Residential Real Estate, Risk, Return and Diversification: Some Empirical Evidence
This paper outlines and applies a methodology for estimating and examining the variation in risk and return for individual homes. This is important because most households own individual properties and the risk and return profile of each of these may differ. We use large data sets of home prices and...
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| Published in | The journal of real estate finance and economics Vol. 59; no. 1; pp. 111 - 146 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
New York
Springer US
01.07.2019
Springer Nature B.V |
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| Abstract | This paper outlines and applies a methodology for estimating and examining the variation in risk and return for individual homes. This is important because most households own individual properties and the risk and return profile of each of these may differ. We use large data sets of home prices and rents for Sydney, Australia, from 2002-16, and estimate flexible smoothing spline hedonic models. These models are used to construct total returns—the sum of capital gains and the rental yield net of costs—for the homes in our data. We find that Sydney homes had, on average, both higher returns than shares and much lower risk. This gave them a far superior Sharpe ratio. Moreover, while we find that shares benefit to a greater extent from diversification than homes, the Sharpe ratio of a large portfolio of shares was still well below that of the average single home. Interestingly, we find that much of the variation in risk and return across properties can be explained by observable home characteristics. In particular houses had stronger returns than did apartments. |
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| AbstractList | This paper outlines and applies a methodology for estimating and examining the variation in risk and return for individual homes. This is important because most households own individual properties and the risk and return profile of each of these may differ. We use large data sets of home prices and rents for Sydney, Australia, from 2002-16, and estimate flexible smoothing spline hedonic models. These models are used to construct total returns—the sum of capital gains and the rental yield net of costs—for the homes in our data. We find that Sydney homes had, on average, both higher returns than shares and much lower risk. This gave them a far superior Sharpe ratio. Moreover, while we find that shares benefit to a greater extent from diversification than homes, the Sharpe ratio of a large portfolio of shares was still well below that of the average single home. Interestingly, we find that much of the variation in risk and return across properties can be explained by observable home characteristics. In particular houses had stronger returns than did apartments. |
| Author | Melser, Daniel Hill, Robert J. |
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| CitedBy_id | crossref_primary_10_1016_j_regsciurbeco_2017_05_007 crossref_primary_10_1016_j_habitatint_2023_102781 crossref_primary_10_1080_00343404_2024_2316831 crossref_primary_10_1108_IJHMA_07_2021_0082 crossref_primary_10_1007_s11146_021_09828_2 crossref_primary_10_2139_ssrn_4071335 crossref_primary_10_1007_s11146_021_09877_7 crossref_primary_10_1016_j_seps_2020_101001 |
| Cites_doi | 10.1198/016214504000000980 10.1111/j.1465-7295.2007.00110.x 10.1287/mnsc.9.2.277 10.15396/eres2016_146 10.1111/1540-6229.12057 10.1787/9789264197183-7-en 10.1111/j.1467-9868.2010.00749.x 10.1007/s11146-011-9360-x 10.1111/j.1540-6229.2007.00187.x 10.1016/j.regsciurbeco.2017.05.007 10.1111/1540-6229.12062 10.1016/j.jmoneco.2007.06.023 10.1016/j.jue.2006.07.007 10.1111/j.1080-8620.2004.00100.x 10.3905/jpm.1993.409441 10.1257/000282802760015775 10.1080/07350015.1998.10524770 10.1093/jeg/3.1.57 10.1111/1540-6229.00521 10.1016/j.regsciurbeco.2015.11.001 10.1016/j.jbankfin.2012.02.013 10.1023/B:REAL.0000035308.15346.0a 10.1016/S1051-1377(03)00003-2 10.1023/B:REAL.0000011153.04496.42 10.1017/CBO9780511755453 |
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| Copyright | Springer Science+Business Media, LLC, part of Springer Nature 2018 The Journal of Real Estate Finance and Economics is a copyright of Springer, (2018). All Rights Reserved. |
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| Keywords | Risk and return C43 Hedonic regression C23 G11 Diversification Residential real estate R30 |
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| SubjectTerms | Averages Capital gains Diversification Economic models Economics Economics and Finance Financial Services Households Housing prices Prices Real estate Regional/Spatial Science Rents Return on investment |
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| Title | Residential Real Estate, Risk, Return and Diversification: Some Empirical Evidence |
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