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Asset pricing and portfolio choice in the presence of housing .

机译：有住房的资产定价和投资组合选择。

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摘要

The portfolio decisions made by consumers have important implications for individual welfare and asset prices. This work addresses the frictions faced by consumers investing across asset classes and the implications those frictions have on asset prices. Specifically, I focus on the choice between housing and financial assets. Although there is a broad literature on returns to holding housing, standard structural models from the finance literature have largely been overlooked when pricing housing market returns. I argue in this line of work that by evaluating and pricing housing within the same frameworks in which equities and bonds are priced, we can better evaluate portfolio choices.;In addition to using financial economic theory to understand housing markets, we can use housing markets to gain a better understanding of other asset markets. Owner-occupied housing is unique in that it is traded in local markets, which are heterogeneous in their economic and demographic characteristics. This heterogeneity in the investor base is a source of variation from which to explore the link between asset prices and uncertainty in the expected future consumption flows of investors.;The first essay, "Pricing Housing Market Returns," finds the housing premium to be smaller than the equity premium. Using state-level data that spans the 1983 to 2006 period, I estimate the asset pricing Euler equations from the intertemporal consumption problem faced by a representative consumer with Epstein-Zin (EZ) preferences. EZ preferences allow the consumer to have a different level of aversion to variation in consumption across states of nature than to variation in consumption over time. The EZ Capital Asset Pricing Model captures a large proportion of the variation in housing returns over the sample period, and I find there to be heterogeneity in the structural parameter estimates across geographies. Controlling for the risk priced by the model and the consumption value of housing, I find that the housing premium is smaller than the equity premium. This result is surprising given that frictions, such as high transaction costs and borrowing constraints, affect the investor in housing more than the investor in equities. I examine institutional differences between the asset classes and find that some of the difference between the two premia may be related to differences in the tax treatment between the two asset classes.;The second essay, "Non-durable Consumption Volatility and Illiquid Assets," finds that factors beyond the volatility of asset payoffs may significantly affect the volatility of the agent's consumption stream. The empirical failure of consumption-based asset pricing models is often attributed to the lack of volatility in aggregate measures of consumption. However, I illustrate in this paper that frictions faced by agents may lead to much higher levels of volatility in individual consumption than we observe in the aggregate data. I identify five distinguishing characteristics of assets, and develop a life-cycle model of the consumer which incorporates these features. The consumer derives utility from non-durable consumption and stock in a risky asset: housing. A key feature of the model is that the housing adjustment costs are non-convex. These adjustment costs generate lumpy changes in the stock of the risky asset over the life-cycle. The model predicts that non-durable consumption volatility is