Chinloy, Peter; Jiang, Cheng; John, Kose - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-16
Underlying idiosyncratic and illiquidity risks are suppressed in infrequently reported indexes of house prices and … ratios of house prices and rents and their spreads estimate unobserved daily fluctuations and illiquidity risks. Including … idiosyncratic and illiquidity risks, a U.S. house has a standard deviation in returns of 8.7% annually for three decades after 1990 …