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α: calibrated so average coauthorship-adjusted count equals average raw count
This paper examines large price run-ups with potential subsequent crashes and large price declines with potential subsequent rebounds in state-level and metropolitan-area-level housing markets in the U.S. over the past 40 years. We find that a sharper run-up in house prices predicts a higher probability of a crash, but a sharper decline does not necessarily predict a higher probability of a rebound. Changes in the effective interest rate in the local market can predict housing returns following large price run-ups, while it is harder to use the same factors to predict returns following large price declines. Such characteristics are robust to different thresholds of price movements.