Short-run momentum, long-run mean reversion and excess volatility: An elementary housing model

C-Tier
Journal: Economics Letters
Year: 2019
Volume: 176
Issue: C
Pages: 43-46

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose an elementary housing model that replicates the key properties of housing bubbles, namely short-run momentum, long-run mean reversion, and excess volatility. We analytically proof that such dynamics can only emerge if homebuyers place sufficient weight on extrapolative expectations.

Technical Details

RePEc Handle
repec:eee:ecolet:v:176:y:2019:i:c:p:43-46
Journal Field
General
Author Count
2
Added to Database
2026-01-29