House prices and bubbles in New Zealand

Journal of Real Estate Finance and Economics

Volumn 37, Issue 1, 2008, Pages 71-91

  Fraser, Patricia ^a   Hoesli, Martin ^a,b,c   McAlevey, Lynn ^d  

^a UNIVERSITY OF ABERDEEN   (United Kingdom)

^b UNIVERSITY OF GENEVA   (Switzerland)

^c KEDGE BUSINESS SCHOOL   (France)

^d UNIVERSITY OF OTAGO   (New Zealand)

Author keywords

Bubbles; Fundamentals; New Zealand; Present value; Real disposable income; Real house prices; Time varying risk

Indexed keywords

EID: 44649196393     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11146-007-9060-8     Document Type: Article

References (58)

1. Abel, A. B. (1991). The equity premium puzzle. Business review. September/October, (pp 3-13). Philadelphia: Federal Reserve Bank of Philadelphia.
2. Abraham, J. M., & Hendershott, P. H. (1996). Bubbles in metropolitan housing markets. Journal of Housing Research, 7(2), 191-207.
3. Ackert, L. F., & Hunter, W. C. (1999). Intrinsic bubbles: The case for stock prices: Comment. American Economic Review, 89(5), 1372-1376.
4. Ayuso, J., & Restoy, F. (2003). House prices and rents: An equilibrium asset pricing approach. Working paper 0304, Madrid (Spain): Bank of Spain.
5. Balmer, D. (2004). The truth about residential property investment. Auckland (New Zealand): Reed Publishing.
6. Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
7. Benjamin, J. D., Chinloy, P., & Jud, G. D. (2004). Real estate versus financial wealth in consumption. Journal of Real Estate Finance and Economics, 29(3), 341-354.
8. Black, A., Fraser, P., & Groenewold, N. (2003a). How big is the speculative component in Australian share prices? Journal of Economics and Business, 55(2), 177-195.
9. Black, A., Fraser, P., & Groenewold, N. (2003b). U.S. stock prices and fundamentals. International Review of Economics and Finance, 12(3), 1-23.
10. Black, A., Fraser, P., & Hoesli, M. (2006). House prices, fundamentals and bubbles. Journal of Business Finance and Accounting, 33(9), 1535-1555.
11. Bollard, A., Lattimore, R., & Silverstone, B. (1996). Introduction. In B. Silverstone, A. Bollard, & R. Lattimore (Eds.), A study of economic reform: The case of New Zealand. Amsterdam (The Netherlands): Elsevier.
12. Bourassa, S., & Hendershott, P. (1995). Australian capital city real house prices, 1979-1993. Australian Economic Review, 111, 16-26.
13. Bourassa, S. C., Hendershott, P. H., & Murphy, J. (2001). Further evidence on the existence of housing market bubbles. Journal of Property Research, 18(1), 1-19.
14. Boyle, G. W. (2005). Risk, expected return, and the cost of equity capital. New Zealand Economic Papers, 39(2), 181-194.
15. Campbell, J. Y., & Shiller, R. J. (1987). Cointegration and tests of present value models. Journal of Political Economy, 95(5), 1062-1088.
16. Campbell, J. Y., & Shiller, R. J. (1988a). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1(3), 195-227.
17. Campbell, J. Y., & Shiller, R. J. (1988b). Stock prices, earnings and expected dividends. Journal of Finance, 43(3), 661-676.
18. Campbell, J. Y., Lo, A. W., & MacKinlay, C. (1997). The econometrics of financial markets. Princeton: Princeton University Press.
19. Capozza, D. R., Hendershott, P. H., & Mack, C. (2004). An anatomy of price dynamics in illiquid markets: Analysis and evidence from local housing markets. Real Estate Economics, 32(1), 1-32.
20. Case, K. E., Quigley, J. M., & Shiller, R. J. (2005). Comparing wealth effects: The stock market versus the housing market. Advances in Macroeconomics, 5(1), 1-32.
21. Case, K. E., & Shiller, R. J. (2003). Is there a bubble in the housing market? An analysis. Paper prepared for the Brookings Panel on Economic Activity, September 4-5, 2003.
22. Chan, H. L., Lee, S. K., & Woo, K. Y. (2001). Detecting rational bubbles in the residential housing markets of Hong Kong. Economic Modelling, 18(1), 61-73.
23. Chen, C. R., & Sauer, D. A. (1997). Is stock market overvaluation persistent over time? Journal of Business Finance and Accounting, 24(1), 51-66.
24. Claus, I., & Scobie, G. (2001). Household net wealth: An international comparison. Working paper 01/19, Wellington (New Zealand): New Zealand Treasury.
25. Cuthbertson, K. (1996). Quantitative financial economics. New York: John Wiley & Sons.
26. Dalziel, P., & Lattimore, R. (2001). The New Zealand macroeconomy: A briefing on the reforms and their legacy. Melbourne (Australia): Oxford University Press.
27. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under-and-overreactions. Journal of Finance, 53(6), 2143-2184.
