This study employs an EGARCH-M model to determine whether regional house prices in the UK share any of the properties associated with assets such as equities. The results suggest there is some evidence of a positive risk-return relationship as well as evidence of asymmetric adjustment, implying housing should be treated similarly to other assets, with important implications for the pricing of risk by mortgage lenders. However there are differences across the regions, which can be partially explained by using London house prices as a determinant of other regional prices and incorporating interest rates into the model.
Morley, B., & Thomas, D. (2011). Risk-return relationships and asymmetric adjustment in the UK housing market. Applied Financial Economics, 21(10), 735-742. https://doi.org/10.1080/09603107.2010.535782