Long-Run Expectations, Learning and the US Housing Market
In the US housing market, the price-to-rent ratio is volatile and autocorrelated. Returns on housing are positively autocorrelated. The price-to-rent ratio is negatively correlated with future returns and rent growth. Housing returns exhibit time-varying volatility. A benchmark asset pricing model i...
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| Format: | Article |
| Language: | English |
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Palgrave Macmillan Ltd.
2019
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| Online Access: | View Fulltext in Publisher |