Intertemporal Risk-Return Relationship in Housing Markets

References

• Bailey, M., Cao, R., Kuchler, T., & Stroebel, J. (2018). The economic effects of social networks: Evidence from the housing market. Journal of Political Economy, 126, 2224–2276. https://doi.org/10.1086/700073
   Web of Science ®Google Scholar
• Baillie, R. T., & DeGennaro, R. P. (1990). Stock returns and volatility. The Journal of Financial and Quantitative Analysis, 25, 203–214. https://doi.org/10.2307/2330824
   Web of Science ®Google Scholar
• Bali, T. G. (2008). The intertemporal relation between expected returns and risk. Journal of Financial Economics, 87, 101–131. https://doi.org/10.1016/j.jfineco.2007.03.002
   Web of Science ®Google Scholar
• Bali, T. G., & Engle, R. F. (2010). The intertemporal capital asset pricing model with dynamic conditional correlations. Journal of Monetary Economics, 57, 377–390. https://doi.org/10.1016/j.jmoneco.2010.03.002
   Web of Science ®Google Scholar
• Bali, T. G., Engle, R. F., Tang, Y. (2016). Dynamic conditional beta is alive and well in the cross-section of daily stock returns. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2089636
   Google Scholar
• Bayer, P., Ellickson, B., & Ellickson, P. B. (2010). Dynamic asset pricing in a system of local housing markets. American Economic Review, 100, 368–372. https://doi.org/10.1257/aer.100.2.368
   Web of Science ®Google Scholar
• Beracha, E., & Skiba, H. (2013). Findings from a cross-sectional housing risk-factor model. The Journal of Real Estate Finance and Economics, 47, 289–309. https://doi.org/10.1007/s11146-011-9360-x
   Web of Science ®Google Scholar
• Beracha, E., Gilbert, B. T., Kjorstad, T., & Womack, K. (2018). On the relation between local amenities and house price dynamics. Real Estate Economics, 46, 612–654. https://doi.org/10.1111/1540-6229.12170
   Web of Science ®Google Scholar
• Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307–327. https://doi.org/10.1016/0304-4076(86)90063-1
   Web of Science ®Google Scholar
• Campbell, J. Y. (1987). Stock returns and the term structure. Journal of Financial Economics, 18, 373–399. https://doi.org/10.1016/0304-405X(87)90045-6
   Web of Science ®Google Scholar
• Campbell, J. Y. (1993). Intertemporal asset pricing without consumption data. American Economic Review, 83, 487–512.
   Web of Science ®Google Scholar
• Campbell, S. D., Davis, M. A., Gallin, J., & Martin, R. F. (2009). What moves housing markets: A variance decomposition of the rent-price ratio. Journal of Urban Economics, 66, 90–102. https://doi.org/10.1016/j.jue.2009.06.002
   Web of Science ®Google Scholar
• Cannon, S., Miller, N. G., & Pandher, G. S. (2006). Risk and return in the U.S. housing market: A cross-sectional asset-pricing approach. Real Estate Economics, 34, 519–552. https://doi.org/10.1111/j.1540-6229.2006.00177.x
   Web of Science ®Google Scholar
• Case, K., Cotter, J., & Gabriel, S. (2011). Housing risk and return: Evidence from a housing asset-pricing model. The Journal of Portfolio Management, 37, 89–109. https://doi.org/10.3905/jpm.2011.37.5.089
   Google Scholar
• Chen, C.-F., & Chiang, S. H. (2019). Time-varying spillovers among first-tier housing markets in China. Urban Studies, 57, 1–21.
   Web of Science ®Google Scholar
• Cocco, J. (2000). Hedging house price risk with incomplete markets. Mimeo. London Business School.
   Google Scholar
• Cotter, J., Gabriel, S., & Roll, R. (2015). Can housing risk be diversified? A cautionary tale from the housing boom and bust. Review of Financial Studies, 28, 913–936. https://doi.org/10.1093/rfs/hhu085
   Web of Science ®Google Scholar
• Dolde, W., & Tirtiroglu, D. (1997). Temporal and spatial information diffusion in real estate price changes and variances. Real Estate Economics, 25, 539–565. https://doi.org/10.1111/1540-6229.00727
   Web of Science ®Google Scholar
• Engle, R. F. (2015). Dynamic conditional beta. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2732932
   Google Scholar
• Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11, 122–150. https://doi.org/10.1017/S0266466600009063
   Web of Science ®Google Scholar
• Engle, R. F., & Lee, G. J. (1999). A permanent and transitory component model of stock return volatility. In R. F. Engle & H. White (Eds.), Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger (pp. 475–497). Oxford University Press.
