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- W155202237 abstract "Housing markets were found to be inefficient in the past. In this paper, I analyze if this is true for the US, the UK and Canada during the past twenty years. My tests indicate that these markets are inefficient in the sense of traditional financial theory. Based on observed transactions, I find significant and persistent serial correlation. In addition, winner portfolios in one period outperform during the next period. The momentum effect is significant across countries, and persists in a weaker form within countries. However, these inefficiencies cannot be exploited by single investors, who cannot invest in indices, and are faced with lumpy investments subject to idiosyncratic noise. Therefore markets seem efficient in the beat the market sense. Yet, my analysis shows that inefficiencies are economically important on an aggregate level. Postholding period returns indicate that the inefficiencies are caused by market frictions, not speculation. Policymakers can reduce frictions." @default.
- W155202237 created "2016-06-24" @default.
- W155202237 creator A5044492368 @default.
- W155202237 date "2004-01-01" @default.
- W155202237 modified "2023-09-27" @default.
- W155202237 title "Inefficiencies in the International Housing Market" @default.
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