题名

房價能否預測股票報酬？

并列篇名

Do Housing Prices Predict Stock Returns?

DOI

10.29628/AEP.200803.0004

作者

簡智崇(Chih-Chung Chien)；許耀文(Yao-Wen Hsu)；荷世平(S. Ping Ho)

关键词

消費基礎定價模型 ； 房價 ； 股票報酬 ； 流動性限制 ； 風險替代效果 ； Consumption-based capital asset pricing model ； Housing price ； Expected stock return ； Liquidity constraint ； Risk substitution effect

期刊名称

經濟論文

卷期/出版年月

36卷1期（2008 / 03 / 01）

页次

89 - 139

内容语文

繁體中文
中文摘要

房地產不僅提供居住服務，同時佔家計單位資產組合相當高的財富比例，其價格變動對家計單位投資、消費的決策有著深遠的影響。本文基於消費基礎資產定價模型，對台灣的總體資料以及個體家計單位資料進行實證，檢視房價變動是否會引起家計單位持股比例的改變，進而可用來預測股票報酬。 利用總體資料，我們檢視台灣整體新屋及中古屋房價變動的風險對總合消費以及不同類型股票風險溢酬的影響，結果發現新屋房價風險溢酬對價值型股票風險溢酬的預測比起中古屋房價風險溢酬更合乎消費基礎定價的觀點，隱含新屋房價風險、總合消費及價值型股票風險三者之間極可能存在高度的共變異性。 由個體的角度來解釋上述現象的成因，我們發現家計單位可能會因房價變動所引起的抵押擔保增強效果，增加持股的財富比例；同時也受到房價變動的風險替代效果，進而減少持股。
英文摘要

This paper combines the consumption-base asset pricing model with the risk premium of housing prices (i.e. new-house and second-hand-house price indices) to study whether housing prices predict the long-term expected stock return in Taiwan. We find that new-house price risk is an efficient instrument to predict the long-term expected return of value stocks because of the high covariance of new-house price risk, aggregate consumption and the risk premium of value stocks. Household data are used to examine how new-house price risk influences the expected return of value stocks. We also find that households tend to rebalance their shareholding because of both relaxed liquidity constraint and risk substitution effect caused by variation in housing prices.
主题分类 社會科學 > 經濟學
参考文献
  1. Ang, A.,G. Bekaert(2007).Stock Return Predictability: Is It There?.Review of Financial Studies,20,651-707.
  2. Boudoukh, J.,M. Richardson,R. Whitelaw(2005).The Myth of Long-Horizon Predictability.NBER Working Paper, No. 11841.
  3. Breeden, D. T.(1979).An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities.Journal of Financial Economics,7,265-296.
  4. Brueckner, J. K.(1997).Consumption and Investment Motives and the Portfolio Choices of Homeowners.Journal of Real Estate Finance and Economics,15,159-180.
  5. Campbell, J. Y.(2006).Household Finance.Journal of Finance,61,1553-1604.
  6. Campbell, J. Y.(1987).Stock Returns and the Term Structure.Journal of Financial Economics,18,373-399.
  7. Campbell, J. Y.,J. F. Cocco(2007).How Do House Prices Affect Consumption? Evidence from Micro Data.Journal of Monetary Economics,54,591-621.
  8. Campbell, J. Y.,J. H. Cochrane(2000).Explaining the Poor Performance of Consumption-Base Asset Pricing Models.Journal of Finance,55,2863-2878.
  9. Campbell, J. Y.,M. Yogo(2006).Efficient Tests of Stock Return Predictability.Journal of Financial Economics,81,27-60.
  10. Carroll, C. D.(1997).Buffer-Stock Saving and the Life-Cycle/Permanent Income Hypothesis.Quarterly Journal of Economics,112,1-55.
  11. Chetty, R.,A. Szeidl(2004).Consumption Commitments and Asset Prices.Working Paper, University of California.
  12. Cocco, J. F.(2005).Portfolio Choice in the Presence of Housing.Review of Financial Studies,18,535-567.
  13. Cochrane, J. H.(2006).The Dog That Did Not Bark: A Defense of Return Predictability.NBER Working Paper, No. 12026.
  14. Fama, E. F.,K. R. French(2001).Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?.Journal of Financial Economics,60,3-43.
  15. Fama, E. F.,K. R. French(1993).Common Risk Factor in the Returns on Stocks and Bonds.Journal of Financial Economics,33,3-56.
  16. Ferson, W. E.,S. Sarkissian,T. T. Simin(2003).Spurious Regressions in Financial Economics?.Journal of Finance,58,1393-1413.
  17. Flavin, M.,T. Yamashita(2002).Owner-Occupied Housing and the Composition of the Household Portfolio.American Economic Review,92,345-362.
  18. Goyal, A.,I. Welch(2003).Predicting the Equity Premium with Dividend Ratios.Management Science,49,639-654.
  19. Goyal, A.,I. Welch(2004).A Comprehensive Look at Empirical Performance of Equity Premium Prediction.NBER Working Paper, No. 10483.
  20. Hansen, L. P.,J. C. Heaton,N. Li(2005).Consumption Strikes Back?: Measure Long-Run Risk.NBER Working Paper, No. 11476.
  21. Hansen, P.,K. Singleton(1983).Stochastic Consumption, Risk-Aversion, and the Temporal Behavior of Asset Returns.Journal of Political Economy,91,249-265.
  22. Harris, J. C.(1989).The Effect of Real Rates of Interest on Housing Prices.Journal of Real Estate Finance and Economics,2,47-60.
  23. Kau, J. B.,D. C. Keenan(1981).On the Theory of Interest Rates, Consumer Durables and the Demand for Housing.Journal of Urban Economics,10,320-331.
  24. Lettau, M.,J. Watchter(2007).Why Is Long Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.Journal of Finance,62,55-92.
  25. Lettau, M.,S. C. Ludvigson(2005).Expected Returns and Expected Dividend Growth.Journal of Financial Economics,76,583-626.
  26. Lettau, M.,S. van Nieuwerburgh(2006).Reconciling the Return Predictability Evidence.NBER Working Paper, No. 12109.
  27. Lustig, H. N.,S. van Nieuwerburgh(2005).Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective.Journal of Finance,60,1167-1219.
  28. Lynch, A. W.(2001).Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability.Journal of Financial Economics,62,67-130.
  29. Phang, S. Y.(2004).House Prices and Aggregate Consumption: Do They Move Together? Evidence from Singapore.Journal of Housing Economics,13,101-119.
  30. Piazzesi, M.,M. Schneider,S. Tuzel(2007).Housing, Consumption, and Asset Pricing.Journal of Financial Economics,83,531-569.
  31. Sinai, T.,N. Souleles(2005).Owner-Occupied Housing as a Hedge against Rent Risk.Quarterly Journal of Economics,120,763-789.
  32. Stambaugh, R.(1999).Predictive Regressions.Journal of Financial Economics,54,375-421.
  33. Summers, L. H.(1981).Inflation, the Stock Market, and Owner-Occupied Housing.American Economic Review,71,429-434.
  34. Wheatley, S.(1988).Some Tests of International Equity Integration.Journal of Financial Economics,21,177-212.
  35. Yao, R.,H. H. Zhang(2005).Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints.Review of Financial Studies,18,197-239.
  36. Yogo, M.(2006).A Consumption-Based Explanation of Expected Stock Returns.Journal of Finance,61,539-580.
print cancel