Type

Working Paper

Authors

Richard Roll
Stuart A. Gabriel
John Cotter

Subjects

Economics

Topics
integration g10 r21 g12 g14 g11 housing risk diversification r12 housing returns

Can housing risk be diversified? A cautionary tale from the housing boom and bust (2014)

Abstract This study evaluates the effectiveness of geographic diversification in reducing housing investment risk. To characterize diversification potential, we estimate spatial correlation and integration among 401 US metropolitan housing markets. The 2000s boom brought a marked uptrend in housing market integration associated with eased residential lending standards and rapid growth in private mortgage securitization. As boom turned to bust, macro factors, including employment and income fundamentals, contributed importantly to the trending up in housing return integration. Portfolio simulations reveal substantially lower diversification potential and higher risk in the wake of increased market integration.
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Ireland -> University College Dublin -> Geary Institute
Ireland -> University College Dublin -> Geary Institute Working Papers

Full list of authors on original publication

Richard Roll, Stuart A. Gabriel, John Cotter

Experts in our system

1
Richard Roll
University College Dublin
Total Publications: 5
 
2
Stuart A. Gabriel
University College Dublin
Total Publications: 8
 
3
John Cotter
University College Dublin
Total Publications: 93