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1.
易行健  苏欣  周聪  杨碧云 《金融研究》2022,502(4):151-169
本文基于中国家庭金融调查数据,通过构建理论模型和实证检验分析了房价预期与家庭股市参与的关系,考察了行为金融偏差在房价预期影响股市参与过程中的作用,并根据背景风险、社会网络和户主特征进行异质性分析。结果表明:(1)房价上涨预期通过降低居民家庭的股票收益率预期和增加住房资产,进而降低居民家庭的股市参与概率和参与程度;(2)“心理账户”以及“有限关注”的存在显著弱化了房价上涨预期对家庭股市参与的负向作用;(3)房价上涨预期对股市参与概率和参与程度的负向作用在收入风险更高、健康状况更差、社会网络水平较低以及受教育程度偏低的家庭中更大。因此,稳定房价预期能够通过提升家庭股市参与,进而从需求角度促进股票市场的健康发展。  相似文献   

2.
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.  相似文献   

3.
This paper examines whether the housing wealth effect—the consumption change induced by house price appreciation is dependent upon households’ attitudes toward risk. A simple theoretical model is introduced to highlight a negative relationship between the wealth effect and risk aversion. The paper empirically tests for this negative relationship, using data from the U.S. Consumer Expenditure Survey. The investigation involves two steps. In the first step, we make use of households’ demographics and their risky and liquid asset holdings to estimate risk aversion. The Heckman correction model is applied to address the issue of limited stock market participation. For the second step, we construct pseudo panel data through grouping households by their birth years and their predicted values of risk aversion, and then, we estimate the responses of households’ consumption changes to house price fluctuations by risk-attitude group. Consistent with the prediction of the theoretical model, the estimation results suggest a significant negative relationship between the housing wealth effect and households’ risk attitudes. Households, who are less risk averse, experience greater consumption changes in response to house price appreciation.  相似文献   

4.
This article investigates a financial market in which investors may trade in risk-free bonds, stock and put options written on the stock. In each period, stock and option prices are simultaneously determined by market clearing. While the introduction of put options will decrease the systematic risk in the financial market, it will increase the price of risk. Investors with mean-variance preferences will generally hold portfolios containing the primary asset and the put option and may use the option to increase the risk in their wealth position in exchange for higher returns. Aggregate wealth is unaffected by an option market when there are no spillover effects on stock prices, and it is shown that short selling of options will increase the volatility of individual wealth positions. Investors with erroneous beliefs may on average be better off not trading in put options.  相似文献   

5.
In this paper we study a simple two-period asset pricing model to understand the implications of uninsurable labor income risk and/or borrowing constraints, limited stock market participation, heterogeneous labor income volatilities, and heterogeneous preferences. We appraise the performance of each of these in matching moments of asset returns to the data and show that limited stock market participation generates a significantly large equity premium. We also show that the distribution of wealth between stock market participants and non-participants plays an important role in asset pricing, and that the effect of borrowing constraints on asset returns are similar to that of limited participation. Finally, we discuss the practical implications of our investigation, providing an appraisal of ongoing changes in asset returns.  相似文献   

6.
The conditional covariance between aggregate stock returns and aggregate consumption growth varies substantially over time. When stock market wealth is high relative to consumption, both the conditional covariance and correlation are high. This pattern is consistent with the “composition effect,” where agents' consumption growth is more closely tied to stock returns when stock wealth is a larger share of total wealth. This variation can be used to test asset‐pricing models in which the price of consumption risk varies. After accounting for variations in this price, the relation between expected excess stock returns and the conditional covariance is negative.  相似文献   

7.
我国在2009年底推出的经济政策导致房价和物价不断攀升,央行虽然采取紧缩措施进行应对,但物价和房价仍处高位。对我国货币供给、通货膨胀及房地产之间关系进行理论和实证分析的结果显示:货币供给增加能引起物价和房价上涨;房价上涨能引起物价上涨等。因此,为了更好地应对物价波动,货币政策需关注资产价格,同时应谨慎使用货币政策应对资产泡沫,并密切注意货币流动结构,维持货币供给流向与实体经济发展相适应。  相似文献   

