Idiosyncratic Risk in Housing Markets
利用房屋转售和中间资本投资数据，研究了个体住房资本收益的特质风险成分，发现其规模大、不遵循随机游走，且与信息质量和市场流动性相关，会显著改变住房的风险收益评估。
Abstract This paper studies the idiosyncratic risk component of individual house capital gains using data on resales and intermediate capital investments. The idiosyncratic component is large; its dynamics do not follow a random walk; and its magnitude is associated with proxies of information quality and market liquidity at the level of individual properties. Accounting for idiosyncratic risk substantially changes the assessment of the risk-return trade-off for housing: it reduces Sharpe ratios and makes them holding period dependent. I use a simple quantitative portfolio model to show that homeowners may be willing to make significant payments to insure against idiosyncratic housing risk.