-managed property prices. The risk factor used here is the US real estate index, which has much stronger explanatory power than the S … East Coast or West Coast cities have negative risk-adjusted returns (alpha), while a portfolio of all inland cities has … positive alpha. Second, a momentum strategy does not outperform the US real estate index on a transaction and risk …

This paper studies the role of time-varying risk premia as a channel for generating and propagating fluctuations in … driven by changing risk premia, which fluctuate endogenously in response to cyclical shocks, the financial market …

This paper studies the role of time-varying risk premia as a channel for generating and propagating fluctuations in … driven by changing risk premia, which fluctuate endogenously in response to cyclical shocks, the financial market …

previously considered in existing quantitative macro studies of housing finance: aggregate business cycle risk, and a realistic …, the boom in house prices is entirely the result of a decline in the housing risk premium. Third, low interest rates cannot …

considered in existing quantitative macro studies of housing finance: aggregate business cycle risk, and a realistic wealth … prices is entirely the result of a decline in the housing risk premium. Third, low interest rates cannot explain high home …

review indicates that the FHA will not need any form of government support. We identify four risk factors that make such a … accuracy of FHA risk assessment …

, and near-frictionless refinancing opportunities---led to vastly increased systemic risk in the financial system …