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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 |
| Other Titles: | The Margin of Safety and House Price Turning Points: Observations from the US, the UK and Japan |
| Author(s): | Mizuno, Mitsuru Tabner, Isaac |
| Contact Email: | isaac.tabner@stir.ac.uk |
| Keywords: | Household Finance House Prices Yield Index Housing Prices Inflation (Finance) Disposable income |
| Issue Date: | May-2011 |
| Date Deposited: | 23-Jun-2011 |
| Citation: | Mizuno M & Tabner I (2011) The Margin of Safety and Turning Points in House Prices: Observations from Three Developed Markets [The Margin of Safety and House Price Turning Points: Observations from the US, the UK and Japan]. Financial Analysts Journal, 67 (3), pp. 76-93. https://doi.org/10.2469/faj.v67.n3.6 |
| 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. |
| DOI Link: | 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. |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| Japanese and UK House Prices FAJ Accepted Revisions STORRE 200111.pdf | Fulltext - Accepted Version | 692.48 kB | Adobe PDF | Under Embargo until 3000-01-01 Request a copy |
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