Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/3112
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: The Margin of Safety and Turning Points in House Prices: Observations from Three Developed Markets
Authors: Mizuno, Mitsuru
Tabner, Isaac
Contact Email: isaac.tabner@stir.ac.uk
Keywords: Household Finance
House Prices
Yield Index
Issue Date: May-2011
Publisher: CFA Institute
Citation: Mizuno M & Tabner I (2011) The Margin of Safety and Turning Points in House Prices: Observations from Three Developed Markets, Financial Analysts Journal, 67 (3), pp. 76-93.
Abstract: Using quarterly data from 1960 (UK), 1963 (US) and 1977 (Japan) through Q2 2010 (all three markets) we examine long run mean reverting relationships between house prices and: inflation, disposable income, GDP and rents. After adjusting for estimated drift and trend coefficients; we find that at the end of Q2 2010, US prices are below their mean reverting levels and at the lower end of their historic range. In contrast, equivalent UK and Japanese prices are at, or slightly above, their mean reverting levels. Furthermore, the expansion in Japanese prices during the late 1980s and early 1990s far surpassed any expansions observed in the US or the UK, over the observation period.
Type: Journal Article
URI: http://hdl.handle.net/1893/3112
DOI Link: http://dx.doi.org/10.2469/faj.v67.n3.6
Rights: Copyright now assigned to the Financial Analysts Journal, CFA Institute.; The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author; you can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Nihon University
Accounting and Finance

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