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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.58,Issue3,P.438-456

语言

英文

关键字

Housing market; Housing beta; Stock returns; Asset pricing; G01; G12; R31; REAL-ESTATE RETURNS; CONSUMPTION; MODEL; LIQUIDITY; MARKET; PORTFOLIOS; WEALTH

作者单位

[Baulkaran, Vishaal] Univ Lethbridge, Fac Management, Lethbridge, AB, Canada. [Jain, Pawan] Univ Wyoming, Coll Business, Laramie, WY 82071 USA. [Sunderman, Mark] Univ Memphis, Fogelman Coll Business & Econ, Dept Finance Insurance & Real Estate, Memphis, TN 38152 USA. Baulkaran, V (reprint author), Univ Lethbridge, Fac Management, Lethbridge, AB, Canada. E-Mail: vishaal.baulkaran@uleth.ca; pjain@uwyo.edu; msndrman@memphis.edu

摘要

This study proposes the housing beta and tests whether the housing beta is a significant determinant for stock returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the housing market on the overall economy and economic growth of most countries, as well as the effect of homes in the overall wealth of individual investors. The housing market directly affect GDP growth through residential fixed investment and housing services. In addition, the housing market indirectly impacts economic activities via consumption. Our results show that the housing beta is positive and significant in explaining stock returns after controlling several other factors from the prior literature. This relationship is stronger, as expected, during the financial crisis period. We conducted several robustness checks using a different study period and housing market indices and obtain results which are consistent with our main findings.