   Google Scholar
• Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48, 1749–1778. https://doi.org/10.1111/j.1540-6261.1993.tb05127.x
   Web of Science ®Google Scholar
• Epley, D. (2016). Assumptions and restrictions on the use of repeat sales to estimate residential price appreciation. Journal of Real Estate Literature, 24, 275–286. https://doi.org/10.1080/10835547.2016.12090428
   Google Scholar
• Fama, E. F., & French, K. R. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives, 18, 25–46. https://doi.org/10.1257/0895330042162430
   Web of Science ®Google Scholar
• Fairchild, J., Ma, J., & Wu, S. (2015). Understanding housing market volatility. Journal of Money, Credit and Banking, 47, 1309–1337. https://doi.org/10.1111/jmcb.12246
   Web of Science ®Google Scholar
• Frazier, D. T., & Liu, X. (2016). A new approach to risk-return trade-off dynamics via decomposition. Journal of Economic Dynamics and Control, 62, 43–55. https://doi.org/10.1016/j.jedc.2015.11.002
   Web of Science ®Google Scholar
• French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 3–29. https://doi.org/10.1016/0304-405X(87)90026-2
   Web of Science ®Google Scholar
• Geltner, D., MacGregor, B. D., & Schwann, G. M. (2003). Appraisal smoothing and price discovery in real estate market. Urban Studies, 40, 1047–1064. https://doi.org/10.1080/0042098032000074317
   Web of Science ®Google Scholar
• Ghysels, E., Guerin, P., & Marcellino, M. (2014). Regime switches in the risk- return trade-off. Journal of Empirical Finance, 28, 118–138. https://doi.org/10.1016/j.jempfin.2014.06.007
   Web of Science ®Google Scholar
• Ghysels, E., Santa-Clara, P., & Valkanov, R. (2005). There is a risk-return trade-off after all. Journal of Financial Economics, 76, 509–548. https://doi.org/10.1016/j.jfineco.2004.03.008
   Web of Science ®Google Scholar
• Glaeser, E. L., & Gyourko, J. (2010). Arbitrage in housing markets. In E. L. Glaeser & J. M. Quigley (Eds.), Housing markets and the economy: Risk, regulation, and policy: Essays in Honor of Karl Case (pp. 113–148). Lincoln Land Institute of Land Policy.
   Google Scholar
• Glaeser, E. L., Gyourko, J., Morales, E., & Nathanson, C. G. (2014). Housing dynamics: An urban approach. Journal of Urban Economics, 81, 45–56. https://doi.org/10.1016/j.jue.2014.02.003
   Web of Science ®Google Scholar
• Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48, 1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
   Web of Science ®Google Scholar
• Giroud, X., & Mueller, H. M. (2017). Firm leverage, consumer demand, and employment losses during the great recession. The Quarterly Journal of Economics, 132, 271–316. https://doi.org/10.1093/qje/qjw035
   Web of Science ®Google Scholar
• Giroud, X., & Mueller, H. M. (2019). Firms’ internal networks and local economic shocks. American Economic Review, 109, 3617–3649. https://doi.org/10.1257/aer.20170346
   Web of Science ®Google Scholar
• Guo, S., & Hardin, W. G., III. (2017). Financial and housing wealth, expenditures and the dividend to ownership. The Journal of Real Estate Finance and Economics, 54, 58–96. https://doi.org/10.1007/s11146-015-9540-1
   Web of Science ®Google Scholar
• Guo, H., & Whitelaw, R. F. (2006). Uncovering the risk-return relation in the stock market. The Journal of Finance, 61, 1433–1463. https://doi.org/10.1111/j.1540-6261.2006.00877.x
   Web of Science ®Google Scholar
• Guo, X., Zheng, S., Geltner, D., & Liu, H. (2014). A new approach for constructing home price indices: The pseudo repeat sales model and its application in China. Journal of Housing Economics, 25, 20–38. https://doi.org/10.1016/j.jhe.2014.01.005
   Web of Science ®Google Scholar
• Han, L. (2008). Hedging house price risk in the presence of lumpy transaction costs. Journal of Urban Economics, 64, 270–287. https://doi.org/10.1016/j.jue.2008.01.002
   Web of Science ®Google Scholar
• Han, L. (2010). The effects of price uncertainty on housing demand: Empirical evidence from the U.S. markets. Review of Financial Studies, 23, 3889–3928. https://doi.org/10.1093/rfs/hhq088
   Web of Science ®Google Scholar
