The economic literature suggests that institutional characteristics of the real estate market produce inefficiencies that contribute to price volatility. However, no study has attempted to test the relative contribution of the competing hypotheses to inefficiency in regional real estate markets, and their implications for price dynamics. This book, based on my Ph.D. dissertation, identifies volatility in housing prices by testing for market inefficiency, quantifies those characteristics of local real estate markets which contribute to price volatility, and tests a model for the US housing market which incorporates local market characteristics and speculative behavior. The results show that prices in U.S. real estate markets have been volatile, and suggests that price bubbles have been present in a number of US cities from the mid-1980s through 2000.