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Author: Felix Schindler Publisher: ISBN: Category : Languages : en Pages : 40
Book Description
Research in real estate finance and economics has been dealing with the topic of efficiency in the housing market for over 25 years, mainly for the U.S., Canada, and the U.K. Most recent research on this topic either only examines local markets based on single homes or focuses on structural, sectoral or macro economic methods and models. By contrast, our analysis focuses on univariate analysis, thereby examining the memory of the individual house price series and the information contained in the time series with respect to future house prices. To the best of our knowledge, there does not yet exist any similar study for the housing market in the U.K. built on transaction-only based indices provided by Nationwide, one of the largest building societies in the U.K. This study examines the behavior of quarterly house price changes for 13 regions in the U.K. and one nationwide index from the fourth quarter of 1973 to the fourth quarter of 2009 incorporating several cycles of both booms and downturns of the U.K. housing market, whereas the amplitude of each cycle differs by region. The conducted analysis provides empirical evidence that house price changes in the U.K. exhibit certain patterns. The results show that the return generating process of U.K. housing markets differs significantly from the theoretical model of the random walk hypothesis. The conducted tests reject the null hypothesis of a random walk for all time series of house price changes and indicate strong mean-aversion processes. Furthermore, trading strategies are implemented as a robustness check and support the findings by generating excess returns in comparison to a buy-and-hold strategy. In general, we can conclude that market participants can use the information which is contained in the time series for their forecast; also, and investors might be likely to earn excess returns by using past information in the U.K. housing market, in particular when short selling or other types of participation in downward-moving markets is allowed and accessible. The identified inefficiencies are much stronger for the southern parts than for the northern parts of the U.K.
Author: Felix Schindler Publisher: ISBN: Category : Languages : en Pages : 40
Book Description
Research in real estate finance and economics has been dealing with the topic of efficiency in the housing market for over 25 years, mainly for the U.S., Canada, and the U.K. Most recent research on this topic either only examines local markets based on single homes or focuses on structural, sectoral or macro economic methods and models. By contrast, our analysis focuses on univariate analysis, thereby examining the memory of the individual house price series and the information contained in the time series with respect to future house prices. To the best of our knowledge, there does not yet exist any similar study for the housing market in the U.K. built on transaction-only based indices provided by Nationwide, one of the largest building societies in the U.K. This study examines the behavior of quarterly house price changes for 13 regions in the U.K. and one nationwide index from the fourth quarter of 1973 to the fourth quarter of 2009 incorporating several cycles of both booms and downturns of the U.K. housing market, whereas the amplitude of each cycle differs by region. The conducted analysis provides empirical evidence that house price changes in the U.K. exhibit certain patterns. The results show that the return generating process of U.K. housing markets differs significantly from the theoretical model of the random walk hypothesis. The conducted tests reject the null hypothesis of a random walk for all time series of house price changes and indicate strong mean-aversion processes. Furthermore, trading strategies are implemented as a robustness check and support the findings by generating excess returns in comparison to a buy-and-hold strategy. In general, we can conclude that market participants can use the information which is contained in the time series for their forecast; also, and investors might be likely to earn excess returns by using past information in the U.K. housing market, in particular when short selling or other types of participation in downward-moving markets is allowed and accessible. The identified inefficiencies are much stronger for the southern parts than for the northern parts of the U.K.
Author: Leslie Rosenthal Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This paper considers the informational efficiency of the UK owner-occupied housing market over the period 1991-2001. Original small-area, monthly, quality-adjusted house price index series are developed from raw housing transaction observations for a number of UK counties and cities. These series are then tested in an autoregressive setting for characteristics indicative of weak market efficiency and seasonality. The major conclusion drawn is that there exists little evidence to support notions of inefficiency in these markets over the period considered.
Author: Geoffrey Meen Publisher: Springer Science & Business Media ISBN: 1461516730 Category : Business & Economics Languages : en Pages : 279
Book Description
Spatial fixity is one of the characteristics that distinguishes housing from most other goods and services in the economy. In general, housing cannot be moved from one part of the country to another in response to shortages or excesses in particular areas. The modelling of housing markets and the interlinkages between markets at different spatial levels - international, national, regional and urban - are the main themes of this book. A second major theme is disaggregation, not only in terms of space, but also between households. The book argues that aggregate time-series models of housing markets of the type widely used in Britain and also in other countries in the past have become less relevant in a world of increasing income dispersion. Typically, aggregate relationships will break down, except under special conditions. We can no longer assume that traditional location or tenure patterns, for example, will continue in the future. The book has four main components. First, it discusses trends in housing markets both internationally and within nations. Second, the book develops theoretical housing models at each spatial scale, starting with national models, moving down to the regional level and, then, to urban models. Third, the book provides empirical estimates of the models and, finally, the models are used for policy analysis. Analysis ranges over a wide variety of topics, including explanations for differing international house price trends, the causes of housing cycles, the role of credit markets, regional housing market interactions and the role of housing in urban/suburban population drift.
Author: David Leece Publisher: John Wiley & Sons ISBN: 0470693231 Category : Business & Economics Languages : en Pages : 272
Book Description
The analysis of the mortgage market is a specialised field but examines a financial market with extremely wide-ranging implications; it affects the stability of the whole economy. The key thing about this analysis is the increasing importance of the secondary mortgage market – which in the US is now several times larger than the market for government debt. The UK secondary mortgage market is also growing and the book will provide a timely resource to those active and interested in this important financial market. The 1990s saw an enormous growth of mortgage market analysis as an academic subject and there is a vast literature scattered among the key real estate journals. There is now a great need to not only bring this very complex subject area together, but also to abstract the main issues and to render them intelligible. The book will provide an organised research resource and also inform and motivate further research into the microeconomics of mortgage markets.