• Han, L. (2013). Understanding the puzzling risk-return relationship for housing. Review of Financial Studies, 26, 877–928. https://doi.org/10.1093/rfs/hhs181
   Web of Science ®Google Scholar
• Jiang, X., & Lee, B. S. (2014). The intertemporal risk-return relation: A bivariate model approach. Journal of Financial Markets, 18, 158–181. https://doi.org/10.1016/j.finmar.2013.02.002
   Web of Science ®Google Scholar
• Jorda, O., Knoll, K., Kuvshinov, D., Schularick, M., & Taylor, A. M. (2019). The rate of return on everything, 1870–2015. The Quarterly Journal of Economics, 134, 1225–1298. https://doi.org/10.1093/qje/qjz012
   Web of Science ®Google Scholar
• Kaplan, G., Mitman, K., & Violante, G. L. (2020). Non-durable consumption and housing net worth in the Great Recession: Evidence from easily accessible data. Journal of Public Economics, 189, Article 104176. https://doi.org/10.1016/j.jpubeco.2020.104176
   Google Scholar
• Karoglou, M., Morley, B., & Thomas, D. (2013). Risk and structural instability in US house prices. The Journal of Real Estate Finance and Economics, 46, 424–436. https://doi.org/10.1007/s11146-011-9332-1
   Web of Science ®Google Scholar
• Lanne, M., & Saikkonen, P. (2006). Why is it so difficult to uncover the risk-return tradeoff in stock returns? Economics Letters, 92, 118–125. https://doi.org/10.1016/j.econlet.2006.01.029
   Web of Science ®Google Scholar
• Lee, C. L. (2017). An examination of the risk-return relation in the Australian housing market. International Journal of Housing Markets and Analysis, 10, 431–449. https://doi.org/10.1108/IJHMA-07-2016-0052
   Web of Science ®Google Scholar
• Lin, P. T. (2019). Mind the gap: The nature of housing markets. Australian National University.
   Google Scholar
• Lin, P. T., & Fuerst, F. (2014). Volatility clustering, risk-return relationship, and asymmetric adjustment in the Canadian housing market. Journal of Real Estate Portfolio Management, 20, 37–46. https://doi.org/10.1080/10835547.2014.12089961
   Google Scholar
• Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47, 13–37. https://doi.org/10.2307/1924119
   Web of Science ®Google Scholar
• Liu, X. (2017). Unfolded risk-return trade-offs and links to macroeconomic dynamics. Journal of Banking & Finance, 82, 1–19. https://doi.org/10.1016/j.jbankfin.2017.04.015
   Web of Science ®Google Scholar
• Loutskina, E., & Strahan, P. E. (2015). Financial integration, housing, and economic volatility. Journal of Financial Economics, 115, 25–41. https://doi.org/10.1016/j.jfineco.2014.09.009
   Web of Science ®Google Scholar
• Lundblad, C. (2007). The risk return tradeoff in the long run: 1836–2003. Journal of Financial Economics, 85, 123–150. https://doi.org/10.1016/j.jfineco.2006.06.003
   Web of Science ®Google Scholar
• Meen, G. P. (1999). Regional house prices and the ripple effect: A new interpretation. Housing Studies, 14, 733–753. https://doi.org/10.1080/02673039982524
   Web of Science ®Google Scholar
• Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41, 867–887. https://doi.org/10.2307/1913811
   Web of Science ®Google Scholar
• Merton, R. C. (1980). On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics, 8, 323–361. https://doi.org/10.1016/0304-405X(80)90007-0
   Web of Science ®Google Scholar
• Mian, A., Sufi, A., & Trebbi, F. (2015). Foreclosures, house prices, and the real economy. The Journal of Finance, 70, 2587–2634. https://doi.org/10.1111/jofi.12310
   Web of Science ®Google Scholar
• Miles, W. (2008). Volatility clustering in U.S. home prices. Journal of Real Estate Research, 30, 73–90. https://doi.org/10.1080/10835547.2008.12091211
   Web of Science ®Google Scholar
• Miles, W. (2011). Clustering in U.K. home price volatility. Journal of Housing Research, 20, 87–101. https://doi.org/10.1080/10835547.2011.12092031
   Google Scholar
• Morley, B., & Thomas, D. (2011). Risk-return relationships and asymmetric adjustment in the UK housing market. Applied Financial Economics, 21, 735–742. https://doi.org/10.1080/09603107.2010.535782
   Google Scholar
• Morley, B., & Thomas, D. (2016). An empirical analysis of UK house price risk variation by property type. Review of Economics and Finance, 6, 45–56.
