Housing risk and return : evidence from a housing asset-pricing model

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dc.contributor.author Case, Karl E.
dc.contributor.author Cotter, John
dc.contributor.author Gabriel, Stuart A.
dc.date.accessioned 2010-07-07T16:31:11Z
dc.date.available 2010-07-07T16:31:11Z
dc.date.issued 2009-11
dc.identifier.uri http://hdl.handle.net/10197/2142
dc.description 4th meeting of the Urban Economics Association (UEA) at the 56th Annual North American Meetings of the Regional Science Association International (RSAI), November 18-21 2009, San Francisco en
dc.description.abstract This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a housing asset pricing model (H-CAPM), whereby expected returns of metropolitan-specific housing markets are equated to the market return, as represented by aggregate US house price time-series. We augment the model by examining the impact of additional risk factors including aggregate stock market returns, idiosyncratic risk, momentum, and Metropolitan Statistical Area (MSA) size effects. Further, we test the robustness of H-CAPM results to inclusion of controls for socioeconomic variables commonly represented in the house price literature, including changes in employment, affordability, and foreclosure incidence. Consistent with the traditional CAPM, we find a sizable and statistically significant influence of the market factor on MSA house price returns. Moreover we show that market betas have varied substantially over time. Also, we find the basic housing CAPM results are robust to the inclusion of other explanatory variables, including standard measures of risk and other housing market fundamentals. Additional tests of the validity of the model using the Fama-MacBeth framework offer further strong support of a positive risk and return relationship in housing. Our findings are supportive of the application of a housing investment risk-return framework in explanation of variation in metro-area cross-section and time-series US house price returns. Further, results strongly corroborate Case-Shiller behavioral research indicating the importance of speculative forces in the determination of U.S. housing returns. en
dc.description.sponsorship Science Foundation Ireland en
dc.description.uri Conference details en
dc.description.uri http://www.urbaneconomics.org/meetings/program2009.php en
dc.format.extent 1017992 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.subject Finance en
dc.subject Asset-pricing en
dc.subject Housing investment en
dc.subject Risk management en
dc.subject House price returns en
dc.subject Risk factors en
dc.subject.classification G10 en
dc.subject.classification G11 en
dc.subject.classification G12 en
dc.subject.lcsh Housing--Prices--United States en
dc.subject.lcsh Assets (Accounting) en
dc.subject.lcsh Real estate investment--Rate of return en
dc.subject.lcsh Financial risk en
dc.title Housing risk and return : evidence from a housing asset-pricing model en
dc.type Conference Publication en
dc.internal.availability Full text available en
dc.status Not peer reviewed en
dc.neeo.contributor Case|Karl E.|aut| en
dc.neeo.contributor Cotter|John|aut|UCD0043 en
dc.neeo.contributor Gabriel|Stuart A.|aut| en
dc.description.othersponsorship UCLA Ziman Center for Real Estate en
dc.description.admin ti da ke ab sp 100706 RB. en

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