The Big Short: Short Selling Activity and Predictability in House Prices

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dc.contributor.authorVergara-Alert, Carles
dc.contributor.authorSaffi, Pedro A. C.
dc.date.accessioned2026-02-17T11:33:09Z
dc.date.issued2017
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.departmentFinanzas y Contabilidad
dc.identifier.doi10.1111/1540-6229.12219
dc.identifier.urihttps://hdl.handle.net/20.500.14861/25
dc.issue.number4
dc.journal.titleReal Estate Economics
dc.language.isoeng
dc.page.final1073
dc.page.initial1030
dc.rights.accessRightsopen access
dc.subject.keywordHousing prices
dc.subject.keywordshort sales
dc.subject.keywordfinancial crisis
dc.subject.keywordequity lending
dc.subject.keywordREITs
dc.titleThe Big Short: Short Selling Activity and Predictability in House Prices
dc.typejournal article
dc.type.hasVersionAM
dc.volume.number48

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