28. DeLong, J. B., Schleifer, A., Summers, L. H., & Waldmann, R. J. (1990). The economic consequences of noise traders. Journal of Political Economy, 98(4), 703-738.
29. Diba, B. T., & Grossman, H. L. (1988). Explosive rational bubbles in stock prices? American Economic Review, 78(3), 520-530.
30. Dissanaike, G. (1997). Do stock market investors overreact? Journal of Business Finance and Accounting, 24(1), 27-50.
31. (The) Economist (2006a). Global house prices: Soft isn't safe, March 4.
32. (The) Economist (2006b). Economic focus: News from the home front, June 10.
33. Englund, P., Hwang, M., & Quigley, J. M. (2002). Hedging housing risk. Journal of Real Estate Finance and Economics, 24(1/2), 167-200.
34. Farlow, A. (2004). UK house prices: A critical assessment. Part One of a report prepared for the Credit Suisse First Boston Housing Market Conference in May 2003, London: Credit Suisse First Boston (CSFB), January, Available for download at http://www.economics.ox.ac.uk/members/andrew.farlow/Part1UKHousing. pdf.
35. Flavin, M., & Yamashita, T. (2002). Owner-occupied housing and the composition of the household portfolio. American Economic Review, 92(1), 345-362.
36. Froot, K. A., & Obstfeld, M. (1991). Intrinsic bubbles: The case of stock prices. The American Economic Review, 81(5), 1189-1214.
37. Goetzmann, W. N., & Ibbotson, R. G. (1990). The performance of real estate as an asset class. Journal of Applied Corporate Finance, 3(1), 65-76.
38. Hawksworth, J. (2004). Outlook for UK house prices - July 2004. In UK economic outlook (Chapter III, pp. 19-28), London: PricewaterhouseCoopers, Available for download at http://www.pwc.com/uk/eng/ins-sol/publ/ukoutlook/ pwc_July04.pdf.
39. Helbling, T., & Terrones, M. (2003). When bubbles burst. In World economy outlook (Chapter II, pp. 61-94), Washington, DC: International Monetary Fund, Available for download at http://www.imf.org/external/pubs/ft/weo/2003/01/ pdf/chapter2.pdf.
40. Himmelberg, C., Mayer, C., & Sinai, T. (2005). Assessing high house prices: Bubbles, fundamentals, and misperceptions. Staff reports No. 218, New York: Federal Reserve Bank of New York.
41. Hong, H., & Stein, J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54(6), 1839-1885.
42. Hort, K. (1998). The determinants of urban house price fluctuations in Sweden 1968-1994. Journal of Housing Economics, 7(2), 93-120.
43. Kyle, A. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315-1335.
44. Lai, R. N., & Van Order, R. (2006). A regime shift model of the recent housing bubble in the United States. Working Paper, Aberdeen (Scotland): University of Aberdeen Business School.
45. Levin, E. J., & Wright, R. E. (1997). The impact of speculation on house prices in the United Kingdom. Economic Modelling, 14(4), 567-585.
46. Liang, Y., Chatrath, A., & McIntosh, W. (1996). Apartment REITs and apartment real estate. Journal of Real Estate Research, 11(3), 277-289.
47. Lui, W., Strong, N., & Xu, X. (1999). The profitability of momentum investing. Journal of Business Finance and Accounting, 26(9-10), 1043-1091.
48. Meen, G. (1996). Ten propositions in U.K. housing macroeconomics: An overview of the 1980s and early 1990s. Urban Studies, 33(3), 425-444.
49. Merton, R. (1973). An inter-temporal capital asset pricing model. Econometrica, 41(5), 867-888.
50. Merton, R. (1980). On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics, 8(4), 323-361.
51. New Zealand Official Yearbook 1984, 89th annual edition, Wellington (New Zealand): Department of Statistics.
52. Reserve Bank of New Zealand Governor's Speech (2006). Available for download at http://www.rbnz.govt.nz/speeches/2861623.pdf.
53. Roche, M. J. (2001). The rise in house prices in Dublin: Bubble, fad or just fundamentals. Economic Modelling, 18(2), 281-295.
54. Roehner, B. M. (1999). Spatial analysis of real estate price bubbles: Paris, 1984-1993. Regional Science and Urban Economics, 29(1), 73-88.
55. Shiller, R. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity, 2, 457-498.
56. Sutton, G. D. (2002). Explaining changes in house prices. BIS Quartely Review, 46-55, October.
57. Thorp, C., & Ung, B. (2001). Recent trends in household financial assets and liabilities. Bulletin 64 (pp. 14-24). Wellington (New Zealand): Reserve Bank of New Zealand.
58. van den Noord, P. (2006). Are house prices nearing a peak? A probit analysis of 17 OECD countries. Working paper 488, Paris: OECD Economics Department, 1 June 2006.