Housing risk and the cross section of returns across many asset classes

Sai Ma and Shaojun Zhang

Real Estate Economics, 2025, vol. 53, issue 2, 326-351

Abstract: This article documents that a single‐factor model based on shocks to the residential investment share, or the ratio of residential‐to‐nonresidential investment, exhibits strong explanatory power for expected returns across various characteristic‐sorted portfolios in equity and other asset classes. The residential investment share captures time‐varying demand for housing services and is a state variable of the economy. Consequently, innovations to the share emerge as a risk factor in asset prices in the cross section. The empirical results are robust to controlling for other factor models based on durable consumption, financial intermediaries, household heterogeneity, and return‐based multifactor models designed to price these assets.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/1540-6229.12519

Related works:
Working Paper: Housing Risk and the Cross-Section of Returns across Many Asset Classes (2020)
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:bla:reesec:v:53:y:2025:i:2:p:326-351

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1080-8620

Access Statistics for this article

Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous

More articles in Real Estate Economics from American Real Estate and Urban Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().