Housing price volatility changes and their effects

Real Estate Economics

Volumn 30, Issue 1, 2002, Pages 41-66

  Dolde, Walter ^a   Tirtiroglu, Dogan ^b  

^a UConn Stamford   (United States)

^b Dept of Electrical and Computer Engineering   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036004329     PISSN: 10808620     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6229.00029     Document Type: Article

References (15)

1. Capozza, D.R. and P.J. Seguin. 1989. The Efficiency of the Market for Single Family Homes. Regional Science and Urban Economics 26(3): 369-386.
2. Chinloy, P., M. Cho and I.F. Megbolugbe. 1997. Appraisals, Transaction Incentives, and Smoothing. Journal of Real Estate Finance and Economics 14(1-2): 22-43.
3. Clapp, J., W. Dolde and D. Tirtiroglu. 1995. Imperfect Information and Investor Inference from Housing Price Dynamics. Real Estate Economics 23(3): 239-269.
4. Conrad, J., M.N. Gultekin and G. Kaul. 1991. Asymmetric Predictability of Conditional Variances. The Review of Financial Studies 4(4): 597-422.
5. Cutler, D.M., J.M. Poterba and L.H. Summers. 1989. What Moves Stock Prices. Journal of Portfolio Management 15(1): 4-12.
6. Dolde, W. and D. Tirtiroglu. 1997. Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances. Real Estate Economics 26(4): 539-565.
7. Elton, Edwin J. 1999. Expected Returns, Realized Returns, and Asset Pricing Tests. Journal of Finance 54(4): 1199-1220.
8. Engle, R.F. and V.K. Ng. 1993. Measuring and Testing the Impact of News on Volatility. Journal of Finance 48(5): 1749-1778.
9. Hamao, Y., R.W. Masulis and V. Ng. 1990. Correlations in Price Changes and Volatility across International Stock Markets. The Review of Financial Studies 3(2): 281-307.
10. Haugen, R.A., E. Talmor and W.N. Torous. 1991. The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns. Journal of Finance 46(3): 985-1007.
11. King, M.A. and S. Wadhwani. 1990. Transmission of Volatility between Stock Markets. The Review of Financial Studies 3(1): 5-33.
12. Mayfield, E.S. 1999. State Dependent Volatility and the Market Risk Premium. Working paper, Harvard University.
13. 2. Journal of Finance 43(3): 541-566.
14. Schwert, G.W. 1989. Why Does Stock Market Volatility Change Over Time? Journal of Finance 44(5): 1115-1153.
15. Stephens, W., Y. Li, V. Lekkas, J. Abraham, C. Calhoun and T. Kimmer. 1995. Conventional Mortgage Home Price Index. Journal of Housing Research 6(3): 389-418.