Betting on Homes

Marcel Fischer, Roland Füss, Daniel Ruf, Simon Stehle

Publikation: KonferencebidragPaperForskningpeer review

Abstract

In this paper, we analyze the differences in annualized capital gains across heterogeneous investor groups in the US housing market, namely owner-occupiers, private investors, as well as short- and long-term institutional investors. Our empirical results link the performance differences to heterogeneity in risk-taking. In particular, investor-specific exposure to lagged local return dispersion explains persistent performance differences of investors within a given market. Short-term institutional investors outperform others by exploiting the upside potential of local return dispersion. By contrast, neither macroeconomic fundamentals nor local factors, such as momentum, liquidity, and downside risk, can explain the observed performance disparities.
OriginalsprogEngelsk
Publikationsdato2023
Antal sider46
StatusUdgivet - 2023
BegivenhedASSA 2023 Annual Meeting - Hilton Riverside, New Orleans, USA
Varighed: 6 jan. 20238 jan. 2023
https://www.aeaweb.org/conference/2023

Konference

KonferenceASSA 2023 Annual Meeting
LokationHilton Riverside
Land/OmrådeUSA
ByNew Orleans
Periode06/01/202308/01/2023
Internetadresse

Emneord

  • Capital gains
  • Housing market
  • Institutional investors
  • Local markets
  • Risk exposure
  • Upside potential

Citationsformater