Understanding the Puzzling Risk-Return Relationship for Housing
研究了住房市场中风险与收益关系为何有时为正有时为负，发现当住房能对冲未来消费风险时，人们愿接受较低收益，从而削弱正向关系；在供给弹性小且人口增长的市场中，对冲激励足够强时关系会变负。
Standard theory predicts a positive relationship between risk and return, yet recent data show that housing returns vary positively with risk in some markets but negatively in others. This paper rationalizes these cross-market differences in the risk-return relationship for housing, and in so doing, explains the puzzling negative relationship. The paper shows that when the current house provides a hedge against the risk associated with the future housing consumption, households are willing to accept a lower return to compensate for risk, thus weakening the positive risk-return relationship. Further, in markets with less elastic housing supply and a growing population, hedging incentives can be sufficiently strong to make the relationship negative. The empirical analysis confirms these predictions, suggesting that hedging incentives, housing supply, and urban growth are indeed central to understanding the risk-return relationship for housing. The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.