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dc.contributor.authorSaffi, Pedroen
dc.contributor.authorVergara-Alert, Cen
dc.date.accessioned2017-11-22T17:45:59Z
dc.date.available2017-11-22T17:45:59Z
dc.date.issued2020-11en
dc.identifier.issn1080-8620
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/269580
dc.description.abstractWe 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.
dc.description.sponsorshipSaffi 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).
dc.publisherWiley-Blackwell
dc.titleThe big short: short selling activity and predictability in house pricesen
dc.typeArticle
prism.endingPage1073
prism.issueIdentifier4en
prism.publicationDate2020en
prism.publicationNameReal Estate Economicsen
prism.startingPage1030
prism.volume48en
dc.identifier.doi10.17863/CAM.15805
dcterms.dateAccepted2017-08-16en
rioxxterms.versionofrecord10.1111/1540-6229.12219en
rioxxterms.versionAM*
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2020-11en
dc.contributor.orcidSaffi, Pedro [0000-0002-3347-6801]
dc.identifier.eissn1540-6229
rioxxterms.typeJournal Article/Reviewen
cam.issuedOnline2017-09-24en
rioxxterms.freetoread.startdate2019-09-24


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