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House Prices and Systematic Risk: Evidence from Microdata

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  • Liang Peng
  • Lei Zhang

Abstract

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.

Suggested Citation

  • Liang Peng & Lei Zhang, 2021. "House Prices and Systematic Risk: Evidence from Microdata," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1069-1092, December.
    • Handle: RePEc:bla:reesec:v:49:y:2021:i:4:p:1069-1092
    DOI: 10.1111/1540-6229.12277
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    1. Anelli, Debora & Tajani, Francesco, 2023. "Spatial decision support systems for effective ex-ante risk evaluation: An innovative model for improving the real estate redevelopment processes," Land Use Policy, Elsevier, vol. 128(C).

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