Betting on Homes *
Type
monograph
Date Issued
2023-09-27
Author(s)
Abstract
Betting on Homes 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 and downside risk, can explain the observed performance disparities.
Language
English (United States)
Keywords
Capital gains
housing market
institutional investors
local markets
risk exposure
upside potential
Pages
44
Subject(s)
Division(s)
File(s)![Thumbnail Image]()
Name
Betting_on_Homes.pdf
Size
876.54 KB
Format
Adobe PDF
Checksum (MD5)
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