{"title":"美国房地产泡沫与信息效率","authors":"W. Risso","doi":"10.2139/ssrn.1259427","DOIUrl":null,"url":null,"abstract":"Many investors usually believe that real estate is a reliable investment. However, as it is not risk-free and the recent US housing bubble has shown the devastating effects of a crisis in this sector. Even more, Shiller (1989) highlights that this is not an efficient market since there are clear correlation. In the present work we use the entropy as a measure of the informational efficiency in the US Housing market and tested the relationship with the probability of having a crash in the sector. We found some evidence suggesting that the market has been inefficient since May 1999. In addition, the logit model indicates that a decrease in the informational efficiency produce a significant increase in the probability of having a crash. Further results show that the fact of investing in different US metropolitan areas does not affect this probability.","PeriodicalId":440574,"journal":{"name":"ERN: Asymmetric & Private Information (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"The US Housing Bubble and the Informational Efficiency\",\"authors\":\"W. Risso\",\"doi\":\"10.2139/ssrn.1259427\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Many investors usually believe that real estate is a reliable investment. However, as it is not risk-free and the recent US housing bubble has shown the devastating effects of a crisis in this sector. Even more, Shiller (1989) highlights that this is not an efficient market since there are clear correlation. In the present work we use the entropy as a measure of the informational efficiency in the US Housing market and tested the relationship with the probability of having a crash in the sector. We found some evidence suggesting that the market has been inefficient since May 1999. In addition, the logit model indicates that a decrease in the informational efficiency produce a significant increase in the probability of having a crash. Further results show that the fact of investing in different US metropolitan areas does not affect this probability.\",\"PeriodicalId\":440574,\"journal\":{\"name\":\"ERN: Asymmetric & Private Information (Topic)\",\"volume\":\"40 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-08-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asymmetric & Private Information (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1259427\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asymmetric & Private Information (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1259427","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The US Housing Bubble and the Informational Efficiency
Many investors usually believe that real estate is a reliable investment. However, as it is not risk-free and the recent US housing bubble has shown the devastating effects of a crisis in this sector. Even more, Shiller (1989) highlights that this is not an efficient market since there are clear correlation. In the present work we use the entropy as a measure of the informational efficiency in the US Housing market and tested the relationship with the probability of having a crash in the sector. We found some evidence suggesting that the market has been inefficient since May 1999. In addition, the logit model indicates that a decrease in the informational efficiency produce a significant increase in the probability of having a crash. Further results show that the fact of investing in different US metropolitan areas does not affect this probability.
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