주택시장의 위험-수익률에 대한 횡단면 회귀분석

초록

In this study, the relationship between risk and return in the housing market is examined by the cross-sectional regression analysis. Analyzing the relationship between risk and return is a basic step to make a right investment decision. Generally, the studies analyzing the risk-return relationship in the stock market have been actively progressing; in contrast, a few studies in the housing market have been going on. To do this, we define three different types of risks: i) the standard deviation of the housing market return, ii) the housing betas estimated from the regressions of the housing return on the stock market return called KOSPI, the exposure risk of housing market to stock market iii) the covariance risk of individual housing return for risk premium on low price house(price×size). The study provides a lot of important findings on the asset-pricing features of the Korean housing marke; i) there is a positive relation between housing return and volatility ii) the housing beta does not explain the house return which is the fact that the money of stock market does not flow into the housing market iii) the covariance risk has no power to explain the cross-sectional average house return in the metropolitan areas such as Seoul, Kyunggido and Incheon. However, the risk has an effect on the non-metropolitan areas such as Kwangju, Busan, etc.

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