Housing risk and the cross section of returns across many asset classes
发现，基于住宅投资份额冲击的单因子模型能有力解释股票及其他资产类别中按特征排序的投资组合的预期收益，该份额捕捉了住房服务的时变需求，是经济状态变量。
Abstract This article documents that a single‐factor model based on shocks to the residential investment share, or the ratio of residential‐to‐nonresidential investment, exhibits strong explanatory power for expected returns across various characteristic‐sorted portfolios in equity and other asset classes. The residential investment share captures time‐varying demand for housing services and is a state variable of the economy. Consequently, innovations to the share emerge as a risk factor in asset prices in the cross section. The empirical results are robust to controlling for other factor models based on durable consumption, financial intermediaries, household heterogeneity, and return‐based multifactor models designed to price these assets.