increasing in both the ability to borrow against the assets held in the consumer's portfolio and in the illiquidity of the portfolio. Because the liquidity of the investor's portfolio may depend on the thinness of the housing market in which the investor resides, investors in different geographies may value the same asset differently.;The third essay, "Local and Global Risks in U.S. Housing Markets," finds that variation in the cross section of expected housing market returns is better explained by a local CAPM model than by a global CAPM model. Housing is unlike many other assets in that it is primarily traded in local markets. The 2000 U.S. Census indicates that over 66% of housing units are owner occupied. A housing return is the combination of a capital gain and a consumption flow. In the last 30 years in the United States, the consumption flow yield has accounted for approximately 69% of average real return to homeownership. Frictions that prevent owners from realizing the consumption flow, either directly or indirectly via renting the property, can significantly drive down the net real return received for owning the property. For mean-variance optimizing investors, relatively small investment costs (less than 3.5% annually) will prevent the investor from optimally investing in housing markets in which the investor doesn't reside. I propose two possible models for U.S. housing markets. The local CAPM assumes that only investors residing in the geographic region that constitutes market i invest in housing market i. The global CAPM assumes that investors who don't reside in the geographic region that constitutes market i have costless access to the assets in that market. I test the ability of these models to explain the cross section of expected real housing returns and find that smaller mean pricing errors are associated with the local model.
机译：消费者做出的投资组合决策对个人福利和资产价格具有重要影响。这项工作解决了消费者在资产类别上进行投资所面临的摩擦，以及这些摩擦对资产价格的影响。具体来说，我专注于住房和金融资产之间的选择。尽管有大量关于持有住房收益的文献，但是在对房地产市场收益进行定价时，金融文献中的标准结构模型却被大大忽略了。我认为在这方面的工作是，通过在对股票和债券定价的相同框架内对住房进行评估和定价，我们可以更好地评估投资组合的选择。除了使用金融经济学理论来理解住房市场之外，我们还可以利用住房市场以便更好地了解其他资产市场。自有住房的独特之处在于它在当地市场上交易，这些市场的经济和人口特征各不相同。投资者基础的这种异质性是变异的源泉，可以用来探讨资产价格与投资者预期的未来消费流中的不确定性之间的联系。第一篇文章“对住房市场收益进行定价”发现住房溢价较小比股权溢价。我使用从1983年到2006年这段时间的州级数据，根据具有爱泼斯坦-津（EZ）偏好的代表性消费者所面临的跨期消费问题，估计了资产定价的欧拉方程。 EZ偏好使消费者对跨自然状态的消费变化的厌恶程度不同于对时间变化的厌恶程度。 EZ资本资产定价模型涵盖了整个样本期内住房收益的很大一部分变化，而且我发现跨地区的结构参数估计存在异质性。通过控制模型所定价的风险和住房的消费价值，我发现住房溢价小于股权溢价。考虑到诸如高交易成本和借款约束之类的摩擦对住房投资者的影响比对股票投资者的影响更大，因此这一结果令人惊讶。我研究了资产类别之间的制度差异，发现两种溢价之间的某些差异可能与两种资产类别之间的税收待遇差异有关。第二篇文章，“非持久性消费波动性和非流动性资产”。发现资产收益率波动性以外的因素可能会极大地影响代理人消费流的波动性。基于消费的资产定价模型的经验失效通常归因于总体消费量度缺乏波动性。但是，我在本文中说明，与总数据相比，代理商所面临的摩擦可能导致个人消费的波动性高得多。我确定了资产的五个鲜明特征，并开发了包含这些特征的消费者生命周期模型。消费者从非耐久消费和风险资产（住房）中的存货中获得效用。该模型的主要特征是住房调整成本是非凸的。这些调整成本会在整个生命周期内使风险资产的存量产生大量变化。该模型预测，非持久性消费的波动性会增加从消费者投资组合中持有的资产进行借贷的能力以及投资组合的非流动性。因为投资者的投资组合的流动性可能取决于投资者所居住的住房市场的稀薄程度，所以不同地区的投资者对同一资产的价值可能会有所不同。第三篇论文“美国住房市场的本地和全球风险”发现与本地CAPM模型相比，本地CAPM模型可以更好地解释预期住房市场收益横截面的变化。住房与许多其他资产不同，因为它主要在当地市场交易。 2000年的美国人口普查表明，超过66％的住房单位是所有者占用的。住房收益是资本收益和消费流的结合。在过去的30年中，美国的消费流量收益约占平均实际房屋拥有收益的69％。阻碍所有者直接或间接通过租赁财产实现消费流的摩擦会大大降低拥有该财产所获得的净实际回报。对于均方差优化投资者，相对较低的投资成本（每年不到3.5％）将阻止投资者最佳地投资于其不居住的住房市场。我提出了两种针对美国住房市场的可能模型。本地CAPM假定只有居住在构成市场i的地理区域中的投资者才对房地产市场i进行投资。全球CAPM假定不居住在构成市场i的地理区域的投资者可以无成本地访问该市场中的资产。我测试了这些模型解释预期实际住房收益的横截面的能力，并发现较小的平均定价误差与本地模型有关。

著录项

  • 作者

    Sarama, Robert F., Jr.;

  • 作者单位

    The Ohio State University.;

  • 授予单位 The Ohio State University.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2010
  • 页码 126 p.
  • 总页数 126
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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