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Cambridge Finance Workshop - John Cotter

Cambridge Finance Workshop Series are usually held on Thursdays during term time. The workshops are an opportunity for those working in finance to present their latest results or papers.
When Jun 11, 2015
from 01:00 PM to 02:00 PM
Where Room W4.03, Cambridge Judge Business School
Contact Name
Contact Phone 01223768129
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John Cotter is Professor in Finance and the Chair in Quantitative Finance at University College Dublin.

The paper title and abstract :

Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust

By

John Cotter, Stuart Gabriel and Richard Roll

 

ABSTRACT

This study evaluates the effectiveness of geographic diversification in reducing housing investment risk.  To characterize diversification potential, we estimate spatial correlation and integration among 401 US metropolitan housing markets.  The 2000s boom brought a marked uptrend in housing market integration associated with eased residential lending standards and rapid growth in private mortgage securitization.  As boom turned to bust, macro factors, including employment and income fundamentals, contributed importantly to the trending up in housing return integration.  Portfolio simulations reveal substantially lower diversification potential and higher risk in the wake of increased market integration.      

 



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