Intertemporal Risk-Return Relationship in Housing Markets

被引：3

作者：

Lin, Pin-Te ^{[1
]}

机构：

[1] Univ Reading, Henley Business Sch, Real Estate & Planning, Reading RG6 6UD, Berks, England

来源：

JOURNAL OF REAL ESTATE RESEARCH | 2021年 / 44卷 / 03期

关键词：

Housing markets; intertemporal capital asset pricing model; risk-return relationship; STOCK RETURNS; PRICE RISK; ASSET; TRADEOFF; MODEL; VOLATILITY; VARIANCE; NETWORKS; DYNAMICS; DEMAND;

D O I：

10.1080/08965803.2021.2011560

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We empirically investigate the intertemporal risk-return relationship in the U.S. housing market. Consistent with the theoretical predictions in Merton's (1973) intertemporal capital asset pricing model (ICAPM), the national (regional) housing market displays a significantly positive relationship between its conditional variance (covariance) and capital gains. Results provide empirical support for housing showing that risk-averse agents require higher returns to reward higher risk in an intertemporal framework.

引用

页码：331 / 354

页数：24

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