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Intertemporal risk-return relationship in housing markets

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Lin, P.-T. orcid id iconORCID: https://orcid.org/0000-0003-2745-0119 (2022) Intertemporal risk-return relationship in housing markets. Journal of Real Estate Research, 44 (3). pp. 331-354. ISSN 0896-5803 doi: 10.1080/08965803.2021.2011560

Abstract/Summary

We empirically investigate the intertemporal risk-return relationship in the U.S. housing market. Consistent with the theoretical predictions in Merton’s (1973) Intertemporal Capital Asset Pricing Model (ICAPM), national (regional) housing market displays a significantly positive relationship between its conditional variance (covariance) and capital gains. Results provide empirical support for housing showing that risk-averse agents require higher return to reward higher risk in an intertemporal framework.

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Item Type Article
URI https://reading-clone.eprints-hosting.org/id/eprint/98825
Identification Number/DOI 10.1080/08965803.2021.2011560
Refereed Yes
Divisions Henley Business School > Real Estate and Planning
Publisher American Real Estate Society
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