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作者

Pedro A.C. Saffi;Carles Vergara‐Alert

来源

REAL ESTATE ECONOMICS,Vol.48,Issue4,P.1030-1073

语言

英文

关键字

作者单位

Correspondence Pedro A.C. Saffi and Carles Vergara‐Alert. Email: psaffi@jbs.cam.ac.uk; cvergara@iese.edu;Correspondence Pedro A.C. Saffi and Carles Vergara‐Alert. Email: psaffi@jbs.cam.ac.uk; cvergara@iese.edu

摘要

We study how investors can use financial securities to speculate on the decrease of house prices. Unlike most asset types, houses are subject to high trading frictions and cannot be sold short directly. Using U.S. equity lending data from 2006 through 2013, we find evidence that an increase in the short selling activity of real estate investment trusts (REITs) forecasts a decrease in house prices in the subsequent month. The magnitude and significance of this effect vary with the geographical location of the REITs' underlying properties and with the housing cycle.