Accessibility navigation


Intertemporal risk-return relationship in housing markets

Lin, P.-T. (2022) Intertemporal risk-return relationship in housing markets. Journal of Real Estate Research. ISSN 0896-5803

[img]
Preview
Text (Open Access) - Published Version
· Available under License Creative Commons Attribution.
· Please see our End User Agreement before downloading.

2MB
[img] Text - Accepted Version
· Restricted to Repository staff only

657kB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item 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.

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

Downloads

Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation