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COWLES FOUNDATION FOR RESEARCH IN ECONOMICS YALE UNIVERSITY

We investigate for lunar cycle effects in stock returns for two reasons. First, contemporary surveys confirm that a large part of the population, about 50 percent, believes that strange behavior peaks around the full moon (e.g., Kelly, Rotton, and Culver 1996). If such behavior exists, it seems plausible that it influences investor behavior and the resulting stock prices and returns. Note that, in contrast to existing evidence of lunar effects on sporadic and extreme behavior, stock prices are powerful aggregators of regular and recurring human behavior. Using daily stock index data over decades and many. | COMPARING WEALTH EFFECTS THE STOCK MARKET VS. THE HOUSING MARKET BY KARL E. CASE JOHN M. QUIGLEY and ROBERT J. SHILLER COWLES FOUNDATION PAPER NO. 1181 COWLES FOUNDATION FOR RESEARCH IN ECONOMICS YALE UNIVERSITY Box 208281 New Haven Connecticut 06520-8281 2006 http cowles.econ.yale.edu Advances in Macroeconomics Volume 5 Issue 1 2005 Article 1 Comparing Wealth Effects The Stock Market versus the Housing Market Karl E. Case se John M. Quigley Robert J. ShilleE Wellesley College kcase@wellesley.edu University of California Berkeley quigley@econ.berkeley.edu Yale University robert.shiller@yale.edu Copyright 2005 by the authors. All rights reserved. No part of this publication may be reproduced stored in a retrieval system or transmitted in any form or by any means electronic mechanical photocopying recording or otherwise without the prior written permission of the publisher bepress which has been given certain exclusive rights by the author. Advances in Macroeconomics is one of The B.E. Journals in Macroeconomics produced by The Berkeley Electronic Press bepress . http www.bepress.com bejm. Comparing Wealth Effects The Stock Market versus the Housing Market Karl E. Case John M. Quigley and Robert J. Shiller Abstract We examine the link between increases in housing wealth financial wealth and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years and a panel of U.S. states observed quarterly during the 1980s and 1990s. We impute the aggregate value of owner-occupied housing the value of financial assets and measures of aggregate consumption for each of the geographic units over time. We estimate regression models in levels first differences and in error-correction form relating consumption to income and wealth measures. We find a statistically significant and rather large effect of housing wealth upon household consumption. KEYWORDS consumption nonfinancial wealth housing market real estate This paper .