Presidential Address: Housing Betas
发现股票和住房在十年持有期内的回报相关性在金融危机前后由负转正，而现金流增长正相关，这挑战了传统模型，并提出了一个通过信贷连接的分割市场模型来解释。
ABSTRACT This paper documents new stylized facts about returns and cashflow growth rates on stocks and housing over decade‐long holding periods. While cashflow growth rates on the two assets comove positively, their returns comove negatively until the Global Financial Crisis and positively thereafter. These facts present a puzzle for representative‐agent models that imply positive return comovement for assets with similar cashflows. I consider a heterogeneous‐agent model with segmented stock and housing markets connected through credit. News about the aggregate economy generates negative return comovement. Recent shifts such as wealthier homebuyers and institutional housing purchases reduce the importance of credit and segmentation.