TY - JOUR
T1 - Idiosyncratic Risk of House Prices
T2 - Evidence from 26 Million Home Sales
AU - Peng, Liang
AU - Thibodeau, Thomas G.
N1 - Publisher Copyright:
© 2016 American Real Estate and Urban Economics Association
PY - 2017/6/1
Y1 - 2017/6/1
N2 - 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.
AB - 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.
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U2 - 10.1111/1540-6229.12136
DO - 10.1111/1540-6229.12136
M3 - Article
AN - SCOPUS:84959115597
SN - 1080-8620
VL - 45
SP - 340
EP - 375
JO - Real Estate Economics
JF - Real Estate Economics
IS - 2
ER -