Download or read book Evidence on the Variation of Idiosyncratic Risk in House Price Appreciation written by Jaqueson K. Galimberti and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using around one million repeat sales observations of single-family homes across New Zealand, over the period 1992 to 2021, we provide evidence that idiosyncratic risk in real house price appreciation varies considerably across houses. We find that idiosyncratic risk is time varying, depends negatively on the initial house price, varies strongly across locations and reduces significantly as the holding period of the house increases. Location is the most important of these factors. By buying an above the median house in a low-risk region, and holding on to the property for a longer period, households can significantly reduce idiosyncratic risk.

Download or read book House Price Changes and Idiosyncratic Risk written by Steven C. Bourassa and published by . This book was released on 2006 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: While the average change in house prices is related to changes in fundamentals or perhaps market-wide bubbles, not all houses in a market appreciate at the same rate. The primary focus of our study is to investigate the reasons for these variations in price changes among houses within a market. We draw on two theories for guidance, one related to the optimal search strategy for sellers of atypical dwellings and the other focusing on the bargaining process between a seller and potential buyers. We hypothesize that houses will appreciate at different rates depending on the characteristics of the property and the change in the strength of the housing market.These hypotheses are supported using data from three New Zealand housing markets.

Download or read book House Price Changes and Idiosyncratic Risk written by Steven C. Bourassa and published by . This book was released on 2008 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Housing Risk and Return written by Karl E. Case and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a housing asset pricing model (H-CAPM), whereby expected returns of metropolitan-specific housing markets are equated to the market return, as represented by aggregate US house price time-series. We augment the model by examining the impact of additional risk factors including aggregate stock market returns, idiosyncratic risk, momentum, and Metropolitan Statistical Area (MSA) size effects. Further, we test the robustness of H-CAPM results to inclusion of controls for socioeconomic variables commonly represented in the house price literature, including changes in employment, affordability, and foreclosure incidence. Consistent with the traditional CAPM, we find a sizable and statistically significant influence of the market factor on MSA house price returns. Moreover we show thatmarket betas have varied substantially over time. Also, we find the basic housing CAPM results are robust to the inclusion of other explanatory variables, including standard measures of risk and other housing market fundamentals. Additional tests of the validity of the model using the Fama-MacBeth framework offer further strong support of a positive risk and return relationship in housing. Our findings are supportive of the application of a housing investment risk-return framework in explanation of variation in metro-area cross-section and time-series US house price returns. Further, results strongly corroborate Case-Shiller behavioral research indicating the importance of speculative forces in the determination of U.S. housing returns.

Download or read book The Evidence and Impact of Financial Globalization written by and published by Academic Press. This book was released on 2012-12-31 with total page 807 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sharp realities of financial globalization become clear during crises, when winners and losers emerge. Crises usher in short- and long-term changes to the status quo, and everyone agrees that learning from crises is a top priority. The Evidence and Impact of Financial Globalization devotes separate articles to specific crises, the conditions that cause them, and the longstanding arrangements devised to address them. While other books and journal articles treat these subjects in isolation, this volume presents a wide-ranging, consistent, yet varied specificity. Substantial, authoritative, and useful, these articles provide material unavailable elsewhere. - Substantial articles by top scholars sets this volume apart from other information sources - Rapidly developing subjects will interest readers well into the future - Reader demand and lack of competitors underline the high value of these reference works

Download or read book Journal of Housing Research written by and published by . This book was released on 2006 with total page 1430 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Spatial Dependence Idiosyncratic Risk and the Valuation of Disaggregated Housing Data written by Prodosh Simlai and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate whether spatial idiosyncratic risk plays an important role in explaining average housing prices in a representative U.S. market. We discuss a parsimonious hedonic model of demand for differentiated products and derive an equilibrium price functions that depends on idiosyncratic risk, among other factors. Empirically, we use a nonlinear spatial regression model and identify a potential measure of idiosyncratic risk from sales data of individual residential properties in Ames, Iowa. The results show that, for our disaggregated housing data, there is a significant volatility interdependence among cross-sectional units because of geographical proximity. In our sample, a 1% increase in idiosyncratic risk, ceteris paribus, is associated with a 0.80% increase in average price of residential properties. We find that accounting for spatial autocorrelation and heteroskedasticity increases the evidence that idiosyncratic risk, which is captured by space-varying volatility, reveals important information about average housing prices. We conclude that using a spatial regression model that allows interaction between property prices and volatility yields strong predictive power.

Download or read book The Housing Boom and Bust written by Thomas Sowell and published by Basic Books (AZ). This book was released on 2009-05-12 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explains how we got into the current economic disaster that developed out of the economics and politics of the housing boom and bust. The "creative" financing of home mortgages and "creative" marketing of financial securities based on these mortgages to countries around the world, are part of the story of how a financial house of cards was built up--and then collapsed.

