Housing collateral, consumption insurance, and risk premia: An empirical perspective

• 成果类型: Article
• 署名作者: Lustig, HN; Van Nieuwerburgh, SG
• 署名单位: University of Chicago; National Bureau of Economic Research; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00759.x
• 发表日期: 2005
• 页码: 1167-1219
• 关键词: CROSS-SECTIONAL TEST; STOCHASTIC CONSUMPTION; equity premium; asset; returns; prices

摘要

In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk. Using aggregate data for the United States, we find that a decrease in the ratio of housing wealth to human wealth predicts higher returns on stocks. Conditional on this ratio, the covariance of returns with aggregate risk factors explains 80% of the cross-sectional variation in annual size and book-to-market portfolio returns.