Author: Mike C. I. Nwogugu Publisher: John Wiley & Sons ISBN: 1118177711 Category : Business & Economics Languages : en Pages : 299
Book Description
Essential reading for professional investors, risk managers, regulators, central bankers, and real estate professionals, Risk in the Global Real Estate Market: International Risk Regulation, Mechanism Design, Foreclosures, Title Systems, and REITs takes an international look at the ways in which U.S.-style constitutional laws, financial laws, and real estate laws in various countries affect global economics and risk; and analyzes specific constraints that deter market development such as Asset Liability Matching, inappropriate financial products, land title systems, inefficient constitutions and human biases. The sub-prime mortgage crisis (that began around 2006) and the Global Financial Crisis of 2007–2010 disrupted the economies of various countries and exposed many of the psychological, social, and economic problems inherent in the legal/risk infrastructure for mortgages, land title systems, REITs, securitization, and pensions. In this remarkable new book, Michael Nwogugu explains how these processes and statutes are unconstitutional and inefficient, and how they influence demand for housing, real estate prices, retirement savings, household wealth, consumer disposable income, marriage opportunities, job markets, crime, and regional economic growth. The resulting major economic and public health problems have continued to reduce the quality-of-life of nations, and continue to cause permanent declines in wealth, increases in crime and delinquency, high divorce rates, depression, and inadequate job creation, among other problems. The book examines a range of fields—including mechanism design, psychology, risk finance, and corporate governance; and emphasizes Constitutional economics as a distinct dimension of risk analysis. Risk in the Global Real Estate Market makes a compelling case about how constitutional torts increase information asymmetry, transaction costs, agency problems, and compliance costs, as well as inefficiency in real estate transactions. These problems, the book argues, are not unique to the United States, but also affect Commonwealth countries and other nations that have developed regulations that are similar to, or are based on U.S. commercial, securities, and or constitutional laws. Risk in the Global Real Estate Market presents a novel analysis of the sub-prime crisis (that first began in 2006), the failure of securitization (CMBS/MBS) markets, the Global Financial Crisis, and socio-economic problems caused by traditional mortgages and securitization. The book reveals that many of the statutes and processes that define mortgages, foreclosures, securitization, and REITs in the United States (and many common-law countries and nations that have adopted American-style real estate regulations) are fundamentally unconstitutional and inefficient, and have lasting negative effects on consumer psychology, the demand for real estate, price discovery in property markets, economic growth, and quality of life. The book examines the nature of constitutional torts and property rights as the foundation for business transactions and economic growth within the context of risk regulation, interstate commerce, takings, and legislation. Risk in the Global Real Estate Market introduces new theories of consumer psychology and institutional dynamics in real estate transactions; presents new theories of takings, and also surveys psychology/psychiatry studies (based on data from various countries) that confirm the harmful effects of mortgages, securitization, and foreclosures. Using elements of mechanism design, Michael Nwogugu develops new efficient financial products (Mortgage-Alternatives products), and presents a policy framework for a unified “Mortgage-Alternatives” market for the CEE/CIS region and China. He also explains why Asset Liability Matching hinders lending, capital formation and risk management, especially in developing countries.
Author: David F Clapham Publisher: SAGE ISBN: 1446265943 Category : Business & Economics Languages : en Pages : 530
Book Description
Cross-disciplinary and critical in its approach, The SAGE Handbook of Housing Studies is an elucidating look at the key issues within the field. It covers the study of housing retrospectively, but also analyses the future directions of research and theory, demonstrating how it can contribute to wider debates in the social sciences. A comprehensive introductory chapter is followed by four parts offering complete coverage of the area: Markets: examines the perception of housing markets, how they function in different contexts, and the importance of housing behaviour and neighbourhoods Approaches: looks at how other disciplines - economics, geography, and sociology - have informed the direction of housing studies Context: traces the interactions between housing studies and other aspects of society, providing context to debate housing through issues of space, social, welfare and the environment. Policy: is a multi-disciplinary and comprehensive take on the major policy issues and the causes and possible solutions of housing problems such as regeneration and homelessness. Edited by leading names in the field and including international contributions, the book is a stimulating, wide-ranging read that will be an invaluable resource for academics and researchers in geography, urban studies, sociology, social policy, economics and politics.
Author: Geoffrey Meen Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper has four objectives. First, a small model of the UK housing market is constructed, including equations for house prices, housing starts, construction costs and interest rates. The model is used in an analysis of housing market cycles, employing techniques developed for the analysis of general business cycles. Second, the model is used to consider housing market efficiency. Third, the model is extended to examine the relationship between house prices and property transactions. Finally, the role of monetary policy in the generation of housing cycles and stability is discussed.
Author: Felix Schindler
Author: Felix Schindler
Author: 
Author: Leslie Rosenthal
Author: Geoffrey Meen
Author: David Leece
Author: Leslie Rosenthal (College teacher)
Author: Erik Hjalmarsson
Author: Mike C. I. Nwogugu
Author: David F Clapham
Author: Geoffrey Meen