Idiosyncratic Risk of House Prices: Evidence from 26 Million Home Sales

36 Pages Posted: 19 Apr 2017

See all articles by Liang Peng

Liang Peng

Smeal College of Business, The Pennsylvania State University

Thomas G. Thibodeau

University of Colorado at Boulder - Leeds School of Business

Date Written: Summer 2017

Abstract

This paper uses about 26 million home sales to measure house price idiosyncratic risk for 7,580 U.S. zip codes during three periods: (1) when the U.S. housing market was stable (1996–2000), (2) booming (2001–2007) and (3) busting (2007–2012), and investigates the determinants of house price risk. We find very strong relationships between risk and some basic housing market characteristics. There is a U‐shaped relationship between risk and zip‐code level median household income; risk is higher in zip codes with more appreciation volatility; and risk is not compensated with higher appreciation.

Suggested Citation

Peng, Liang and Thibodeau, Thomas G., Idiosyncratic Risk of House Prices: Evidence from 26 Million Home Sales (Summer 2017). Real Estate Economics, Vol. 45, Issue 2, pp. 340-375, 2017. Available at SSRN: https://ssrn.com/abstract=2954811 or http://dx.doi.org/10.1111/1540-6229.12136

Liang Peng (Contact Author)

Smeal College of Business, The Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

Thomas G. Thibodeau

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

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