The pricing of systematic liquidity risks in housing market

IF 7 1区经济学 Q1 DEVELOPMENT STUDIES

Habitat International Pub Date : 2025-07-29 DOI:10.1016/j.habitatint.2025.103532

Junbeom Park , Hoon Cho , Hyeongjun Kim , Kabjin Kim , Jinhwan Kim

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引用次数: 0

Abstract

This study focuses on systematic liquidity risks in the private real estate market, one of the least liquid and most data-constrained asset classes. Under a liquidity-adjusted capital asset pricing model framework, we estimate the three types of systematic liquidity risks and market risk using the Korean housing market's high-quality data. From the cross-sectional regression model and estimated betas, we demonstrate that liquidity risk has a significant impact on the real estate market, even at the local level. Our result remains robust to the expanded research area and alternative market portfolio. A deeper analysis reveals heterogeneity in how liquidity risks affect different groups of investors. Specifically, older individuals tend to be less sensitive to liquidity risks, likely due to their lower debt burdens and focus on preparing for old age. Conversely, during unfavorable market conditions, liquidity becomes a critical consideration for investors, with greater value placed on properties that are easier to sell. This suggests that the perception of liquidity risk is highly contingent on both demographic factors and prevailing market conditions. Additionally, hedonic price model analysis confirms that properties with higher liquidity risk face price discounts. Our findings underline the importance of liquidity considerations in real estate investment and policy formulation.

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房地产市场系统性流动性风险的定价

本研究的重点是私人房地产市场的系统性流动性风险，这是流动性最差和数据约束最多的资产类别之一。在流动性调整后的资本资产定价模型框架下，我们利用韩国房地产市场的高质量数据估计了三种类型的系统性流动性风险和市场风险。从横截面回归模型和估计贝塔，我们证明流动性风险对房地产市场有显著的影响，甚至在地方层面。我们的研究成果在扩大的研究领域和替代市场组合中保持强劲。更深入的分析揭示了流动性风险对不同投资者群体影响的异质性。具体来说，老年人往往对流动性风险不那么敏感，这可能是由于他们的债务负担较低，并专注于为老年做准备。相反，在不利的市场条件下，流动性成为投资者的关键考虑因素，更容易出售的房产更有价值。这表明，流动性风险的感知高度取决于人口因素和现行市场条件。此外，享乐价格模型分析证实，流动性风险较高的房地产面临价格折扣。我们的研究结果强调了流动性因素在房地产投资和政策制定中的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Habitat International Multiple-

CiteScore

10.50

自引率

10.30%

发文量

151

审稿时长

38 days

期刊介绍： Habitat International is dedicated to the study of urban and rural human settlements: their planning, design, production and management. Its main focus is on urbanisation in its broadest sense in the developing world. However, increasingly the interrelationships and linkages between cities and towns in the developing and developed worlds are becoming apparent and solutions to the problems that result are urgently required. The economic, social, technological and political systems of the world are intertwined and changes in one region almost always affect other regions.