Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
通过住房抵押模型，发现住房财富与人力财富之比下降会预测股票回报上升，且该比率能解释80%的截面回报差异，对研究资产定价和宏观金融的学者有参考价值。
ABSTRACT In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk. Using aggregate data for the United States, we find that a decrease in the ratio of housing wealth to human wealth predicts higher returns on stocks. Conditional on this ratio, the covariance of returns with aggregate risk factors explains 80% of the cross‐sectional variation in annual size and book‐to‐market portfolio returns.