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Intertemporal risk-return relationship in housing markets

Lin, P.-T. (2021) Intertemporal risk-return relationship in housing markets. Journal of Real Estate Research. ISSN 0896-5803 (In Press)

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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.

Item Type:Article
Divisions:Henley Business School > Real Estate and Planning
ID Code:98825
Publisher:American Real Estate Society

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