Download or read book International Encyclopedia of Housing and Home written by and published by Elsevier. This book was released on 2012-10-09 with total page 3870 pages. Available in PDF, EPUB and Kindle. Book excerpt: Available online via SciVerse ScienceDirect, or in print for a limited time only, The International Encyclopedia of Housing and Home, Seven Volume Set is the first international reference work for housing scholars and professionals, that uses studies in economics and finance, psychology, social policy, sociology, anthropology, geography, architecture, law, and other disciplines to create an international portrait of housing in all its facets: from meanings of home at the microscale, to impacts on macro-economy. This comprehensive work is edited by distinguished housing expert Susan J. Smith, together with Marja Elsinga, Ong Seow Eng, Lorna Fox O'Mahony and Susan Wachter, and a multi-disciplinary editorial team of 20 world-class scholars in all. Working at the cutting edge of their subject, liaising with an expert editorial advisory board, and engaging with policy-makers and professionals, the editors have worked for almost five years to secure the quality, reach, relevance and coherence of this work. A broad and inclusive table of contents signals (or tesitifes to) detailed investigation of historical and theoretical material as well as in-depth analysis of current issues. This seven-volume set contains over 500 entries, listed alphabetically, but grouped into seven thematic sections including methods and approaches; economics and finance; environments; home and homelessness; institutions; policy; and welfare and well-being. Housing professionals, both academics and practitioners, will find The International Encyclopedia of Housing and Home useful for teaching, discovery, and research needs. International in scope, engaging with trends in every world region The editorial board and contributors are drawn from a wide constituency, collating expertise from academics, policy makers, professionals and practitioners, and from every key center for housing research Every entry stands alone on its merits and is accessed alphabetically, yet each is fully cross-referenced, and attached to one of seven thematic categories whose ‘wholes' far exceed the sum of their parts

Download or read book Fear and the Housing Market written by Sergiy Saydometov and published by . This book was released on 2019 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I use Google search frequency to construct a new measure of housing market-level sentiment and analyze its relation with housing prices. I term this measure as the Home Price Fear Index, or Fear Index or Fear for short. The Fear Index is based on Google Search volume for certain real estate and economic terms, such as foreclosure, recession, and market value. In the first essay, I examine the relation between the Fear Index at the national level and the Case/Shiller National Home Price Index. I find this relation to be inverse, with an increase in Fear predicting a decrease in home prices. The relation is robust to controlling for a number of relevant economic variables. I also find that housing prices respond differently to increases versus decreases in Fear. Increases in Fear result in a significant negative response in housing prices, while decreases in Fear evoke little response. This asymmetric response can be attributed to the negativity effect, which is widely discussed in the psychology literature. I also find that home prices are more sensitive to Fear during recessionary periods. In the second essay, I examine the relation between the Fear Index at the metropolitan statistical area (MSA) level and local home price changes. I construct 20 local Fear Indexes based on MSAs covered by Case/Shiller 20-City Composite Home Price Index. I find that forecasting ability of local Fear is comparable to those of other well-known predictors of housing price changes. Further, Fear in "cold" housing markets (cities with slow price appreciation) has a stronger effect than in "hot" markets (cities with rapid price appreciation). I also find that cities with high bankruptcy rates are more responsive to changes in Fear than low bankruptcy rate cities. Moreover, "cold" cities with high bankruptcy rates are the most responsive to negative sentiment. In the third essay, I examine the impact of volatility on the relation between the Fear Index and home price changes. Using standard deviation and idiosyncratic volatility as alternative measures of volatility, I find that response to Fear across MSAs is stronger as volatility increases. Further, cities with low volatility exhibit a similar response to increases versus decreases in Fear, while high volatility cities display an asymmetric response, with a significant and negative reaction to an increase in Fear but little reaction to a decrease in Fear. I also differentiate between downside volatility and upside or "good" volatility, and find that Fear has a stronger impact on housing price changes as downside risk goes up relative to the upside volatility. Finally, I find that it is the downside and not the upside volatility that affects Fear.

Download or read book Measuring the Importance of Location in House Price Appreciation written by Wayne R. Archer and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the variation in the rates of house price appreciation within an individual metropolitan market. A methodology is developed to examine the locational variation in house price changes in Dade County (Miami) Florida, from 1971 to 1992. House price appreciation appears to be somewhat spatially related; that is, it varies by municipality, with distance from the CBD, with local changes in population and housing units and by ethnic mix. However, these relationships have minimal explanatory power. Controlling for the census tract group location of each home explains only around 12 percent of the (residual) variation in the appreciation of individual homes that is not explained by metropolitan-wide changes in house prices. The effect of tract group location appears to be dominated by the idiosyncratic influences of individual homes and their immediate environments.

