Daniel Ruf

CERF Fellow of Cohort 2024 - 2026

Natural Hazard and Higher-Moment Idiosyncratic Risk Premia in Housing Markets

This paper examines the predictive power of idiosyncratic skewness and kurtosis on future returns in the U.S. zip-level housing market. A theoretical statistical framework highlights that the interaction between skewness and kurtosis introduces higher-moment risk to the housing market. Specifically, regions characterized by [low kurtosis, negative skewness] or [high kurtosis, positive skewness] idiosyncratic return profiles indicate the most pronounced higher-moment risk. Empirical evidence from portfolio sorting and Fama-MacBeth regression analyses confirms that these regions demand the highest compensating returns.