House Prices and Systematic Risk: Evidence from Microdata

This article empirically tests whether individual houses' systematic risk, which is measured with their stock market betas, varies with their prices. An analysis of about 6 million repeat sales in the U.S. over the 2000-2015 period suggests that pricier houses tend to have lower stock market betas. This result is robust across time, holding-period duration and MSAs with different population and GDP growth rates, and remains significant when the model includes more stock market factors.