An Intertemporal Capital Asset Pricing Model with Owner-Occupied Housing
在连续时间框架下研究自住住房同时作为消费品和风险资产时的投资组合选择与资产定价，发现市场组合非均值方差有效，传统CAPM失效，但住房回报和市场组合回报作为双因子的条件线性定价模型成立，且非耐用品消费与住房比率可预测金融资产回报。
This article studies portfolio choice and asset pricing in the presence of owner-occupied housing in a continuous time framework. The unique feature of the model is that housing is a consumption good as well as a risky asset. Under general conditions, that is, when the utility function is not Cobb–Douglas and the covariance matrix is not block-diagonal, the model shows that the market portfolio is not mean-variance efficient, and the traditional capital asset pricing model fails. Nonetheless, a conditional linear factor pricing model holds with housing return and market portfolio return as two risk factors. The model also predicts that the nondurable consumption-to-housing ratio (ch) can forecast financial asset returns. The two factor pricing model conditioning on ch yields a good cross-sectional fit for Fama–French 25 portfolios.