| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12036 |
| 来源ID | Working Paper 12036 |
| Housing, Consumption, and Asset Pricing | |
| Monika Piazzesi; Martin Schneider; Selale Tuzel | |
| 发表日期 | 2006-02-13 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations in the relative share of housing in their consumption basket. Since the housing share moves slowly, a concern with composition risk induces low frequency movements in stock prices that are not driven by news about cash flow. Moreover, the model predicts that the housing share can be used to forecast excess returns on stocks. We document that this indeed true in the data. The presence of composition risk also implies that the riskless rate is low which further helps the model improve on the standard CCAPM. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w12036 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569689 |
| 推荐引用方式 GB/T 7714 | Monika Piazzesi,Martin Schneider,Selale Tuzel. Housing, Consumption, and Asset Pricing. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12036.pdf（451KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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