Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Time Varying Risk in U.S. Housing Sector and Real Estate Investment
  Trusts Equity Return   This study examines how housing sector volatilities affect real estate
investment trust (REIT) equity return in the United States. I argue that
unexpected changes in housing variables can be a source of aggregate housing
risk, and the first principal component extracted from the volatilities of U.S.
housing variables can predict the expected REIT equity returns. I propose and
construct a factor-based housing risk index as an additional factor in asset
price models that uses the time-varying conditional volatility of housing
variables within the U.S. housing sector. The findings show that the proposed
housing risk index is economically and theoretically consistent with the
risk-return relationship of the conditional Intertemporal Capital Asset Pricing
Model (ICAPM) of Merton (1973), which predicts an average maximum of 5.6
percent of risk premium in REIT equity return. In subsample analyses, the
positive relationship is not affected by sample periods' choice but shows
higher housing risk beta values for the 2009-18 sample period. The relationship
remains significant after controlling for VIX, Fama-French three factors, and a
broad set of macroeconomic and financial variables. Moreover, the proposed
housing beta also accurately forecasts U.S. macroeconomic and financial
conditions.

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The categories of this paper are: cmp-lg
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The categories of this paper are: patt-sol
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The categories of this paper are: solv-int
1
The categories of this paper are: cs
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The categories of this paper are: q-alg
21
The categories of this paper are: adap-org
9
The categories of this paper are: nlin
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The categories of this paper are: supr-con
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The categories of this paper are: math-ph
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The categories of this paper are: nucl-ex
2
The categories of this paper are: math
3
The categories of this paper are: physics
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The categories of this paper are: mtrl-th
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The categories of this paper are: plasm-ph
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The categories of this paper are: stat
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The categories of this paper are: eess