Idiosyncratic Risk of House Prices: Evidence from 26 Million Home Sales

Liang Peng, Thomas G. Thibodeau

Research output: Contribution to journalArticle

7 Citations (Scopus)

Abstract

This paper uses about 26 million home sales to measure house price idiosyncratic risk for 7,580 U.S. zip codes during three periods: (1) when the U.S. housing market was stable (1996–2000), (2) booming (2001–2007) and (3) busting (2007–2012), and investigates the determinants of house price risk. We find very strong relationships between risk and some basic housing market characteristics. There is a U-shaped relationship between risk and zip-code level median household income; risk is higher in zip codes with more appreciation volatility; and risk is not compensated with higher appreciation.

Original languageEnglish (US)
Pages (from-to)340-375
Number of pages36
JournalReal Estate Economics
Volume45
Issue number2
DOIs
StatePublished - Jun 1 2017

Fingerprint

House prices
Idiosyncratic risk
Housing market
Median
Household income
Market characteristics
Price risk

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

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Idiosyncratic Risk of House Prices : Evidence from 26 Million Home Sales. / Peng, Liang; Thibodeau, Thomas G.

In: Real Estate Economics, Vol. 45, No. 2, 01.06.2017, p. 340-375.

Research output: Contribution to journalArticle

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