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

[img]
Preview
PDF (QFE-01-00272) - Published Version
Available under License Creative Commons Attribution.

Download (756kB) | Preview

Abstract

The impact of volatility in housing market analysis is reconsidered via examination 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 05:06
Last Modified: 17 Nov 2020 00:49
URI: https://ueaeprints.uea.ac.uk/id/eprint/64943
DOI: 10.3934/QFE.2017.3.272

Actions (login required)

View Item View Item