Betting on homes

Marcel Fischer, Roland Füss, Daniel Ruf and Simon Stehle

No 294, arqus Discussion Papers in Quantitative Tax Research from arqus - Arbeitskreis Quantitative Steuerlehre

Abstract: In this paper, we analyze the differences in annualized capital gains across heterogeneous investor groups in the US housing market, namely owner-occupiers, private investors, as well as short- and long-term institutional investors. Our empirical results link the performance differences to heterogeneity in risk-taking. In particular, investor-specific exposure to lagged local return dispersion explains persistent performance differences of investors within a given market. Short-term institutional investors outperform others by exploiting the upside potential of local return dispersion. By contrast, neither macroeconomic fundamentals nor local factors, such as momentum and downside risk, can explain the observed performance disparities.

Keywords: Capital gains; housing market; institutional investors; local markets; risk exposure; upside potential (search for similar items in EconPapers)
JEL-codes: R30 R32 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:arqudp:343578

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