Housing Collateral, Consumption Insurance, And Risk Premia : An Empirical Perspective  

Oleh:

Lustig, Hanno N. ; Nieuwerburgh, Stijn G. Van

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 3 (Jun. 2005), page 1167-1220.
Topik: consumption; wealth; studies; mathematical models; ratios; risk; return on investment; housing; collateral
Fulltext: p 1167.pdf (310.61KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 convariance of returns with aggregate risk factors explains 80% of the cross - sectional variation in annual size and book - to - market portfolio returns.

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