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Hedging house price risk with futures contracts after the bubble burst

Patrick J. Schorno, Steve Swidler () and Michael Wittry ()

Finance Research Letters, 2014, vol. 11, issue 4, 332-340

Abstract: This paper extends the existing literature on managing house price risk. While previous work finds that a hedger would have reduced a large amount of variance in housing returns in Las Vegas, Nevada using Chicago Mercantile Exchange (CME) futures contracts, we show that neither static nor dynamic strategies would have maintained an effective hedge during the significant decline in housing prices. The inability to hedge house price risk using CME futures contracts ultimately calls into question the long-term viability of housing futures.

Keywords: Hedging; Residential real estate; Housing; Financial crisis (search for similar items in EconPapers)
JEL-codes: G01 G10 G13 R31 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/

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Handle: RePEc:eee:finlet:v:11:y:2014:i:4:p:332-340