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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
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Keywords: Household Finance
House Prices
Yield Index
Issue Date: May-2011
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.
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