Download or read book Idiosyncratic Risk in Housing Markets written by Marco Giacoletti and published by . This book was released on 2019 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies idiosyncratic risk at the level of individual house resales. It is commonly assumed that the idiosyncratic price component follows a random walk. I show that housing market data reject this model, and that idiosyncratic risk is instead close to constant for holding periods up to 10 years. Moreover, using an instrument for ZIP Code-level shocks to mortgage credit, I show that a contraction in local credit availability increases idiosyncratic risk. Finally, I show that accounting for the idiosyncratic component substantially flattens the term structure of total housing risk. The term structure is steeper in lower income ZIP Codes.

Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Download or read book Housing and the Financial Crisis written by Edward L. Glaeser and published by University of Chicago Press. This book was released on 2013-08-19 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conventional wisdom held that housing prices couldn’t fall. But the spectacular boom and bust of the housing market during the first decade of the twenty-first century and millions of foreclosed homeowners have made it clear that housing is no different from any other asset in its ability to climb and crash. Housing and the Financial Crisis looks at what happened to prices and construction both during and after the housing boom in different parts of the American housing market, accounting for why certain areas experienced less volatility than others. It then examines the causes of the boom and bust, including the availability of credit, the perceived risk reduction due to the securitization of mortgages, and the increase in lending from foreign sources. Finally, it examines a range of policies that might address some of the sources of recent instability.

Download or read book Real Estate Risk in Equity Returns written by Gaston Michel and published by Gabler Verlag. This book was released on 2009-06-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory aims at linking an asset’s higher return to its higher risk exposure. However, the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965), the most widely taught model in business and economics classes, has been largely contested in the literature by researchers finding anomalous patterns in equity returns. Based on the failure to match the CAPM with empirical data, researchers have been in an ongoing dispute whether the anomalous behavior in equity returns is still reconcilable with market equilibrium and, therefore, with a risk-based explanation, or must be seen as consequences of investors’ irrational behavior and the agency costs of professional investment management. To support a rational pricing story, Fama and French (1992, 1993, 1996) develop a three-factor model that is highly successful in c- turing the two well-known anomalies related to a stock’s market capitalization and valuation level, the size and book-to-market effects. They argue that their model must be seen in the context of Merton’s (1973) Intertemporal Capital Asset Pricing Model (ICAPM) so that their size and book-to-market factors act as state variables capturing the investor’s hedging motives. They consider relative distress risk as the economic source of the common variation in stock returns related to their factors.

Download or read book The Blackwell Companion to the Economics of Housing written by Susan J. Smith and published by John Wiley & Sons. This book was released on 2010-01-22 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Blackwell Companion to the Economics of Housing willhelp students and professionals alike to explore key elements ofthe housing economy: home prices, housing wealth, mortgage debt,and financial risk. Features 24 original essays, including an editorialintroduction and three section overviews Includes 39 world-class authors from a mix of educational andfinancial organizations in the UK, Europe, Australia, and NorthAmerica Broadly-based, scholarly, and accessible, serving students andprofessionals who wish to understand how today’s housingeconomy works Profiles the role and relevance of housing wealth; themismanagement of mortgage debt; and the pitfalls and potential ofhedging housing risk Key topics include: the housing price bubble and crash; thesubprime mortgage crisis in the US and its aftermath; the linksbetween housing wealth, the macroeconomy, and the welfare ofhome-occupiers; the mitigation of credit and housing investmentrisks Specific case studies help to illustrate concepts, along withnew data sets and analyses to illustrate empirical points

Download or read book Handbook of Regional and Urban Economics vol 5B written by Gilles Duranton and published by Elsevier. This book was released on 2015-05-15 with total page 967 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developments in methodologies, agglomeration, and a range of applied issues have characterized recent advances in regional and urban studies. Volume 5 concentrates on these developments while treating traditional subjects such as housing, the costs and benefits of cities, and policy issues beyond regional inequalities. Contributors make a habit of combining theory and empirics in each chapter, guiding research amid a trend in applied economics towards structural and quasi-experimental approaches. Clearly distinguished from the New Economic Geography covered by Volume 4, these articles feature an international approach that positions recent advances within the discipline of economics and society at large. Editors are recognized as leaders and can attract an international list of contributors Regional and urban studies interest economists in many subdisciplines, such as labor, development, and public economics Table of contents combines theoretical and applied subjects, ensuring broad appeal to readers