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Subject: search.filters.subject.time-varying risk

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    Risk and regulation in water utilities : a cross-country comparison of evidence from the CAPM
    (2015-04) Buckland, Roger; Beecher, Janice; Williams, Julian; University of Aberdeen.Centre for Energy Transition; University of Aberdeen.Accountancy
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    House prices and bubbles in New Zealand
    (2008-07) Fraser, Patricia; Hoesli, Martin Edward Ralph; McAlevey, Lynn; University of Aberdeen.Business School; University of Aberdeen.Accountancy
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    House prices, fundamentals and bubbles
    (2006-01-31T13:42:12Z) Black, Angela; Fraser, Patricia; Hoesli, Martin
    This paper studies actual (real) house prices relative to fundamental (real) house values. Such a focus is warranted since housing constitutes a large fraction of most household portfolios, and its characteristics are such that, in contrast to what prevails in financial markets, arbitrage will be limited and hence correction toward ‘true’ value is likely to be a prolonged process. Using UK data and a time-varying present value approach, our results preclude the existence of an explosive rational bubble due to non-fundamental factors. We further find that intrinsic bubbles have an important role to play in determining actual house prices although price dynamics appear to impact, particularly in periods of strong deviation from fundamental value. Price dynamics are found to by driven by momentum behaviour.