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题名Optimal portfolio choices and the determination of housing rents under housing market uncertainty
作者
发表日期2018-09-01
发表期刊Journal of Housing Economics
ISSN/eISSN1051-1377
卷号41页码:200-217
摘要

This study proposes a utility indifference-based model to investigate the pricing issue of house rents under housing market uncertainty. Our model not only allows for the crucial features in the housing market, such as market incompleteness and high idiosyncratic risk, but also the interaction of households’ house tenure choices with their financial asset holdings. Our model provides interesting insights into the hedging of house market risk and determination of housing rents. In addition to the parameters describing the expected changes and volatility on stock and house returns, we also show that individual precautionary savings motive, idiosyncratic risk premium, and the correlation between stock and housing have important implications for the determination of housing rents. We also test the model predictions empirically using the data from major Asian markets and the empirical results better support the model predictions.

关键词Incomplete markets Resale risk Reservation rent Tenure choice Utility maximization
DOI10.1016/j.jhe.2018.06.003
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收录类别SSCI
语种英语English
WOS研究方向Business & Economics ; Urban Studies
WOS类目Economics ; Urban Studies
WOS记录号WOS:000443671000015
Scopus入藏号2-s2.0-85049422913
引用统计
被引频次:4[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/12580
专题个人在本单位外知识产出
通讯作者Deng, Xiaoying
作者单位
1.School of Management,Guangzhou University,Guangzhou,230 Wai Huanxi Road, Guangzhou Higher Education Mega Center,China
2.School of Insurance & Collaborative Innovation Center of Financial Security,Southwestern University of Finance and Economics,Chengdu,55 Guanghuacun Street,China
3.School of Public Economics and Administration,Shanghai University of Finance and Economics,Shanghai,777 Guoding Road,China
4.Department of Real Estate,National University of Singapore,4 Architecture Drive,117566,Singapore
推荐引用方式
GB/T 7714
Fan, Gang-Zhi,Pu, Ming,Deng, Xiaoyinget al. Optimal portfolio choices and the determination of housing rents under housing market uncertainty[J]. Journal of Housing Economics, 2018, 41: 200-217.
APA Fan, Gang-Zhi, Pu, Ming, Deng, Xiaoying, & Ong, Seow Eng. (2018). Optimal portfolio choices and the determination of housing rents under housing market uncertainty. Journal of Housing Economics, 41, 200-217.
MLA Fan, Gang-Zhi,et al."Optimal portfolio choices and the determination of housing rents under housing market uncertainty". Journal of Housing Economics 41(2018): 200-217.
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