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

被引：22

作者：

Peng, Liang ^{[1
]}

Thibodeau, Thomas G. ^{[2
]}

机构：

[1] Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USA

[2] Univ Colorado, Leeds Sch Business, Finance Div, 995 Regent Dr, Boulder, CO 80309 USA

来源：

REAL ESTATE ECONOMICS | 2017年 / 45卷 / 02期

关键词：

REAL-ESTATE; FINANCIAL WEALTH; MARKET SEGMENTATION; PORTFOLIO CHOICES; MICRO DATA; CONSUMPTION; APPRECIATION; DETERMINANTS; VOLATILITY; HOMEOWNERS;

D O I：

10.1111/1540-6229.12136

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：340 / 375

页数：36

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