|
Archive@NYU >
Stern School of Business >
Finance Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27228
|
| Title: | Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective |
| Authors: | Nieuwerburgh, Stijn Van |
| Issue Date: | 25-Aug-2003 |
| Series/Report no.: | FIN-03-024 |
| Abstract: | In a model with housing collateral, the ratio of housing wealth to human
wealth shifts the conditional disibution 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 US, 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 eighty
percent of the cross-sectional variation in annual size and
book-to-market portfolio returns. |
| URI: | http://hdl.handle.net/2451/27228 |
| Appears in Collections: | Finance Working Papers
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