8.
ABSTRACT

We use quarterly data from Greece over the period 1997:1–2015:2 and investigate the dynamic linkages between the price of the real estate market and the price of the stock market focusing on two transmission mechanisms, namely the wealth and credit-price effects. The empirical analysis employs advanced methodological techniques and presents evidence supporting the existence of both the wealth effect and the credit effect in the long-run while in the short-run there is a one-way causal effect running from stock market towards house market. Results reveal asymmetric adjustment to equilibrium process and considerably stronger for positive deviations from the equilibrium.  相似文献   

9.
本文以2005年7月21日至2007年9月18日的中国股价与人民币兑美元的名义汇率数据,利用GARCH模型来探讨在这段时间内人民币汇率波动对中国股票价格报酬的影响。实证结果得知,在这段时间内人民币兑美元名义汇率波动是负向影响中国股票价格报酬的,也符合有价证券余额理论的主张;汇率市场对股票市场的影响在宏观决策中应予以高度重视。  相似文献   

10.
Consumption, Aggregate Wealth, and Expected Stock Returns   总被引:18,自引:0,他引:18  
This paper studies the role of fluctuations in the aggregate consumption–wealth ratio for predicting stock returns. Using U.S. quarterly stock market data, we find that these fluctuations in the consumption–wealth ratio are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the dividend payout ratio, and several other popular forecasting variables. Why should the consumption–wealth ratio forecast asset returns? We show that a wide class of optimal models of consumer behavior imply that the log consumption–aggregate wealth (human capital plus asset holdings) ratio summarizes expected returns on aggregate wealth, or the market portfolio. Although this ratio is not observable, we provide assumptions under which its important predictive components for future asset returns may be expressed in terms of observable variables, namely in terms of consumption, asset holdings and labor income. The framework implies that these variables are cointegrated, and that deviations from this shared trend summarize agents' expectations of future returns on the market portfolio.  相似文献   

11.
The paper empirically analyzes the dynamic relationship between Renminbi (RMB) real effective exchange rate and stock price with VAR and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models using monthly data from January 1991 to June 2009. The results show that there is not a stable long-term equilibrium relationship between RMB real effective exchange rate and stock price. There are also not mean spillovers between the foreign exchange and stock markets. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets using likelihood ratio statistic. There exist the bidirection volatility spillovers effects between the two markets, indicating the past innovations in stock market have the great effect on future volatility in foreign exchange market, and vice versa.  相似文献   

12.
Abstract:  In this study we analyze the effect of tick size on information-based trading. Although prior studies provide extensive evidence on the effect of tick size on market quality measures such as spreads, depths, and return volatility, there is little evidence as to the effect of tick size on the informational efficiency of asset price. Our results indicate that the probability of information-based trading during the post-decimal period is significantly greater than the corresponding figure during the pre-decimal period. We also show that the increase in information-based trading after decimalization cannot be attributed to concurrent changes in stock attributes. We interpret our findings as evidence that the smaller tick size under penny pricing encourages information-based trading and thereby raises the informational efficiency of asset price.  相似文献   

13.
We investigate the risk‐return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with the capital asset pricing model, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk‐return tradeoff in many countries after controlling for the (U.S.) consumption‐wealth ratio. U.S. realized variance is also significantly related to future international stock market returns; more importantly, it always subsumes the information content of its local counterparts. Our results indicate that stock market variance is an important determinant of the equity premium.  相似文献   

14.
运用状态空间模型和脉冲响应函数考量我国股票和房地产市场的财富效应进行了时变特征研究,结果表明,目前我国股票市场长期内具有稳定的微弱负向财富效应,而房地产市场长期内存在稳定的正向财富效应,房地产市场的财富效应要大于股票市场。同时,2011年末的欧债危机,对于这两种市场财富效应的影响十分微弱。鉴此,应逐步增加居民股票收益,保持房地产市场价格的平稳运行,努力提高居民收入水平。  相似文献   

