A Cross-Sectional Empirical Test of a Dual-State Multi-Factor Pricing Model

During empirical testing of the Capital Asset Pricing Model an assumption is typically made that risk is intertemporally constant. However, prior research finds that risk changes over time. We empirically test a conditional dual-state cross-sectional model allowing risk to change through prior identification of different market and economic states. We examine relationships between returns and conditional market and economic-factor betas, size, book-to-market equity, and earnings-price ratios. We find that relationships shift across regimes, suggesting the importance of a conditional, as opposed to unconditional, model. Relationships also change in January.     

An Examination of Cross-Sectional Realized Stock Returns using a Varying-Risk Beta Model

Using the dual-beta model of Bhardwaj and Brooks (1993), this study examines the cross-section of realized stock returns. Bull-market betas are significantly positively related to returns and, except for some models in January, bear-market betas are significantly negatively related to returns. These relationships are not lost even after other independent variables, including size, book-to-market equity, and an earnings-price ratio, are added to the cross-sectional regressions. Book-to-market equity is an important factor in bear, but not bull, markets. Size is important in January and in bear markets during February through December.     

Residential Search and Mobility in a Housing Market Equilibrium Model

In this paper, we propose an equilibrium model for the housing market which provides an explanation for observed housing consumption of households over their lifetimes. The moving behavior of households is described as a stochastic dynamic process in which households moving decisions depend on information which is obtained over time. Households move when the offer exceeds an endogenously determined threshold. On the basis of the households moving behavior, the steady-state distribution of households over the housing stock is obtained. On the supply side of the market, landlords are looking for households to occupy their vacant dwellings. Their strategy is to set rents in a mixed strategy in order to profit from imperfect information. After formulating search behavior of households as well as the behavior of landlords, the market equilibrium is derived. We explore the sensitivity of the equilibrium to changes in the structural parameters.     

A Spatial Cross-Sectional Credibility Model with Dependence Among Risks

A Bühlmann-Straub type credibility model with dependence structure among risk parameters and conditional spatial cross-sectional dependence is studied. Predictors of future losses for the model under both types of dependence are derived by minimizing the expected quadratic loss function, and nonparametric estimators of structural parameters are considered in the spatial statistics context. Predictions and estimations made for the proposed model are examined and compared to other models in an application with crop insurance data and in a simulation study.     

The Dividend Pricing Model: New Evidence from the Korean Housing Market

It is generally conceded that dividend pricing models are poor predictors of asset prices. This finding is sometimes attributed to excess volatility or to a dividend process manipulated by firm managers. In this paper, we present rather powerful panel tests of the dividend pricing relation using a unique data set in which dividends are set by market forces independent of managers' preferences. We rely on observations on the market for condominium dwellings in Korea—perhaps the only market in which information on dividends and prices is publicly and continuously available to consumers and investors. We extend the “dividend-price ratio model” to panels of housing returns and rents differentiated by type and location. We find broad support for the dividend pricing model during periods both before and after the Asian Financial Crisis of 1997–1998, suggesting that the market for housing assets in Korea has been remarkably efficient. Previous versions of this paper were presented at the Hong Kong-Singapore International Real Estate Research Symposium, August 2004, Hong Kong and the meeting of the Hong Kong Economic Association, January 2005. We are grateful for the comments of Ashok Bardhan, Yuming Fu, Chinmoy Ghosh, Lok Sang Ho, Charles Ka Yui Leung, Sau Kim Lum and Seow Eng Ong. Son's research was supported by the Konkuk University and Hwang's research was supported by the National University of Singapore.     

我国住房金融模式探析

我国住房金融模式是随着城镇住房体制和金融体制改革逐渐形成的，在其运行过程中，暴露出了许多问题，从而影响和制约了住房金融的发展、住房体制改革的深化以及住房商品化的进程。     

Findings from a survey on accounting chair professorships

The past 10 years have witnessed a significant increase in accounting chair professorships. This paper reports findings from a questionnaire survey on chair professorships in the United States. Respondents provided information on teaching and research interests, funding, recruiting criteria, and compensation packages. Responses on chair professorships at doctoral-granting schools are also compared with those at nondoctoral-granting schools.     

The Economic Significance of the Cross-Sectional Autoregressive Model: Further Analysis

We reexamine whether investors can gain abnormal returns using the cross-sectional autoregressive model of stock returns. We find that the pattern of abnormal returns obtained is inconsistent over the time period 1934–94. We adjust for the higher commission costs in the pre-May 1 1975 period, a point overlooked in Jegadeesh (1990), by assuming a conservative one-way transaction cost of 0.75%. For the post-May 1 1975 period, we use a one-way transaction cost of 0.25%. The results show that investors who invest only on the long side would earn insignificant 'after-transaction cost' abnormal returns in the post-World War II period, 1946–94. The 'after-transaction cost' abnormal return from the short strategy is about 0.5% for the period 1946–94. This article shows that an investor would not earn abnormal returns using this model considering that it is more costly in practice to sell securities short and that most investors would not earn interest on short sale proceeds.     

