The Valuation of Real Capital: A Random Walk down Kungsgatan

This paper analyzes the temporal pattern of prices for single-family housing. We estimate models of house price dynamics using a repeat sales framework, and we use the results to test for a random walk in asset prices. For eight large samples of housing transactions, representing essentially all hou...

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Bibliographic Details
Published in:Journal of housing economics 1999-09, Vol.8 (3), p.205-216
Main Authors: Englund, Peter, Gordon, Tracy M., Quigley, John M.
Format: Article
Language:English
Subjects:
Capital
Capital stock
Correlation
hedonic models
Housing
Housing market
housing markets
hybrid models
Pricing
random walk
repeat sales models
Sales
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Summary:This paper analyzes the temporal pattern of prices for single-family housing. We estimate models of house price dynamics using a repeat sales framework, and we use the results to test for a random walk in asset prices. For eight large samples of housing transactions, representing essentially all house sales in Sweden during a 12-year period, we reject the hypothesis that house prices follow a random walk in favor of a model of first-order serial correlation.
ISSN:1051-1377
1096-0791
DOI:10.1006/jhec.1999.0250