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Hedging House Price Risk in Norway

Henriksen, Adrian; Krolevetska, Yuliia
Master thesis
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2026390.pdf (2.045Mb)
Preliminary.pdf (1.460Mb)
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http://hdl.handle.net/11250/2577734
Utgivelsesdato
2018
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Samlinger
  • Master of Science [1116]
Sammendrag
In this paper, we empirically examine the effectiveness of housing futures for

homeowners in Oslo and try to answer the questions of whether housing futures should

be introduced in Norway. If an individual buys a house today at time t for a price S(i,t),

he will be exposed to fluctuations in the value for that house. By following the

methodology described in Bertus et al. (2008) and Schorno et al. (2014), we want to

see if we can hedge the risk of house price fluctuations for homeowners by introducing

futures on a housing index in Oslo. Since there are no actual housing futures available

in Oslo, we have used three different housing indices as a proxy for future returns and

as an underlying for hedging. The results of our analysis show that housing futures, on

the one hand, fail to decrease the variability of homeowners’ returns, and on the other

hand, are quite successful in increasing the actual returns of hedgers. This shows us

that housing futures, if introduced, can attract speculators but not people who actually

need housing derivatives to give away the risk. Therefore, we conclude that housing

futures should not be introduced in Norway for now, and future research is needed in

this area.

Key words: housing futures, house price risk, arithmetic repeat-sales house price index,

geometric repeat-sales house price index.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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