Housing, consumption and asset pricing

• 成果类型: Article
• 署名作者: Piazzesi, Monika; Schneider, Martin; Tuzel, Selale
• 署名单位: University of Chicago; New York University; University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.01.006
• 发表日期: 2007
• 页码: 531-569
• 关键词: housing; Real estate; Consumption-based asset pricing; Return predictability

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. (c) 2006 Elsevier B.V. All rights reserved.