TY - JOUR
T1 - House Prices and Systematic Risk
T2 - Evidence from Microdata
AU - Peng, Liang
AU - Zhang, Lei
N1 - Funding Information:
The authors thank the Editor Abdullah Yavas, an anonymous referee, Kuang Kuang Deng and participants of the 2018 AREUEA international conference, and brownbag seminar participants at Penn State University for valuable comments. We thank Zillow Group for providing the housing data through the Zillow Transaction and Assessment Dataset (ZTRAX). More information on accessing the data can be found at http://www.zillow.com/ztrax. The results and opinions are those of the authors and do not reflect the position of Zillow Group. All errors are ours.
Publisher Copyright:
© 2019 American Real Estate and Urban Economics Association.
PY - 2021/12/1
Y1 - 2021/12/1
N2 - This article empirically tests whether individual houses’ systematic risk, which is measured with their stock market betas, varies with their prices. An analysis of about 6 million repeat sales in the U.S. over the 2000–2015 period suggests that pricier houses tend to have lower stock market betas. This result is robust across time, holding-period duration and MSAs with different population and GDP growth rates, and remains significant when the model includes more stock market factors.
AB - This article empirically tests whether individual houses’ systematic risk, which is measured with their stock market betas, varies with their prices. An analysis of about 6 million repeat sales in the U.S. over the 2000–2015 period suggests that pricier houses tend to have lower stock market betas. This result is robust across time, holding-period duration and MSAs with different population and GDP growth rates, and remains significant when the model includes more stock market factors.
UR - http://www.scopus.com/inward/record.url?scp=85062950672&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85062950672&partnerID=8YFLogxK
U2 - 10.1111/1540-6229.12277
DO - 10.1111/1540-6229.12277
M3 - Article
AN - SCOPUS:85062950672
SN - 1080-8620
VL - 49
SP - 1069
EP - 1092
JO - Real Estate Economics
JF - Real Estate Economics
IS - 4
ER -