Spillover Effects in Residential House Price

Marcel Fischer, Roland Füss, Simon Stehle

Research output: Contribution to conferencePaperResearchpeer-review

Abstract

We study the micro-level evolution of residential house prices using data on all repeat sales on Manhattan Island from 2004 to 2015. We document that excess returns spill over to other trades in the neighborhood — even after controlling for general house price movements on the zip-code level. This effect quickly vanishes as the distance between trades increases. In booming states of the housing market cycle, spillover effects are weaker in the nearest neighborhood and stronger from more distant neighborhoods.
Original languageEnglish
Publication date2018
Number of pages28
Publication statusPublished - 2018
EventEuropean Financial Management Association 2018 Annual Meetings - Università Cattolica del Sacro Cuore, Milan, Italy
Duration: 27 Jun 201830 Jun 2018
Conference number: 27
https://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2018-Milan/2018%20meetings.php

Conference

ConferenceEuropean Financial Management Association 2018 Annual Meetings
Number27
LocationUniversità Cattolica del Sacro Cuore
CountryItaly
CityMilan
Period27/06/201830/06/2018
Internet address

Keywords

  • Housing market
  • Spillover effects
  • Urban economics
  • Real estate
  • Repeat sales

Cite this

Fischer, M., Füss, R., & Stehle, S. (2018). Spillover Effects in Residential House Price. Paper presented at European Financial Management Association 2018 Annual Meetings, Milan, Italy. https://efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2018-Milan/papers/EFMA2018_0175_fullpaper.pdf