432-3708 (Phone)

Yale University - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3708 (Phone)
203-432-6167 (Fax)

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