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

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'House Prices and Systematic Risk: Evidence from Microdata'. Together they form a unique fingerprint.

  • Cite this