This paper examines if there are value and momentum effects in the New Zealand housing market across different regions. It is found that the short-term momentum effect exists with the winner regions in the past year outperforming the loser regions in the following year by 2.06%, mainly from capital gains, after adjusting for the market risk. The house returns exhibit long-term reversal with the winner regions in the last six years underperforming the loser regions in each of the next eight

more »

... due to lower capital gains. A value effect is present with regions with high rent-price ratios outperforming those with low rent-price ratios in each of the next seven years due to persistent higher rental yields. However, both the reversal effect and value effect can be explained by the market risk.