15.
We examine whether the decision to participate in the stock market and other related portfolio decisions are influenced by income hedging motives. Economic theory predicts that the market participation propensity should increase as the correlation between income growth and stock market returns decreases. Surprisingly, empirical studies find limited support for the income hedging motive. Using a rich, unique Dutch data set and the National Longitudinal Survey of the Youth (NLSY) from the United States, we show that when the income-return correlation is low, individuals exhibit a greater propensity to participate in the market and allocate a larger proportion of their wealth to risky assets. Even when the income risk is high, individuals exhibit a higher propensity to participate in the market when the hedging potential is high. These findings suggest that income hedging is an important determinant of stock market participation and asset allocation decisions.  相似文献   

16.
廖慧  张敏 《投资研究》2012,(7):108-117
近年来,我国人民币汇率形成机制、股票市场和房地产市场发生了巨大变化,人民币汇率和股价、房价之间的信息传导和波动关联备受瞩目。本文采用VAR-MGARCH-BEKK模型,分析了我国人民币汇率、股价和房价之间的联动关系。研究结果表明,从波动的溢出效应来看,人民币汇率的波动率、股票价格的增长率和房地产价格的增长率之间存在非常明显的波动溢出效应;从资产价格的水平影响来看,人民币汇率与股票价格、房地产价格等国内资产价格的水平相关性较弱,而股票价格对房地产价格的影响较明显,并就该结论提出了相关的理论解释和政策建议。  相似文献   

17.
This paper develops a model of price formation in the housing market which accounts for the non-random selection of those dwellings sold on the market from the stock of existing houses. The model we develop also accounts for changes in the quality of dwellings themselves and tests for mean reversion in individual house prices. The model is applied to a unique body of data representing all dwellings sold in Sweden's largest metropolitan area during the period 1982–1999. The analysis compares house price indices that account for selectivity, quality change and mean reversion with the conventional repeat sales models used to describe the course of metropolitan housing prices. We find that the repeat sales method yields systematically large biased estimates of the value of the housing stock. Our comparison suggests that the more general approach to the estimation of housing prices or housing wealth yields substantially improved estimates of the course of housing prices and housing wealth.  相似文献   

18.
We construct a set of household‐level background risk variables to capture the covariance structure of three nonfinancial assets and two financial assets. These risks are in general statistically significant and economically important for a household's stock market participation and stockholdings. A one‐standard‐deviation increase in background risks reduces the participation probability by 11% and the stockholdings‐to‐wealth ratio by 4%. The volatilities of labor income, housing value, and business income reduce a household's participation and stockholdings. A household with labor income highly correlated with stock (bond) returns is less (more) likely to invest in stock.  相似文献   

19.
This paper develops a utility indifference model for evaluating various prices associated with forward transactions in the housing market, based on the equivalent principle of expected wealth utility derived from the forward and spot real estate markets. Our model results show that forward transactions in the housing market are probably not due to house sellers?? and buyers?? heterogeneity, but to their demand for hedging against house price risk. When the imperfections of real estate markets and the risk preferences of market participants are taken into consideration, we are able to show that the idiosyncratic risk premium, which mainly depends on the participants?? risk preferences and the correlation between the traded asset and the real estate, is a remarkable determinant of house sellers?? and buyers?? forward reservation prices. In addition, we also find that the market clearing forward price usually will not converge toward the expected risk-neutral forward price. The sellers?? or buyers?? risk aversion degrees and market powers are also identified to play crucial roles in determining the clearing forward price.  相似文献   

20.
This paper analyses the effect of an increase in market‐wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30‐year treasury bond futures to assess macroeconomic shocks that affect market‐wide uncertainty. We use the ratio of a stock's idiosyncratic realised volatility with respect to the S&P500 futures relative to its total realised volatility to capture the asset price comovement with the market. We find that market volatility and the comovement of individual stocks with the market increase contemporaneously with the arrival of market‐wide macroeconomic shocks, but decrease significantly in the following five trading days. This pattern supports the hypothesis that investors shift their (limited) attention to processing market‐level information following an increase in market‐wide uncertainty and then subsequently divert their attention back to asset‐specific information.  相似文献   

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