Imperfect Information and Investor Inferences from Housing Price Dynamics

REAL ESTATE ECONOMICS, Fall 1995

Posted: 25 Aug 1998

See all articles by John M. Clapp

John M. Clapp

University of Connecticut - Department of Finance

Walter Dolde

University of Connecticut - Department of Finance

Dogan Tirtiroglu

Kadir Has University

Abstract

We examine characteristics of housing price dynamics that may be consistent with rational learning and not simply irrational feedback trading. We find significant patterns of temporal and spatial diffusion that are more amenable to explanations that allow for rational components. First, the tests were executed not simply on housing price changes, but also on town-by-town differentials from regional average price changes. Second, significant relationships with own and neighboring town differentials were found, but not with control groups of non-neighboring towns. Third, population density, a proxy for scale economies in information production, accelerates the diffusion process. Tests were performed on quarterly data for large samples from Connecticut and the San Francisco area, employing the method of moments estimators.

JEL Classification: G13

Suggested Citation

Clapp, John M. and Dolde, Walter and Tirtiroglu, Dogan, Imperfect Information and Investor Inferences from Housing Price Dynamics. REAL ESTATE ECONOMICS, Fall 1995. Available at SSRN: https://ssrn.com/abstract=6626

John M. Clapp

University of Connecticut - Department of Finance ( email )

School of Business
2100 Hillside Road
Storrs, CT 06269
United States
860-486-5057 (Phone)
860-486-0349 (Fax)

Walter Dolde

University of Connecticut - Department of Finance ( email )

School of Business
One Univesity Place
Stamford, CT 06901-2315
United States
203-301-0806 (Phone)

Dogan Tirtiroglu (Contact Author)

Kadir Has University ( email )

Istanbul
Turkey

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