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| Author: | Piazzesi, M. Schneider, M. Tuzel, S |
| Title: | Housing, consumption and asset pricing |
| Journal: | Journal of Financial Economics
2007 : MAR, VOL. 83:3, p. 531-569 |
| Index terms: | housing housing finance asset valuation consumption |
| Freeterms: | real estate |
| Language: | eng |
| Abstract: | The study introduces a consumption-based asset pricing model with housing. In the model, housing is considered both as an asset and as a consuption good. Households care about the composition of a consumption basket containing housing and other goods. That is why they are concerned about composition risk caused by fluctuation in the relative share of housing in their consumption basket. The model is calibrated to data on housing expenditures and nonhousing consumption. As a result, the riskless rate is low helping the model to improve the standard CCAPM. In addition, the study shows that the housing share is useful when forecasting the excess returns on stocks. |
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