Excess Returns, Inflation and the Efficiency of the Housing Market
研究了意外通胀对住房收益时间模式的影响，发现意外通胀与住房超额收益正相关，调整后超额收益的序列相关性减弱但仍有惯性。
This paper examines the influence that unexpected inflation has on the reported time pattern in housing returns. Two alternative models of expected inflation are used to study its effect: a rational expectations model and an adaptive expectations model. Findings indicate that both estimates of unexpected inflation are positively correlated with excess returns to housing. If inflation expectations are assumed to have been adaptive during the 1970s and early 1980s, serial correlation in the excess returns is shown to be greatly diminished when adjusted to control for unexpected inflation. However, substantial inertia in the pattern of the adjusted return series remains.