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.
| Original language | English |
|---|---|
| Publication date | 2023 |
| Number of pages | 46 |
| Publication status | Published - 2023 |
| Event | ASSA 2023 Annual Meeting - Hilton Riverside, New Orleans, United States Duration: 6 Jan 2023 → 8 Jan 2023 https://www.aeaweb.org/conference/2023 |
Conference
| Conference | ASSA 2023 Annual Meeting |
|---|---|
| Location | Hilton Riverside |
| Country/Territory | United States |
| City | New Orleans |
| Period | 06/01/2023 → 08/01/2023 |
| Internet address |
Keywords
- Capital gains
- Housing market
- Institutional investors
- Local markets
- Risk exposure
- Upside potential