Asset Pricing with Spatial Interaction

• 成果类型: Article
• 署名作者: Kou, Steven; Peng, Xianhua; Zhong, Haowen
• 署名单位: National University of Singapore; National University of Singapore; Hong Kong University of Science & Technology; Columbia University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2627
• 发表日期: 2018
• 页码: 2083-2101
• 关键词: capital asset pricing model; arbitrage pricing theory; spatial interaction; Real estate; factor model; property derivatives; futures

摘要

We propose a spatial capital asset pricing model and a spatial arbitrage pricing theory (S-APT) that extend the classical asset pricing models by incorporating spatial interaction. We then apply the S- APT to study the comovements of eurozone stock indices (by extending the Fama-French factor model to regional stock indices) and the futures contracts on S&P/Case-Shiller Home Price Indices; in both cases, spatial interaction is significant and plays an important role in explaining cross-sectional correlation.