An Empirical Analysis of UK House Price Risk Variation by Property Type
Journal Title: Review of Economics & Finance - Year 2016, Vol 6, Issue 2
Abstract
This paper examines the different risk and return profiles of four different property types in England and Wales, both nationally and by region. The property types include flats, terraced houses, semi-detached and detached houses. Motivated by the ICAPM approach of Scruggs (1998) and using an EGARCH in mean model, we find evidence of a positive risk-return relationship, with particular regard to terraced and semi-detached housing, as well as asymmetric adjustment, suggesting that mid-range housing is the property type most like other risk-based assets, which could be due to these property types being the most popular with buy-to-let investors. We also find that this relationship differs across property types, as has previously been found across regions.
Authors and Affiliations
Bruce Morley, Dennis Thomas
Keywords
Related Articles
- EP ID EP259356
- DOI -
- Views 92
- Downloads 0
Credit Scoring Models for a Tunisian Microfinance Institution: Comparison between Artificial Neural Network and Logistic Regression
This paper compares, for a microfinance institution, the performance of two individual classification models: Logistic Regression (Logit) and Multi-Layer Perceptron Neural Network (MLP), to evaluate the credit risk probl...
Why Has Wind Power Capacity Been Overinvested Under Uncertainty in China?
There are many uncertainties associated with the investment in wind power capacity in China. Nevertheless, wind capacity in China has been overinvested in the past several years and continues to be invested. This study a...
An Integrated Model for the Cost-Minimizing Funding of Corporate Activities over Time
To enhance the value of a firm, the firm’s management must attempt to minimize the total discounted cost of financing over a planning horizon. Unfortunately, the variety of sources of funds and the constraints that may b...
Hurdles to Exporting: A Decomposition of Fixed Export Costs
When firms enter a new foreign market, they not only face per-unit export costs such as tariff and transport costs, but also fixed export costs such as information and compliance costs that do not vary with export volume...
Remittances and the Redistributive Policy in Ghana: A Computable General Equilibrium Approach
This paper numerically explores the distributive policy for improving both welfare and income inequality with increased remittances in Ghana within a computable general equilibrium (CGE) framework. Our simulation results...