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Paper eres2014_5:
Hedging house price risk with futures contracts after the bubble burst

id eres2014_5
authors Swidler, Steve; Patrick Schorno, Michael Wittry
year 2014
title Hedging house price risk with futures contracts after the bubble burst
source 21st Annual European Real Estate Society Conference in Bucharest, Romania
summary 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 a static in-sample strategy in 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 contracts ultimately calls into question the long-term viability of housing futures.
series ERES:conference
email swidler@auburn.edu
more http://library.eres.org/cgi-bin/rsa98.pl?conf=ERES2014&type=session&theme=P&slot=2770
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ratings
session P: Real Estate Portfolio Management
last changed 2014/10/21 21:51
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