House Prices and Systematic Risk: Evidence from Microdata

Liang Peng, Lei Zhang

Research output: Contribution to journalArticle

Abstract

This article empirically tests whether individual houses’ systematic risk, which is measured with their stock market betas, varies with their prices. An analysis of about 6 million repeat sales in the U.S. over the 2000–2015 period suggests that pricier houses tend to have lower stock market betas. This result is robust across time, holding-period duration and MSAs with different population and GDP growth rates, and remains significant when the model includes more stock market factors.

Original languageEnglish (US)
JournalReal Estate Economics
DOIs
StatePublished - Jan 1 2019

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Micro data
House prices
Systematic risk
Stock market
Price risk
GDP growth
Population growth
Repeat sales
Market factors

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

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House Prices and Systematic Risk : Evidence from Microdata. / Peng, Liang; Zhang, Lei.

In: Real Estate Economics, 01.01.2019.

Research output: Contribution to journalArticle

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