کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069388 1373183 2014 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hedging house price risk with futures contracts after the bubble burst
ترجمه فارسی عنوان
هزینه ریسک قیمت خانه با قراردادهای آتی بعد از حباب
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- Dynamic hedging strategies do not effectively manage systematic house price risk.
- Minimum variance hedge ratios were suboptimal to a naïve hedge during the financial crisis.
- The inability to effectively hedge is one reason why real estate futures may never be successful.

This paper extends the existing literature on managing house price risk. While previous work finds that a hedger would have reduced a large amount of variance in housing returns in Las Vegas, Nevada using Chicago Mercantile Exchange (CME) futures contracts, we show that neither static nor dynamic strategies would have maintained an effective hedge during the significant decline in housing prices. The inability to hedge house price risk using CME futures contracts ultimately calls into question the long-term viability of housing futures.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 11, Issue 4, December 2014, Pages 332-340
نویسندگان
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