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Volatility in the Housing Market: Evidence on Risk and Return in theLondon Sub-market

1 Department of Finance, Swansea University, Bay Campus, Swansea SA1 8EN, UK
2 School of Economics, University of East Anglia, Norwich NR4 7TJ, UK

Special Issues: Volatility of Prices of Financial Assets

The impact of volatility in housing market analysis is reconsidered via examinaton ofthe risk-return relationship in the London housing market is examined. In addition to providing thefirst empirical results for the relationship between risk (as measured by volatility) and returns forthis submarket, the analysis offers a more general message to empiricists via a detailed and explicitevaluation of the impact of empirical design decisions upon inferences. In particular, the negativerisk-return relationship discussed frequently in the housing market literature is examined and shown todepend upon typically overlooked decisions concerning components of the empirical framework fromwhich statistical inferences are drawn.
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Keywords regional housing markets; risk analysis; volatility; rolling samples

Citation: Steve Cook, Duncan Watson. Volatility in the Housing Market: Evidence on Risk and Return in theLondon Sub-market. Quantitative Finance and Economics, 2017, 1(3): 272-287. doi: 10.3934/QFE.2017.3.272


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