Affiliation:
1. Halle Institute for Economic Research (IWH), Halle (Saale) , Germany
2. University of Aberdeen, Aberdeen , United Kingdom of Great Britain and Northern Ireland
Abstract
Abstract
We analyze the behavior of investors in the Berlin rental apartment house market over the years 1980-2004. Using constant-quality multipliers ( price- rent ratios), we reject the hypothesis that multipliers in the market were set in a rational manner. Supported by narrative evidence, we conjecture that investors misjudged the economic effects of the German reunification. To examine this, we employ a stylized structural economic model and analyze the effects of shocks on rational multipliers. It seems that investors confused the reunification with a permanent supply side shock to the economy. By basing their investment decisions on this misjudgement, investors behaved irrationally, but in a very uncertain and unprecedented environment.
Subject
Economics and Econometrics
Reference38 articles.
1. Comovement in International Equity Markets;Berben;Journal of International Money and Finance,2005
2. Tay's as Good as Cay;Brennan;Finance Research Letters,2005
3. The Rise in Comovement Across National Stock Markets;Brooks;Journal of Empirical Finance,2004
4. Firm-Level Evidence on International Stock Market Comovement;Brooks;Review of Finance,2006
5. Understanding Risk and Return;Campbell;Journal of Political Economy,1996
Cited by
15 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献