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Are Shocks to Housing Priced in the Cross-Section of Stock Returns?

policytensor
Aug 21, 2017
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In the previous post I argued that the risk premium on property is due to the fact that the marginal investor in housing is your average homeowner who finds it extraordinarily hard to diversify away the risk posed by her single-family home to her balance sheet. If I am right, this means that housing wealth is a systematic risk factor that ought to be pr…

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