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Imperfect Information and Investor Inferences From Housing Price Dynamics
Author(s) -
Clapp John M.,
Dolde Walter,
Tirtiroglu Dogan
Publication year - 1995
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00665
Subject(s) - proxy (statistics) , economics , irrational number , econometrics , population , imperfect , rational expectations , estimator , perfect information , dynamics (music) , microeconomics , mathematics , statistics , linguistics , philosophy , demography , geometry , physics , sociology , acoustics
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, we execute our tests not simply on housing price changes, but on town‐by‐town differentials from regional average price changes. Second, we find significant relationships with own and neighboring town differentials, but not with control groups of non‐neighboring towns. Third, we find that population density, a proxy for scale economies in information production, accelerates the diffusion process. Test were performed on quarterly data for large samples from Connecticut and the San Francisco area, employing method of moments estimators.