Long‐Term Growth in Housing Prices and Stock Returns
研究发现公司所在州的房价历史增长与其长期股票回报负相关，该效应稳健且无法被现有资产定价模型解释，对投资者和区域经济研究有参考价值。
A firm's long‐term stock returns are negatively related to past growth in housing prices in the state where the firm is located. The housing price effect is persistent and robust to controlling for the long‐term stock return reversal effect, changes in mortgage interest rates across the states, cyclicality in housing prices and overall local economic conditions. There is no evidence that extant asset pricing models can adequately explain the effect. The study discusses potential explanations for, and the implications of, the cross‐regional housing price effect.