This paper studies the idiosyncratic risk component of individual house capital gains using data on resales and intermediate capital investments. The idiosyncratic component is large; its dynamics do not follow a random walk; and its magnitude is associated with proxies of information quality and market liquidity at the level of individual properties. Accounting for idiosyncratic risk substantially changes the assessment of the risk-return trade-off for housing: it reduces Sharpe ratios and makes them holding period dependent. I use a simple quantitative portfolio model to show that homeowners may be willing to make significant payments to insure against idiosyncratic housing risk.

中文翻译：

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房地产市场的特殊风险

本文使用转售和中间资本投资数据研究了个别房屋资本收益的特殊风险成分。异质成分很大；它的动态不遵循随机游走；它的大小与单个资产层面的信息质量和市场流动性的代理有关。考虑到特殊风险，极大地改变了对住房风险回报权衡的评估：它降低了夏普比率，并使它们依赖于持有期。我使用了一个简单的量化投资组合模型来表明房主可能愿意支付大笔费用以应对特殊的住房风险。