   Google Scholar
• Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347–370. https://doi.org/10.2307/2938260
   Web of Science ®Google Scholar
• Nyberg, H. (2012). Risk-return tradeoff in U.S. stock returns over the business cycle. Journal of Financial and Quantitative Analysis, 47, 137–158. https://doi.org/10.1017/S0022109011000615
   Web of Science ®Google Scholar
• OECD, Eurostat, International Labour Organization, International Monetary Fund, The World Bank, & United Nations Economic Commission for Europe. (2013). Repeat sales methods. In Handbook on Residential Property Price Indices. OECD. https://doi.org/10.1787/9789264197183-8-en.
   Google Scholar
• Ortalo-Magne, F., & Rady, S. (2002). Tenure choice and the riskiness of non-housing consumption. Journal of Housing Economics, 11, 226–279. https://doi.org/10.1016/S1051-1377(02)00100-6
   Web of Science ®Google Scholar
• Paciorek, A. (2013). Supply constraints and housing market dynamics. Journal of Urban Economics, 77, 11–26. https://doi.org/10.1016/j.jue.2013.04.001
   Web of Science ®Google Scholar
• Pastor, L., Sinha, M., & Swaminathan, B. (2008). Estimating the intertemporal risk-return tradeoff using the implied cost of capital. The Journal of Finance, 63, 2859–2897. https://doi.org/10.1111/j.1540-6261.2008.01415.x
   Web of Science ®Google Scholar
• Roll, R. (1977). A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4, 129–176. https://doi.org/10.1016/0304-405X(77)90009-5
   Web of Science ®Google Scholar
• Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13, 341–360. https://doi.org/10.1016/0022-0531(76)90046-6
   Web of Science ®Google Scholar
• Rossi, A. G., & Timmermann, A. (2015). Modeling covariance risk in Merton’s ICAPM. The Review of Financial Studies, 28, 1428–1461. https://doi.org/10.1093/rfs/hhv015
   Web of Science ®Google Scholar
• Salvador, E., Floros, C., & Arago, V. (2014). Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off? Journal of Empirical Finance, 28, 60–77. https://doi.org/10.1016/j.jempfin.2014.05.004
   Web of Science ®Google Scholar
• Scruggs, J. T. (1998). Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach. The Journal of Finance, 53, 575–603. https://doi.org/10.1111/0022-1082.235793
   Web of Science ®Google Scholar
• Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19, 425–442.
   Web of Science ®Google Scholar
• Shiller, R. J. (2015). Irrational exuberance (3rd ed.). Princeton University Press.
   Google Scholar
• Sinai, T., & Souleles, N. (2005). Owner occupied housing as a hedge against rent risk. Quarterly Journal of Economics, 120, 763–789. https://doi.org/10.1162/0033553053970197
   Web of Science ®Google Scholar
• Tsai, I.-C. (2013). Housing affordability, self-occupancy housing demand and housing price dynamics. Habitat International, 40, 73–81. https://doi.org/10.1016/j.habitatint.2013.02.006
   Web of Science ®Google Scholar
• Tsai, I.-C. (2014). Ripple effect in house prices and trading volume in the UK housing market: New viewpoint and evidence. Economic Modelling, 40, 68–75. https://doi.org/10.1016/j.econmod.2014.03.026
   Web of Science ®Google Scholar
• Tsai, I.-C. (2015). Spillover effect between the regional and the national housing markets in the UK. Regional Studies, 49, 1957–1976. https://doi.org/10.1080/00343404.2014.883599
   Web of Science ®Google Scholar
• Wang, L. (2005). On the intertemporal risk-return relation: A Bayesian model comparison perspective. https://ink.library.smu.edu.sg/lkcsb_research/2768/
   Google Scholar
• Willcocks, G. (2010). Conditional variances in UK regional house prices. Spatial Economic Analysis, 5, 339–354. https://doi.org/10.1080/17421772.2010.493951
   Web of Science ®Google Scholar
• Yang, Z., Fan, Y., & Zhao, L. (2018). A reexamination of housing price and household consumption in China: The dual role of housing consumption and housing investment. The Journal of Real Estate Finance and Economics, 56, 472–499. https://doi.org/10.1007/s11146-017-9648-6
   Web of Science ®Google Scholar
• Yu, J., & Yuan, Y. (2011). Investor sentiment and the mean-variance relation. Journal of Financial Economics, 100, 367–381. https://doi.org/10.1016/j.jfineco.2010.10.011
   Web of Science ®Google Scholar
• Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18, 931–955. https://doi.org/10.1016/0165-1889(94)90039-6
   Web of Science ®Google Scholar
• Zhou, Z. (2016). Overreaction to policy changes in the housing market: Evidence from Shanghai. Regional Science and Urban Economics, 58, 26–41. https://doi.org/10.1016/j.regsciurbeco.2016.02.004
   Web of Science ®Google Scholar