打印

作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.59,Issue1,P.111-146

语言

英文

关键字

Residential real estate; Hedonic regression; Risk and return; Diversification; EXCESS RETURNS; PRICE; MODEL; LAND

作者单位

[Melser, Daniel] Monash Univ, Melbourne, Vic 3800, Australia. [Hill, Robert J.] Karl Franzens Univ Graz, Univ Str 15-F4, A-8010 Graz, Austria. Melser, D (reprint author), Monash Univ, Melbourne, Vic 3800, Australia. E-Mail: daniel.melser@monash.edu; robert.hill@uni-graz.at

摘要

This paper outlines and applies a methodology for estimating and examining the variation in risk and return for individual homes. This is important because most households own individual properties and the risk and return profile of each of these may differ. We use large data sets of home prices and rents for Sydney, Australia, from 2002-16, and estimate flexible smoothing spline hedonic models. These models are used to construct total returnsthe sum of capital gains and the rental yield net of costsfor the homes in our data. We find that Sydney homes had, on average, both higher returns than shares and much lower risk. This gave them a far superior Sharpe ratio. Moreover, while we find that shares benefit to a greater extent from diversification than homes, the Sharpe ratio of a large portfolio of shares was still well below that of the average single home. Interestingly, we find that much of the variation in risk and return across properties can be explained by observable home characteristics. In particular houses had stronger returns than did apartments.