Intertemporal Risk-Return Relationship in Housing Markets
نویسندگان
چکیده
We empirically investigate the intertemporal risk-return relationship in U.S. housing market. Consistent with theoretical predictions Merton’s (1973) capital asset pricing model (ICAPM), national (regional) market displays a significantly positive between its conditional variance (covariance) and gains. Results provide empirical support for showing that risk-averse agents require higher returns to reward risk an framework.
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ژورنال
عنوان ژورنال: Journal of Real Estate Research
سال: 2022
ISSN: ['0896-5803', '2691-1175']
DOI: https://doi.org/10.1080/08965803.2021.2011560