Article ID Journal Published Year Pages File Type
962270 Journal of Housing Economics 2015 24 Pages PDF
Abstract
Eight consumption-based asset pricing models are developed, estimated and compared their capacities in accounting for the asset markets in Hong Kong. Results based on conventional metrics or recently developed econometric techniques deliver similar results: introducing housing into the consumption-based models does not always improve the models' performance; how it is introduced matters. Recursive utility model and its housing-augmented variant, which emphasize the importance of early resolution of uncertainty and long term risk, outperform alternative models in forecasting stock returns. Collateral constraint model outperforms in predicting housing return, suggesting the importance of imperfect capital market in the housing market.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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