House Prices and Systematic Risk: Evidence from Microdata

Liang Peng and Lei Zhang

Real Estate Economics, 2021, vol. 49, issue 4, 1069-1092

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.

Date: 2021
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https://doi.org/10.1111/1540-6229.12277

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