The big short: short selling activity and predictability in house prices
Accepted version
Peer-reviewed
Repository URI
Repository DOI
Change log
Authors
Chauffaille Saffi, PA
Vergara-Alert, C
Abstract
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.
Description
Keywords
3801 Applied Economics, 35 Commerce, Management, Tourism and Services, 38 Economics, 3502 Banking, Finance and Investment, 3504 Commercial Services
Journal Title
Real Estate Economics
Conference Name
Journal ISSN
1080-8620
1540-6229
1540-6229
Volume Title
48
Publisher
Wiley-Blackwell
Publisher DOI
Sponsorship
Saffi acknowledges the financial support provided by the Cambridge Endownment for Research in Finance (CERF) and Vergara-Alert the support of the Public-Private Sector Research Center at IESE, the Spanish Ministry of Economy and Competitiveness (Ref. ECO2015-63711-P), and AGAUR (Project ref: 2014-SGR-1496).