Volatility in the housing market: Evidence on risk and return in the London sub-market

Steve Cook, Duncan Watson

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The impact of volatility in housing market analysis is reconsidered via examination of the risk-return relationship in the London housing market is examined. In addition to providing the first empirical results for the relationship between risk (as measured by volatility) and returns for this submarket, the analysis offers a more general message to empiricists via a detailed and explicit evaluation of the impact of empirical design decisions upon inferences. In particular, the negative risk-return relationship discussed frequently in the housing market literature is examined and shown to depend upon typically overlooked decisions concerning components of the empirical framework from which statistical inferences are drawn.
Original languageEnglish
Pages (from-to)272-287
Number of pages16
JournalQuantitative Finance and Economics
Issue number3
Publication statusPublished - 12 Oct 2017


  • Regional housing markets
  • Risk analysis
  • Volatility
  • Rolling samples

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