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 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 Idiosyncratic Risk in Emerging Markets and Topics in Real Estate written by Biqing Huang and published by . This book was released on 2009 with total page 178 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 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 The Microstructures of Housing Markets written by Susan J. Smith and published by Routledge. This book was released on 2013-10-31 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: House prices and mortgage debt have moved to centre stage in the management of national economies, regional development and neighbourhood change. Describing, analysing and understanding how housing markets work within and across these scales of economy and society has never been more urgent. But much more is known about the macro-scales than the microstructures; and about the economic rather than social drivers of housing market dynamics. This book redresses the balance. It shows that housing markets are social, cultural and psychological – as well as economic – affairs. This multidisciplinary approach is helpful in understanding the economic staples of supply, demand, price and information. It also casts new light on the emotional and political economy of markets.

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 Risk and Return in the U S Housing Market written by Susanne E. Cannon and published by . This book was released on 2011 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper carries out an asset-pricing analysis of the U.S. metropolitan housing market. We use zip code level housing data to study the cross-sectional role of volatility, price level, stock market risk and idiosyncratic volatility in explaining housing returns. While the related literature tends to focus on the dynamic role of volatility and housing returns within submarkets over time, our risk-return analysis is cross-sectional and covers the national U.S. metropolitan housing market. The study provides a number of important findings on the asset-pricing features of the U.S. housing market. Specifically, we find i) a positive relation between housing returns and volatility with returns rising by 2.48% annually for a 10% rise in volatility, ii) a positive but diminishing price effect on returns, iii) that stock market risk is priced directionally in the housing market and iv) idiosyncratic volatility is priced in housing returns. Our results on the return-volatility-price relation are robust to i) MSA (metropolitan statistical area) clustering effects and ii) differences in socioeconomic characteristics among submarkets related to income, employment rate, managerial employment, owner occupied housing, gross rent and population density.

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 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 Future of Housing Markets written by Leland S. Burns and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book's title betrays at once that it belongs in the forecast literature. Peering into the future is a notoriously treacherous venture. Nevertheless, it has become a prac tice endemic to the business and government worlds as well as to academia, especially economics. We like to be lieve that the enormous growth of forecasting in the face of some disappointments reflects real needs of decision makers (as well as the general public's well-warranted curiosity about the future). Fashion alone could hardly explain the sustained increase in the market for forecast services during the past few decades. Some professionals insist on fine distinctions be tween the forecast, the projection, the prediction-and the prophecy. The differences are more semantic than real, as the mandatory resort to Webster confirms. The entry "forecast" includes references to prediction and prophecy without differentiation, while "projection" is defined, among other things, as prediction or "advance estimate." We use mainly the term projections because v PREFACE vi much of our statistical research is based on forward es timates of population and households by the U.S. Bu reau of the Census which the bureau itself, the greatest fountain of data in the world, records as projections.

Download or read book Fixing the Housing Market written by Franklin Allen and published by Pearson Prentice Hall. This book was released on 2012 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explains the financial history leading to the mortgage meltdown and assesses today's housing finance systems in the United States and abroad.

Download or read book Global Housing Markets written by Ashok Bardhan and published by John Wiley & Sons. This book was released on 2011-10-27 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: A global look at the reasons behind the recent economic collapse, and the responses to it The speculative bubble in the housing market began to burst in the United States in 2007, and has been followed by ruptures in virtually every asset market in almost every country in the world. Each country proposed a range of policy initiatives to deal with its crisis. Policies that focused upon stabilizing the housing market formed the cornerstone of many of these proposals. This internationally focused book evaluates the genesis of the housing market bubble, the global viral contagion of the crisis, and the policy initiatives undertaken in some of the major economies of the world to counteract its disastrous affects. Unlike other books on the global crisis, this guide deals with the housing sector in addition to the financial sector of individual economies. Countries in many parts of the world were players in either the financial bubble or the housing bubble, or both, but the degree of impact, outcome, and responses varied widely. This is an appropriate time to pull together the lessons from these various experiences. Reveals the housing crisis in the United States as the core of the meltdown Describes the evolution of housing markets and policies in the run-up to the crisis, their impacts, and the responses in European and Asian countries Compares experiences and linkages across countries and points to policy implications and research lessons drawn from these experiences Filled with the insights of well-known contributors with strong contacts in practice and academia, this timely guide discusses the history and evolution of the recent crisis as local to each contributor's part of the world, and examines its distinctive and common features with that of the U.S., the trajectory of its evolution, and the similarities and differences in policy response.

Download or read book Household Debt and House Prices at risk A Tale of Two Countries written by Mr.Adrian Alter and published by International Monetary Fund. This book was released on 2020-02-28 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: To identify and quantify downside risks to housing markets, we apply the house price-at-risk methodology to a sample of 37 cities across the United States and Canada using quarterly data from 1983 to 2018. This paper finds that downside risks to housing markets in the United States have seemingly fallen over the past decade, while having increased in Canada. Supply-side drivers, valuation, household debt, and financial conditions jointly play a key role in forecasting house price risks. In addition, capital flows are found to be significantly associated with future downside risks to major housing markets, but the net effect depends on the type of flows and varies across cities and forecast horizons. Using micro-level data, we identify households vulnerable to potential housing shocks and assess the riskiness of household debt.

Download or read book Housing Markets and the Economy written by Karl E. Case and published by Lincoln Inst of Land Policy. This book was released on 2009 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the work of Karl "Chip" Case, who is renowned for his scientific contributions to the economics of housing and public policy, this is a must read during a time of restructuring our nation's system of housing finance.

Download or read book Market Risk of Real Estate written by Felix Schlumpf and published by . This book was released on 2017 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Even if the market capitalization of direct real estate is comparable to that of equities and fixed income, the data on direct real estate is very poor. It is, therefore, difficult to estimate the market risk of this important asset class. Moreover, risk systems from most vendors cover equities and fixed income, but do not cover direct real estate. We propose a simple methodology that uses widely available data on indirect real estate to estimate the market risk of direct real estate. In particular, we use data on Real Estate Investment Trusts (REITs) returns, determine their factor exposures to other asset classes and deleverage these exposures according to REITs' balance sheets. We show that direct real estate can be considered as a portfolio of equities, fixed income and credit combined with idiosyncratic risk. We find that the existing direct indices understate the risk of the real estate market. In addition, with our methodology, the correlations to other asset classes become materially different and higher.

Download or read book Three Essays on Asset Pricing in Security and Housing Markets written by Minrong Zheng and published by . This book was released on 2016 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: In my first essay, I investigate the relationship between IPO long-run underperformance (Ritter, 1991) and the idiosyncratic risk puzzle (Ang, Hodrick, Xing and Zhang, 2006), the phenomenon of abnormally low returns for stocks with high idiosyncratic risk. I show that IPO long-run underperformance is in fact a manifestation of the surprisingly low returns for high idiosyncratic risk stocks. IPO underperformance disappears after I control for the idiosyncratic risk. Specifically, the underperformance of IPO firms only presents following the months in which they are classified into the highest idiosyncratic risk quintile. On the other hand, I find that the idiosyncratic risk puzzle is magnified by the IPO underperformance for two reasons. First, IPOs are over-represented in the highest volatility quintile. Second, while stocks in the highest volatility quintile underperform in general, the intra-quintile underperformance is substantially more severe for the IPO firms. My results are robust to different sample requirements.