Real Estate Research Initiative

The Yale ICF real estate research initiative is a program that actively investigates residential real estate as an asset class and the range of issues related to their management. The current research agenda includes:

Home Equity Protection: see our website on Home Equity Protection Project here .
Property Valuation: housing valuation, housing return, location analysis
Risk Analysis: bootstrapping and simulation analysis, agency issues
Securitization: real estate portfolios, investment trusts

Participating scholars at Yale include:

• William N. Goetzmann, Yale School of Management and International Center for Finance
• Douglas Rae, Yale School of Management
• K. Geert Rouwenhorst, Yale School of Management and International Center for Finance
• Robert Shiller, Yale Department of Economics and International Center for Finance
• Matthew I. Spiegel, Yale School of Management and International Center for Finance

Selected Publications and Working Papers by Real Estate Program Participants:

Risks and Incentives in Underserved Mortgage Markets
Brent W. Ambrose and William N. Goetzmann

Global Real Estate Markets - Cycles and Fundamentals
Bradford Case, William N. Goetzmann and K. Geert Rouwenhorst

Default Risk and Real Estate Prices: The Use of Index- Based Futures and Options in Real Estate
Journal of Housing Research, Vol. 7 No. 2, 1996
Karl E.Case and Robert J.Shiller

The Behavior of Home Buyers in Boom and Post-Boom Markets
New England Economic Review (November/December, 1988)
Karl E.Case and Robert J.Shiller

A Decade of Boom and Bust in Single Family Home Prices: Boston and Los Angeles, 1983-1993
Revue D'Economie Financiere December 1993, reprinted in New England Economic Review March/April 1994
Karl E.Case and Robert J.Shiller

Forecasting Prices and Excess Returns in the Housing Market
AREUEA Journal (1990) 18(3)
Karl E.Case and Robert J.Shiller

The Efficiency of the Market for Single Family Homes
American Economic Review (March 1989), 79(1)
Karl E.Case and Robert J.Shiller

Prices of Single-Family Homes Since 1970: New Indexes for Four Cities
New England Economic Review (September/October 1987),
Karl E.Case and Robert J.Shiller

Comparing Wealth Effects: The Stock Market Versus the Housing Market
Journal of Housing Research, Vol. 7 No. 2, 1996
Karl E.Case, Robert J.Shiller and John M.Quigley

Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate
Karl E.Case, Robert J.Shiller and Allan N.Weiss

Home Equity Insurance: A Pilot Project
William N. Goetzmann, Andrew Caplin, Eric Hangen, Barry Nalebuff, Elisabeth Prentice, John Rodkin, Matthew I. Spiegel and Tom Skinner

A Spatial Model of Housing Returns and Neighborhood Substitutability
Journal OF Real Estate Finance and Economics, Vol. 14, Issue 1
William N. Goetzmann and Matthew I. Spiegel

Do Cities and Suburbs Cluster?
Cityscape, Vol. 3, No. 3, 1998
William N. Goetzmann, Matthew I. Spiegel and Susan M. Wachter

Suburbs and Cities
William N. Goetzmann, Matthew I. Spiegel and Susan M. Wachter

City: Urbanism and Its End
Douglas Rae, 2003, Yale University Press

Moral Hazard and Home Equity Conversion
Real Estate Economics, Vol. 28, No. 1, 2000
Robert J.Shiller and Allan N.Weiss

Evaluating Real Estate Valuation Systems
Journal of Real Estate Finance And Economics, Vol. 18, No. 2
Robert J.Shiller and Allan N.Weiss

Home Equity Insurance
Journal of Real Estate Finance and Economics, 19:1, 21-47, 1999
Robert J.Shiller and Allan N.Weiss

Housing Return And Construction Cycles
Real Estate Economics, Fall 1995
Matthew I. Spiegel

Data Resources for ICF Fellows

Karl Case and Robert Shiller have collected data sets on prices of houses. The dataset provides a sample of homes that sold twice between 1970 and 1986 in each of four cities Atlanta, Chicago, Dallas and Oakland . It includes the first sale price, second sale price, first sale date, and second sale date. This dataset is somewhat outdated, and of interest only to researchers.

Related Links of Interest

The Home Equity Protection Initiative website:
http://icf.som.yale.edu/research/Homeequity.shtml

The official website of the Home Equity Protection project:
http://www.equityhq.org/home.htm

The Neighborhood Reinvestment Corporation site dedicated to the HEP project:
http://www.nw.org/network/communityDev/homeEquity/index.html

Articles related to the Home Equity Protection project:
http://mba.yale.edu/news_events/CMS/Articles/741.htm