TY  - JOUR
AU  - Case,Karl E.
AU  - Shiller,Robert J.
TI  - The Efficiency of the Market for Single-Family Homes
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2506
PY  - 1989
Y2  - July 1989
UR  - http://www.nber.org/papers/w2506
L1  - http://www.nber.org/papers/w2506.pdf
N1  - Author contact info:
Karl E. Case
Wellesley College
106 Central Street
Wellesley, MA 02481
E-Mail: kcase@wellesley.edu

Robert J. Shiller
Yale University, Cowles Foundation
Box 208281
30 Hillhouse Avenue
New Haven, CT  06520-8281
Tel: 203/432-3708
Fax: 203/432-6167
E-Mail: robert.shiller@yale.edu
AB  - Tests of weak-form efficiency of the market for single family homes are performed using data on repeat sales prices of 39,210 individual homes, each for two sales dates. Tests were done for Atlanta, Chicago, Dallas, and San Francisco/Oakland for 1970-86. While evidence for seasonality in real housing prices is weak, we do find some evidence of inertia in housing prices. A city-wide real log price index change in a given year tends to be followed by a city-wide real log price index change in the same direction (and between a quarter to a half as large in magnitude) in the subsequent year. However, the inertia cannot account for much of the variation in individual housing real price changes. There is so much noise in individual housing prices relative to city-wide price index changes that the R[squared] in forecasting regressions for annual real price change in individual homes is never more than .04.
ER  -