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Regional Disparity in House Prices and Its Effect on US Stock Returns

  • Jaesun Yun Keimyung University
This research investigates the impact of regional disparities in housing markets on future investment opportunities and equity returns. The study finds that regional disparity can predict negative future market returns, positive future volatility, and negative industrial production growth, indicating that widening gaps in housing markets foreshadow poor macroeconomic activities and difficult investment prospects. Additionally, in the US equity market, stocks with a negative correlation to regional disparity yield higher future returns, while those with a positive correlation yield lower returns. This relationship is not explained by Fama-French three or five-factor models, suggesting that investors may be willing to pay a premium for hedging portfolios to mitigate the risk associated with regional disparities in housing markets.

  • Jaesun Yun
This research investigates the impact of regional disparities in housing markets on future investment opportunities and equity returns. The study finds that regional disparity can predict negative future market returns, positive future volatility, and negative industrial production growth, indicating that widening gaps in housing markets foreshadow poor macroeconomic activities and difficult investment prospects. Additionally, in the US equity market, stocks with a negative correlation to regional disparity yield higher future returns, while those with a positive correlation yield lower returns. This relationship is not explained by Fama-French three or five-factor models, suggesting that investors may be willing to pay a premium for hedging portfolios to mitigate the risk associated with regional disparities in housing markets.
housing market,momentum,regional disparity,household credit,real business cycle