Abstract
Many investors usually believe that real estate is a reliable investment. However, as it is not risk-free and the recent US housing bubble has shown the devastating effects of a crisis in this sector. Even more, Shiller (1989) highlights that this is not an efficient market since there are clear correlation. In the present work we use the entropy as a measure of the informational efficiency in the US Housing market and tested the relationship with the probability of having a crash in the sector. We found some evidence suggesting that the market has been inefficient since May 1999. In addition, the logit model indicates that a decrease in the informational efficiency produce a significant increase in the probability of having a crash. Further results show that the fact of investing in different US metropolitan areas does not affect this probability.
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