TY  - JOUR
AU  - Case,Karl E.
AU  - Shiller,Robert J.
TI  - Forecasting Prices and Excess Returns in the Housing Market
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3368
PY  - 1990
Y2  - May 1990
UR  - http://www.nber.org/papers/w3368
L1  - http://www.nber.org/papers/w3368.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  - The U. S. market for homes appears not to be efficient. A number of information variables predict housing price changes and excess returns of housing relative to debt over the succeeding year. Price changes observed over one year tend to continue for one more year in the same direction. Construction cost divided by price, the change in per capita real income, the change in adult population are all positively related to price changes or excess returns over the subsequent year. 
The results are based on time-series cross section regressions with quarterly data 1970-1 to 1987-3 and for cities Atlanta, Chicago, Dallas, and San Francisco. 
ER  -