发表状态 | 已发表Published |
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
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ISSN/eISSN | 1051-1377 |
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 |
DOI | 10.1016/j.jhe.2018.06.003 |
URL | 查看来源 |
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 | |
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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