High predictability of returns on housing suggests pervasive irrationality on the part of market participants. In this paper, we show that with small transactions costs, returns may remain highly predictable even if the market contains substantial numbers of risk neutral, rational speculators. The reason is that option values associated with the transactions costs substantially delay arbitrage transactions. Our model can generate positive short-run and negative long-run autocorrelation in returns on housing similar to those identified by past empirical studies.

中文翻译：

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房地产市场交易：具有交易成本的模型

住房回报的高度可预测性表明市场参与者普遍存在非理性。在本文中，我们表明，在交易成本较低的情况下，即使市场包含大量风险中性、理性的投机者，回报也可能保持高度可预测。原因是与交易成本相关的期权价值大大延迟了套利交易。我们的模型可以产生类似于过去实证研究确定的住房回报的正短期和负长期自相关。