Optimal portfolio choices and the determination of housing rents under housing market uncertainty

《Optimal portfolio choices and the determination of housing rents under housing market uncertainty》

打印

关键字: Tenure choice; Resale risk; Reservation rent; Utility maximization; Incomplete markets; TENURE CHOICE; HOUSEHOLD PORTFOLIO; REAL-ESTATE; INDIFFERENCE PRICES; INCOMPLETE MARKETS; LEASE CONTRACTS; RISK; CONSUMPTION; VALUATION; INVESTMENT

作者单位: [Fan, Gang-Zhi] Guangzhou Univ, Sch Management, Guangzhou Higher Educ Mega Ctr, 230 Wai Huanxi Rd, Guangzhou, Guangdong, Peoples R China. [Pu, Ming] Southwestern Univ Finance & Econ, Sch Insurance, 55 Guanghuacun St, Chengdu, Sichuan, Peoples R China. [Pu, Ming] Southwestern Univ Finance & Econ, Collaborat Innovat Ctr Financial Secur, 55 Guanghuacun St, Chengdu, Sichuan, Peoples R China. [Deng, Xiaoying] Shanghai Univ Finance & Econ, Sch Publ Econ & Adm, 777 Guoding Rd, Shanghai, Peoples R China. [Ong, Seow Eng] Natl Univ Singapore, Dept Real Estate, 4 Architecture Dr, Singapore 117566, Singapore. Deng, XY (reprint author), Shanghai Univ Finance & Econ, Sch Publ Econ & Adm, 777 Guoding Rd, Shanghai, Peoples R China. E-Mail: fangz@gzhu.edu.cn; puming@swufe.edu.cn; deng.xiaoying@mail.shufe.edu.cn; rstongse@nus.edu.sg

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.