Prices of Single Family Homes Since 1970:  New Indexes for Four Cities

Case, Karl E.; Shiller, Robert J.

doi:10.3386/w2393

Cited by 443 publications

(456 citation statements)

References 0 publications

Supporting

Mentioning

425

Contrasting

Unclassified

Order By: Relevance

“…We use the term "ownership experience" to refer this interval. 13 Since the data contain all residential sale transactions, we are also able to construct a collection of town-level, quarterly, weighted, repeat-sales indexes, using the methodology of Case and Shiller (1987). 14 We use a slightly different definition of foreclosure in the deed-registry data than in the loan-level analysis above.…”

Section: Forecasts Using the Registry Of Deeds Datamentioning

confidence: 99%

Making Sense of the Subprime Crisis

Gerardi¹,

Lehnert²,

Sherlund³

et al. 2010

Lessons From the Financial Crisis

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. However, the authors show that while loans originated in this period did carry extra risk factors, particularly increased leverage, underwriting standards alone cannot explain the dramatic rise in foreclosures. Focusing on the role of house prices, the authors ask whether market participants underestimated the likelihood of a fall in house prices or the sensitivity of foreclosures to house prices. The authors show that, given available data, market participants should have been able to understand that a significant fall in prices would cause a large increase in foreclosures, although loan-level (as opposed to ownership-level) models would have predicted a smaller rise than actually occurred. Examining analyst reports and other contemporary discussions of the mortgage market to see what market participants thought would happen, the authors find that analysts, on the whole, understood that a fall in prices would have disastrous consequences for the market but assigned a low probability to such an outcome. Terms of use: Documents in

show abstract

Section: Forecasts Using the Registry Of Deeds Datamentioning

confidence: 99%

Making Sense of the Subprime Crisis

Gerardi¹,

Lehnert²,

Sherlund³

et al. 2010

Lessons From the Financial Crisis

View full text Add to dashboard Cite

show abstract

“…Using sales data for 1987 to 2009, we calculated annual weighted repeat sales price indices following the methods developed in Case and Shiller (1987) and Case and Shiller (1989). Although Case-Shiller house price indices are typically calculated using only sales of singlefamily homes, we included single-family, two-family, three-family, and condominium properties for two reasons.…”

Section: Pricesmentioning

confidence: 99%

A Profile of the Mortgage Crisis in a Low-and-Moderate-Income Community

2010

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This paper assesses the impact of the mortgage crisis on Chelsea, Massachusetts, a low-and moderate income community of 35,000 adjacent to Boston. After years of rapid growth, house prices started falling in 2005. According to our repeat-sales indices, by the end of 2009 prices had fallen by as much as 50 percent from their peak. Foreclosures have soared and lenders have repossessed or allowed short sales on more than 330 homes, resulting in a forced exit of at least one in 30 of the town's households. A large fraction of the foreclosed properties were twoor three-family homes, so the number of households affected by the crisis undoubtedly extends beyond the number of foreclosures. But there is some positive news. After a slow start, servicers appear to have become far more efficient at selling foreclosed properties, so the stock of real estate owned properties has been falling since 2008. For the most part, homeowners who bought prior to the peak of the boom have so far avoided selling in the moribund market and thus are poised to gain if and when the market recovers. In addition, the crisis has not prevented homeowners from maintaining and improving their properties: both the number and the dollar value of building permits have held up well even for those homeowners who have bought recently and likely have negative equity in their homes. Terms of use: Documents in

show abstract

“…We first introduce the classic repeat sales regression (RSR) model, which was originally developed by Bailey, Muth, and Nourse (1963) and Case and Shiller (1987) to estimate real estate price indices, but has subsequently been modified and used for other illiquid asset classes, such as municipal bonds (Wilkoff 2013), venture capital (e.g., Peng 2001Woodward and Hall 2003;Korteweg and Sorensen 2010), as well as for art (e.g., Baumol 1986;Buelens and Ginsburgh 1993;Goetzmann 1993Goetzmann , 1996Mei and Moses 2002;Zanola 2007;Goetzmann, Renneboog, and Spaenjers 2011). The standard RSR model decomposes the log return of an artwork, i, from time t-1 to t, into two components:…”

Section: Standard Repeat Sales Regression Modelmentioning

confidence: 99%

Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective

2015

View full text Add to dashboard Cite

This paper shows the importance of correcting for sample selection when investing in illiquid assets that trade endogenously. Using a sample of 32,928 paintings that sold repeatedly between 1960 and 2013, we find an asymmetric V-shaped relation between sale probabilities and returns.Adjusting for the resulting selection bias cuts average annual index returns from 8.7% to 6.3%, lowers Sharpe ratios from 0.27 to 0.11, and materially impacts portfolio allocations. Investing in a broad portfolio of paintings is not attractive, but targeting specific styles or top-selling artists may add value. The methodology naturally extends to other asset classes. (JEL D44, G11, Z11) 2 Over the last three decades investors have started allocating increasingly larger shares of their portfolios to alternative assets. Many of these alternative asset classes, such as private equity and real estate, and even certain traditional assets, such as corporate bonds, are highly illiquid, complicating return evaluation. In particular, when sales are endogenously related to the performance of the asset, a sample selection problem arises that is pervasive across asset classes. This paper develops a methodology to quantify the magnitude of the selection bias and demonstrates its empirical first-order importance when evaluating investment performance and constructing optimal portfolios that include alternative assets. 6% to 18% of their total wealth to art and collectibles (depending on the region), and the majority 1 Following the literature, we use the terms "art" and "paintings" interchangeably throughout the paper.

show abstract

Prices of Single Family Homes Since 1970: New Indexes for Four Cities

Cited by 443 publications

References 0 publications

Making Sense of the Subprime Crisis

Making Sense of the Subprime Crisis

A Profile of the Mortgage Crisis in a Low-and-Moderate-Income Community

Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective

Contact Info

Product

Resources

About