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Betting on homes

Author

Listed:
  • Fischer, Marcel
  • Füss, Roland
  • Ruf, Daniel
  • Stehle, Simon

Abstract

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.

Suggested Citation

  • Fischer, Marcel & Füss, Roland & Ruf, Daniel & Stehle, Simon, 2022. "Betting on homes," arqus Discussion Papers in Quantitative Tax Research 294, arqus - Arbeitskreis Quantitative Steuerlehre.
    • Handle: RePEc:zbw:arqudp:343578
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    References listed on IDEAS

    as
    1. Charles G. Nathanson & Eric Zwick, 2018. "Arrested Development: Theory and Evidence of Supply‐Side Speculation in the Housing Market," Journal of Finance, American Finance Association, vol. 73(6), pages 2587-2633, December.
    2. Liang Peng, 2016. "The Risk and Return of Commercial Real Estate: A Property Level Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 44(3), pages 555-583, July.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
    • R32 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other Spatial Production and Pricing Analysis

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