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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.54,Issue4,P.482-514

语言

英文

关键字

Herding; CSAD; Housing market; Regimes; Switching regression; MONETARY-POLICY; EQUITY MARKETS; FINANCIAL CRISIS; REGIME; PERFORMANCE; INVESTORS; RETURNS; MODELS; TESTS; RISK

作者单位

[Ngene, Geoffrey M.; Sohn, Daniel P.] Mercer Univ, Stetson Sch Business & Econ, 1501 Mercer Univ Dr, Macon, GA 31207 USA. [Hassan, M. Kabir] Univ New Orleans, Dept Econ & Finance, New Orleans, LA 70148 USA. Ngene, GM (reprint author), Mercer Univ, Stetson Sch Business & Econ, 1501 Mercer Univ Dr, Macon, GA 31207 USA. E-Mail: ngene_gm@mercer.edu; Daniel.Paul.Sohn@live.mercer.edu; mhassan@uno.edu

摘要

This paper investigates herding behavior in the US residential housing market. The sample period is 1975 M01 to 2015 M06. The study utilizes the housing price index of each of the 50 states and Washington DC to form nine census region-based markets, or portfolios and then employs switching and quantile regressions to examine the spatial and time-varying disparities of housing return dispersions and investors' herding behavior. The study finds that the degree of herding varies across regimes, regions and conditional distributions. The regime-specific herd formation may be partially originated by extreme housing market conditions, bull and bear housing market conditions, uncertainty in national financial markets, economic recessions and uncertainty of economic policies. The bull housing markets exhibits stronger effects on return dispersion than down markets, which is consistent with the "flight-to-safety" consensus behavior of investors. The study also finds that positive and negative linear and nonlinear returns magnify dispersions in an asymmetric manner. The increase in co-movement and interdependence of state and regional-level housing markets returns among geographically diverse states and regions offer little hope of successful geographical portfolio diversification strategies for U.S housing market investors. Moreover, time-invariant modeling may yield incorrect inferences regarding herd formation in regional housing markets.