Risk-return relationships and asymmetric adjustment in the UK housing market

Bruce Morley, Dennis Thomas

Research output: Contribution to journalArticle

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Abstract

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.
Original languageEnglish
Pages (from-to)735-742
Number of pages8
JournalApplied Financial Economics
Volume21
Issue number10
Early online date12 Feb 2011
DOIs
Publication statusPublished - 2011

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