This paper investigates the forecasting content of real-estate-related stock prices for house prices. Using both in- and out-of-sample tests, this paper shows that real-estate-related stock price indices have extremely robust power in predicting US house prices. The empirical results are highly valuable for investors and policy makers because real-estate-related stock prices are shown to be a reliable predictor reflecting timely market information and are readily available to forecast real estate market movements.
本文探討房地產相關股票之價格是否有助於預測房價。透過樣本內與樣本外預測分析,結果發現,房地產相關股票的價格對於美國房價的預測表現極佳。根據此實證結果,由於股票價格可及時反應市場資訊,且無資料修正問題,因此對於投資人及政策制定者而言,房地產相關股票之價格不失為房價之良好預測指標。