Artikel
Spreads and volatility in house returns
Underlying idiosyncratic and illiquidity risks are suppressed in infrequently reported indexes of house prices and rents. Idiosyncratic risks result from bid-ask spreads for prices and rents. Time series autocovariances generate a distribution of prices and rents. Capital gains and rent-price ratios are transforms of these distributions, generating cross-sectional idiosyncratic volatility. Housing data are infrequent and usually made available every month. The monthly-quarterly volatility ratios of house prices and rents and their spreads estimate unobserved daily fluctuations and illiquidity risks. Including idiosyncratic and illiquidity risks, a U.S. house has a standard deviation in returns of 8.7% annually for three decades after 1990. With a mean excess return of 3.7%, the Sharpe ratio of 0.42 is comparable to the S&P 500. Excluding spreads, the house Sharpe ratio is 0.69. House returns respond to liquidity. A 1% increase in volume raises returns by 0.8%.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 8 ; Pages: 1-16
- Klassifikation
-
Management
- Thema
-
volatility
bid–
ask spreads
house returns
idiosyncratic risk
illiquidity
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chinloy, Peter
Jiang, Cheng
John, Kose
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2022
- DOI
-
doi:10.3390/jrfm15080369
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chinloy, Peter
- Jiang, Cheng
- John, Kose
- MDPI
Entstanden
- 2022
Ähnliche Objekte (12)
Stochastic volatility and GARCH: Do squared end-of-day returns provide similar information?
Asymmetric return and volatility transmission in conventional and Islamic equities
The volatility of the "green" option-adjusted spread: Evidence before and during the pandemic period
Volatility spillovers among cryptocurrencies
Persistence of bank credit default swap spreads
Credit spreads, business conditions, and expected corporate bond returns
Trading activities and the volatility of return on Malaysian crude palm oil futures
How does the volatility of volatility depend on volatility?
Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Private sector credit and inflation volatility
Volatility forecast in crises and expansions
News-driven expectations and volatility clustering
Stochastic volatility and GARCH: Do squared end-of-day returns provide similar information?
Asymmetric return and volatility transmission in conventional and Islamic equities
The volatility of the "green" option-adjusted spread: Evidence before and during the pandemic period
Volatility spillovers among cryptocurrencies
Persistence of bank credit default swap spreads
Credit spreads, business conditions, and expected corporate bond returns
Trading activities and the volatility of return on Malaysian crude palm oil futures
How does the volatility of volatility depend on volatility?
Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Private sector credit and inflation volatility
Volatility forecast in crises and expansions
News-driven expectations and volatility clustering
Stochastic volatility and GARCH: Do squared end-of-day returns provide similar information?
Asymmetric return and volatility transmission in conventional and Islamic equities
The volatility of the "green" option-adjusted spread: Evidence before and during the pandemic period
Volatility spillovers among cryptocurrencies
Persistence of bank credit default swap spreads
Credit spreads, business conditions, and expected corporate bond returns
Trading activities and the volatility of return on Malaysian crude palm oil futures
How does the volatility of volatility depend on volatility?
Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Private sector credit and inflation volatility
Volatility forecast in crises and expansions