一种以房养老的贷款方式 :住房反抵押贷款

反抵押贷款最早起源于美国，在最近几年得到了飞速发展。它是居民以自有产权的住房作为抵押，定期向金融机构取得的主要用于养老费用的贷款。反抵押贷款将不动产转化为流动资产，对于改善老年人的生活质量起到了很大的作用。     

住房公积金制度改制为政策性住房金融机构的设想

住房公积金管理中心具有政策性住房金融机构的雏形。但住房公积金制度由于设计的制度性缺陷,无法承担政策性住房金融机构的功能。因此,住房公积金制度改制为政策性住房金融机构有其必要性。目前,构建政策性住房金融机构可以从以下几个方面入手:建立以政策性住房金融机构为主体的组织体系,形成完善的住房资金组织系统,构建完善的内外监管体系,发展多种金融工具,完善住房金融的风险分担与化解机制等。     

重点城市的住房保障模式选择

近年来,我国经济社会得到快速发展,城镇化水平不断提高,并取得了显著成效,但也带来了一系列社会问题,住房保障问题就是其中之一。我国有必要从住房保障制度设计角度入手,重新对我国现行住房保障模式进行分析和研究。本文在借鉴已有成果的基础上,尝试总结出各类保障模式的适用条件,构建各类保障模式的适用性评价指标体系,并运用因子分析和聚类分析的方法对全国重点城市进行分类,从而根据聚类分析结果综合确定出全国重点城市的适宜保障模式。     

A Spatial Model of Housing Returns and Neighborhood Substitutability

This article provides a method for estimating housing indices at the local level. It develops a distance-weighted repeat-sales procedure to exploit the factor structure of the error-covariance matrix in the repeat-sales model. A distance function defined in characteristic and geographical space provides weights for the generalized least-squares model, and allows the use of all of the repeated sales in a metropolitan area to measure returns for the specific neighborhood of interest. We use distance-weighted repeat sales to estimate return indices for all zip codes in the San Francisco Bay area over the period 1980--1994.When distance is defined in terms of socioeconomic characteristics, we find that median household income is the salient variable explaining covariance of neighborhood housing returns. Racial composition and educational attainment, while significant, are much less influential. Zip-code level indices often deviate dramatically from the citywide index, depending upon income levels. This has implications for investors and lenders. Our results indicate that rates of return may vary considerably within a metropolitan area. Thus, simply using broad metropolitan area indices as a proxy for capital appreciation within a specific neighborhood may not be justified.     

Mortgage Design in an Equilibrium Model of the Housing Market

How can mortgages be redesigned to reduce macrovolatility and default? We address this question using a quantitative equilibrium life‐cycle model. Designs with countercyclical payments outperform fixed payments. Among those, designs that front‐load payment reductions in recessions outperform those that spread relief over the full term. Front‐loading alleviates liquidity constraints when they bind most, reducing default and stimulating housing demand. To illustrate, a fixed‐rate mortgage (FRM) with an option to convert to adjustable‐rate mortgage, which front‐loads payment reductions relative to an FRM with an option to refinance underwater, reduces price and consumption declines six times as much and default three times as much.     

The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model

Previous studies commonly use a linear framework to investigate the long-run equilibrium relationship between the housing and stock markets. The linear approaches may not be appropriate if adjustments from disequilibrium are asymmetric in both markets. Nonlinear adjustments are likely to be observed since the two markets respond rather differently to negative shocks where the stock market is more volatile but price rigidity is found in the housing market. In this paper, we firstly propose two hypotheses on the long-run equilibrium relationship of the US housing and stock markets, and then employ the threshold cointegration model to investigate the potential asymmetric relationships between the two markets. Our empirical results reveal that cointegration exists among the markets, but adjustments toward its long-run equilibrium are asymmetric. Further evidence points out that a rapid mean reversion occurs in one regime where the stock price outperforms the housing price, and no significant reversion is found in the other regime, supporting the hypothesis of the existence of an asymmetric wealth effect among the two markets in the US. Furthermore, evidence from the asymmetric vector error correction model shows that significant error corrections toward the equilibrium exist in the short run only when the stock price exceeds the real estate price by the estimated threshold level, reassuring the finding of the asymmetric wealth effect.     

