caa a22 4500 477129803 CHVBK 20180405111701.0 cr unu---uuuuu 170330e19970501xx s 000 0 eng 10.1023/A:1007766714810 doi (NATIONALLICENCE)springer-10.1023/A:1007766714810 CLAYTON JIM Department of Finance and Management Science, The Frank H. Sobey Faculty of Commerce, Saint Mary's University, B3H 3C3, Halifax, Nova Scotia, Canada aut Are Housing Price Cycles Driven by Irrational Expectations? [Elektronische Daten] [JIM CLAYTON] This paper investigates the extent to which condominium apartment prices are set in an efficient asset market. Unlike previous work that focuses on the time-series properties of measures of excess returns, the analysis is framed in terms of the changes in observable house prices over time. More precisely, the paper develops and applies a test of the joint null hypothesis of rational expectations, perfect markets, and no risk premium in the Vancouver condominium apartment market. The empirical results provide significant evidence against the joint null hypothesis. On average, ex post house price changes move in a direction opposite to their rational expectation. This approach offers a methodological advantage over the standard efficiency literature and is shown to provide a more powerful test of market efficiency than conventional return regressions. Another contribution of the paper is to characterize the time-series properties of deviations of condominium prices from those predicted by the risk-neutral rational expectations model, using cointegration and random coefficients techniques. Deviations in house price changes from their (risk-neutral) rational expectations are time varying, stationary, and related to the stage of the real estate price cycle. Kluwer Academic Publishers, 1997 rational expectations nationallicence market efficiency nationallicence cointegration nationallicence structural change nationallicence The Journal of Real Estate Finance and Economics Kluwer Academic Publishers 14/3(1997-05-01), 341-363 0895-5638 14:3<341 1997 14 11146 https://doi.org/10.1023/A:1007766714810 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1023/A:1007766714810 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- CLAYTON JIM Department of Finance and Management Science, The Frank H. Sobey Faculty of Commerce, Saint Mary's University, B3H 3C3, Halifax, Nova Scotia, Canada aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Kluwer Academic Publishers 14/3(1997-05-01), 341-363 0895-5638 14:3<341 1997 14 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer