Time‐varying roles of housing risk factors in state‐level housing markets

MeiChi Huang

International Journal of Finance & Economics, 2022, vol. 27, issue 4, 4660-4683

Abstract: This paper addresses housing asset pricing and highlights time‐varying exposures of state‐level housing risk premiums to five varieties of housing risk factors. The economic, demographic, liquidity and credit risk factors along with a market risk factor are included in the augmented factor‐based framework, Bayesian Model Averaging with Stochastic Break Betas and Stochastic Break Volatility (BMA‐SBB‐SBV). Time‐varying sensitivities of state‐level housing price returns are universally evident for all the five housing risk factors considered. State‐level housing markets with high bubble‐vulnerability display different exposures to systematic and liquidity risks from those regarded as less‐vulnerable to housing bubbles. The trivial abnormal returns, high probabilities of risk factor inclusion and low probabilities of breaks in responses to housing risk factors jointly provide evidence that the augmented factor‐based model is capable of characterizing state‐level housing returns.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/ijfe.2393

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4660-4683

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().