Journal Title
Title of Journal: J Real Estate Finance Econ
|
Abbravation: The Journal of Real Estate Finance and Economics
|
|
|
|
|
|
|
|
Authors: Mark Bertus Harris Hollans Steve Swidler
Publish Date: 2008/07/05
Volume: 37, Issue: 3, Pages: 265-
Abstract
Until the recent introduction of real estate futures on the Chicago Mercantile Exchange CME there have been few opportunities to manage house price risk This paper examines whether house price risk can be effectively hedged in Las Vegas one of the CME contract cities The analysis considers hedging from the viewpoint of real estate investment groups mortgage portfolio investors builder/developers and individual homeowners For investment groups and mortgage holders holding a mix of new and existing home assets CME futures would have reduced house price risk by more than 88 over the 1994–2006 period Similarly homeowners implicitly hedging price volatility of existing homes also would have fared well over the sample period However builder/developers worried about new home price appreciation would have been much less successful in managing their risk One important caveat minimum variance hedge ratios change over time and may cause hedge performance to suffer
Keywords:
.
|
Other Papers In This Journal:
|