Volatility in the housing market: Evidence on risk and return in the London sub-market

Cook, Steve and Watson, Duncan (2017) Volatility in the housing market: Evidence on risk and return in the London sub-market. Quantitative Finance and Economics, 1 (3). pp. 272-287. ISSN 2573-0134

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      Abstract

      The impact of volatility in housing market analysis is reconsidered via examinaton of the risk-return relationship in the London housing market is examined. In addition to providing the first empirical results for the relationship between risk (as measured by volatility) and returns for this submarket, the analysis offers a more general message to empiricists via a detailed and explicit evaluation of the impact of empirical design decisions upon inferences. In particular, the negative risk-return relationship discussed frequently in the housing market literature is examined and shown to depend upon typically overlooked decisions concerning components of the empirical framework from which statistical inferences are drawn.

      Item Type: Article
      Uncontrolled Keywords: regional housing markets,risk analysis,volatility,rolling samples
      Faculty \ School: Faculty of Social Sciences > School of Economics
      Depositing User: Pure Connector
      Date Deposited: 22 Sep 2017 06:06
      Last Modified: 09 Apr 2019 12:36
      URI: https://ueaeprints.uea.ac.uk/id/eprint/64943
      DOI: 10.3934/QFE.2017.3.272

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