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作者

来源

REAL ESTATE ECONOMICS,Vol.45,Issue2,P.340-375

语言

英文

关键字

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

作者单位

[Peng, Liang] Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USA. [Thibodeau, Thomas G.] Univ Colorado, Leeds Sch Business, Finance Div, 995 Regent Dr, Boulder, CO 80309 USA. Peng, L (reprint author), Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USA. E-Mail: liang.peng@psu.edu; tom.thibodeau@colorado.edu

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.