住房市场异质性风险的决定因素和变化证据

ASIAN DEVELOPMENT BANKTheADB Economics Working Paper Seriespresents research in progress to elicit commentsand encourage debate on development issuesin Asia and the Pacific. The views expressedare those of the authors and do not necessarilyreflect the views and policies of ADB orits Board of Governors or the governmentsthey represent.ADB Economics Working Paper SeriesEvidence on the Determinants and Variationof Idiosyncratic Risk in Housing MarketsLydia Cheung, Jaqueson K. Galimberti,and Philip VermeulenNo. 783 | May 2025 Lydia Cheung (lydia.p.cheung@aut.ac.nz) is a seniorlecturer at Auckland University of Technology.Jaqueson K. Galimberti (jgalimberti@adb.org)is an economist at the Economic Researchand Development Impact Department,Asian Development Bank. Philip Vermeulen(philip.vermeulen@canterbury.ac.nz) is a professorof economics at the University of Canterbury. Creative Commons Attribution 3.0 IGO license (CC BY 3.0 IGO)© 2025 Asian Development Bank6 ADB Avenue, Mandaluyong City, 1550 Metro Manila, PhilippinesTel +63 2 8632 4444; Fax +63 2 8636 2444Some rights reserved. Published in 2025.ISSN 2313-6537 (print), 2313-6545 (PDF)Publication Stock No. WPS250202-2DOI: http://dx.doi.org/10.22617/WPS250202-2The views expressed in this publication are those of the authors and do not necessarily reflect the views and policiesof the Asian Development Bank (ADB) or its Board of Governors or the governments they represent.ADB does not guarantee the accuracy of the data included in this publication and accepts no responsibility for anyconsequence of their use. The mention of specific companies or products of manufacturers does not imply that theyare endorsed or recommended by ADB in preference to others of a similar nature that are not mentioned.By making any designation of or reference to a particular territory or geographic area in this document, ADB does notintend to make any judgments as to the legal or other status of any territory or area.This publication is available under the Creative Commons Attribution 3.0 IGO license (CC BY 3.0 IGO)https://creativecommons.org/licenses/by/3.0/igo/. By using the content of this publication, you agree to be boundby the terms of this license. For attribution, translations, adaptations, and permissions, please read the provisionsand terms of use at https://www.adb.org/terms-use#openaccess.This CC license does not apply to non-ADB copyright materials in this publication. If the material is attributedto another source, please contact the copyright owner or publisher of that source for permission to reproduce it.ADB cannot be held liable for any claims that arise as a result of your use of the material.Please contact pubsmarketing@adb.org if you have questions or comments with respect to content, or if you wishto obtain copyright permission for your intended use that does not fall within these terms, or for permission to useCorrigenda to ADB publications may be found at http://www.adb.org/publications/corrigenda. www.adb.orgthe ADB logo. ABSTRACTUsing around 1 million repeat sales, we show idiosyncratic risk in real house priceappreciation is time-varying, depends negatively on the initial house price, varies acrosslocations, and decreases with the holding period.These systematic movements inidiosyncratic risk can be explained by time and regional variations in market thinnessand differences in information quality across markets.We find borrowing costs anddeposit requirements have offsetting effects on risk. Higher interest rates are associatedwith lower idiosyncratic pricing, while tighter deposit requirements are associated withshorter holding periods, which are subject to a higher risk. Finally, we find the systematicvariations in idiosyncratic housing risk tend to be positively associated with excesscapital returns. However, the risk–return trade-off emerges only through risk differencesacross house prices and holding periods, while idiosyncratic risk differences across timeand regions are not rewarded in excess capital returns.Keywords:idiosyncratic risk, house prices, housing marketsEarlier versions of this paper were presented at seminars at the Reserve Bank of New Zealand, AucklandUniversity of Technology, and the Asian Development Bank, and at the Asia Meeting of the EconometricSociety, East & Southeast Asia, and the American Real Estate and Urban Economics Association/AlliedSocial Sciences Association Annual Conference. We thank Marco Giacoletti for the discussion and otherparticipants at these presentations for helpful comments. This project received funds from the Faculty ofBusiness, Economics and Law, at Auckland University of Technology, which we gratefully acknowledge.The views expressed in this paper are those of the authors, and do not necessarily represent the views oftheir corresponding affiliated institutions. Corresponding author: Jaqueson K. Galimberti. Contact details:Asian Development Bank, 6 ADB Avenue, Mandaluyong City 1550, Metro Manila, Philippine