Related papers: Is There a Real-Estate Bubble in the US?
We measure the liquid content, the bubble speeds, and the distribution of bubble sizes, in a vertical column of aqueous foam maintained in steady-state by continuous bubbling of gas into a surfactant solution. Nearly round bubbles…
This study examines how housing sector volatilities affect real estate investment trust (REIT) equity return in the United States. I argue that unexpected changes in housing variables can be a source of aggregate housing risk, and the first…
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…
We study an overlapping generations (OLG) exchange economy with an asset that yields dividends. First, we derive general conditions, based on exogenous parameters, that give rise to three distinct scenarios: (1) only bubbleless equilibria…
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9…
We consider a financial market in which the risk-free rate of interest is modeled as a Markov diffusion. We suppose that home prices are set by a representative home-buyer, who can afford to pay only a fixed cash-flow per unit time for…
The rise of a single bubble confined between two vertical plates is investigated over a wide range of Reynolds numbers. In particular, we focus on the evolution of the bubble speed, aspect ratio and drag coefficient during the transition…
In many U.S. central cities, property values are relatively low, while rents are closer to those in better-off neighborhoods. This gap can lead to relatively large profits for landlords, and has been referred to as "exploitaton" for…
Excessive house price growth was at the heart of the financial crisis in 2007/08. Since then, many countries have added cooling measures to their regulatory frameworks. It has been found that these measures can indeed control price growth,…
We present a dynamical theory of asset price bubbles that exhibits the appearance of bubbles and their subsequent crashes. We show that when speculative trends dominate over fundamental beliefs, bubbles form, leading to the growth of asset…
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A…
In this paper house prices in Christchurch are analyzed over three distinct periods of time: post-2011 earthquake, pre-COVID-19 lockdown, and post-COVID-19 lockdown using the well-established hedonic price model. Results show that buyers,…
Wildfire impacts on US communities have escalated in recent decades, highlighting the need to better understand factors that influence wildfire outcomes. We find that 567,000 homes were exposed to wildfires across the contiguous US during…
We argue that the present crisis and stalling economy continuing since 2007 are rooted in the delusionary belief in policies based on a "perpetual money machine" type of thinking. We document strong evidence that, since the early 1980s,…
This essay suggests that a proper assessment of the presently unfolding financial crisis, and its cure, requires going back at least to the late 1990s, accounting for the cumulative effect of the ITC, real-estate and financial derivative…
This paper studies the equilibrium price of a continuous time asset traded in a market with heterogeneous investors. We consider a positive mean reverting asset and two groups of investors who have different beliefs on the speed of mean…
The idea that the success rate of a team increases when playing home is broadly accepted and documented for a wide variety of sports. Investigations on the so-called home advantage phenomenon date back to the 70's and every since has…
The objective of this paper is to measure the degree of home bias (HB) within holdings portfolio and to identify their determining factors. By following literature and an international capital asset pricing model, we have chosen quite a…
We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales in continuous-time and use a deep network to estimate the diffusion coefficient of the price process more accurately…
Traditional US rental housing data sources such as the American Community Survey and the American Housing Survey report on the transacted market - what existing renters pay each month. They do not explicitly tell us about the spot market -…