Evaluating the Effectiveness of Sustainability Disclosure: Findings from a Recent SASB Study

Early research into the relationship between corporate sustainability programs and financial performance suggests a positive relationship between strong sustainability performance and a lower cost of capital. As investors increasingly incorporate sustainability information into financial decisionmaking, the importance of high‐quality sustainability disclosure is growing. Just as investors have relied on financial disclosures based on generally accepted accounting principles (GAAP) to assess corporate risk, a market standard is needed to help companies disclose comparable sustainability information. To address this issue, the Sustainability Accounting Standards Board (SASB) conducted a recent analysis of the current state of sustainability disclosure in annual Securities and Exchange Commission (SEC) filings. The study reviewed the disclosures of over 700 U.S.‐and foreign‐domiciled companies, focusing on material sustainability topics as identified by SASB's industry‐specific accounting standards. The authors find large variations among different corporate sectors in the frequency and quality, as well as the focus, of their sustainability disclosures. Then, after examining in detail disclosures within the SASB Resource Transformation and Consumer Staples sectors, the authors suggest a number of possible drivers of this variation, including key sustainability and economic trends, while also presenting evidence of increasing investor interest in sustainability information. Although the authors' analysis was not intended to determine the extent to which the quality of sustainability disclosure affects investor returns, the findings provide a useful baseline for the as yet largely unexplored relationship between sustainability disclosure and corporate financial performance.     

公积金约束、家庭类型与住宅特征需求——来自中国的经验分析

公积金约束正成为分化不同类型家庭住房支付能力和消费偏好的重要因素。本文利用1995年和2002年城市住户调查数据,检验公积金约束对不同类型家庭住宅特征需求的影响。实证结果表明,在住宅特征需求方面,公积金约束的影响效应存在显著的收入差异、单位类型差异、职业类型差异、职称差异和行业收入差异。其中,社会地位较高的家庭在提高住宅结构特征需求方面获得了更多的公积金支持;而在住宅邻里特征需求方面,公积金制度对社会地位较低家庭的贡献度较高。在引入工具变量、检验公积金变量的内生性偏误时发现,城镇家庭在改善型住房需求方面对社会保障体系的完善有较强的依赖性。本文的政策含义是,住房公积金制度定位应向低收入群体倾斜,并根据家庭类型实行有差别的政策。     

未来的美国住房金融市场

曾经是被很多国家仿效的美国住房抵押贷款市场,特别是住房抵押贷款证券化市场,在本轮危机中备受指责。随着危机阴云的慢慢散去,美国人是如何反思这个市场的呢?2009年12月10日,美联储理事伊丽莎白A.杜克在芝加哥联邦储备银行的讲话向世人提供了一种思路。在这篇讲话中,他首先看重的是在一个健康的住房市场上,普通住房消费者的权利和利益如何得到保护的问题,详情请看本文。     

一起房屋抵押贷款纠纷及其启示

基本案情A银行东达支行在一审中诉称:2002年7月26日,A银行东达支行与张大生、成泰公司签订《中国A银行分行个人住房贷款借款合同》(以下简称《借款合同》),约定张大生向A银行东达支行借款184万元,借款期限自2002年7月26日至2012年7月25日,张大生应从贷款发放的次月开始,按月偿还贷款本息。成泰公司     

A Dynamic Model of the Housing Market: The Role of Vacancies

While the hedonic property value model and recently developed computable general equilibrium urban models assume the housing market is in equilibrium, recent years have witnessed extreme circumstances such as large changes in housing prices, high levels of mortgage default, and high levels of foreclosure that bring into question this assumption. This highlights the need for a better understanding of the dynamics of the housing market and the mechanisms that drive and sustain periods of disequilibrium. In this analysis, I develop a dynamic model of the housing market where vacancies naturally arise as the error correction mechanism. I estimate this model using annual U.S. panel data at the MSA level for 1990–2011. The results show that when there is excess demand, prices rise when vacancies fall but prices do not fall when there is excess supply and vacancies rise. This is consistent with the belief that prices are sticky downwards and hence prolong housing downturns. On the other hand, when there is excess supply, there is a relatively stronger decline in new housing in response to a rise in vacancies and much less of a new housing reaction when there is excess demand and vacancies fall. Furthermore, when I allow for a structural shift in the housing market brought on by the Great Recession (2006–2011), I find that the housing market became more responsive on both sides – excess supply and demand – during this period.     

Helping Disadvantaged Students: Findings from the Thuthuka Programme

Abstract

Drawing on social closure theory, this study achieved a deep understanding of the perceptions and experiences of the first cohort of candidates passing through the Thuthuka support programme. Using semi-structured interviews as part of a qualitative approach, currently prevalent modes of professional closure were considered by taking the backgrounds of these students into account, together with their perceptions of the accounting profession. Their views on whether the Thuthuka programme as an intervention had been successful in removing post-apartheid professional closure were determined by taking into account the Thuthuka students’ readiness to sit for professional examinations and to enter the workplace. The findings of the study suggest features that could be considered in support programmes intended for socio-economically disadvantaged students to facilitate their entry into a restrictive and restricted market.