An Empirical Analysis of UK House Price Risk Variation by Property Type

Bruce Morley, Dennis Thomas

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This paper examines the different risk and return profiles of four different property types in England and Wales, both nationally and by region. The property types include flats, terraced houses, semi-detached and detached houses. Motivated by the ICAPM approach of Scruggs (1998) and using an EGARCH in mean model, we find evidence of a positive risk-return relationship, with particular regard to terraced and semi-detached housing, as well as asymmetric adjustment, suggesting that mid-range housing is the property type most like other risk-based assets, which could be due to these property types being the most popular with buy-to-let investors. We also find that this relationship differs across property types, as has previously been found across regions.
Original languageEnglish
Pages (from-to)45-56
Number of pages12
JournalReview of Economics and Finance
Issue number2
Publication statusPublished - 2016


  • House Prices
  • Risk
  • asset pricing
  • asymmetric adjustment


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