Predicting House Prices with Real-Estate-Related Stocks

使用房地產相關股票之價格預測房價

10.6277/TER.201906_47(2).0001

林姿妤(Tzu-Yu Lin)

real-estate-related stock prices ； house prices ； in-and out-of-sample prediction ； 房地產相關之股票價格 ； 房價 ； 樣本內與樣本外預測

經濟論文叢刊

47卷2期（2019 / 06 / 01）

159 - 182

英文

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。

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