Hedging house price risk with futures contracts after the bubble burst
||Swidler, Steve; Patrick Schorno, Michael Wittry
||Hedging house price risk with futures contracts after the bubble burst
||21st Annual European Real Estate Society Conference in Bucharest, Romania
||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.
Post discussion ...
||P: Real Estate Portfolio Management
These pages are best viewed with any standards compliant browser (e.g. Mozilla).