Waking Up from the American Dream: On the Experience of Young Americans during the Housing Boom of the 2000s

We exploit regional variations in house price fluctuations in the United States during the early to mid‐2000s to study the impact of the housing boom on young Americans' choices related to home ownership, household formation, and fertility. We also introduce a novel instrument for changes in house prices based on the predetermined industrial structure of the local economy. We find that in regions that experienced large increases in house prices between 2001 and 2006, the youngest households were substantially less likely to purchase residential property, to be married, and to have a child, both in 2006 and in 2011.     

Why Do the Swiss Rent?

At less than 34%, Switzerland has the lowest home ownership rate in Western Europe. This may seem odd given the economic strength of the country. We use household survey data for five Swiss cantons to explore some possible reasons for this. We estimate a tenure choice equation that allows us to analyze the impacts of a number of key variables on the ownership rate. We pay particular attention to the relative cost of owning and renting, which is a function of house prices, rents, and the user cost of owning. The latter is a function of income tax policy and expected house price inflation, among other things. We also measure mortgage underwriting criteria and consider rent control and other policies affecting rental housing. By simulating a number of hypothetical changes to taxation and other policies, underwriting criteria, and price levels, we assess the importance of these variables in explaining the ownership rate. We conclude that high house prices—relative to household incomes and wealth—and the tax on imputed rent are the most important causes of Switzerland’s low ownership rate.     

人口结构转变与中国住房需求:1999～2025——基于人口普查数据的微观实证研究

本文首次利用人口普查数据对人口结构转变和中国住房需求的关系进行实证研究。经验观察表明,"婴儿潮"很可能是2004年以来中国住房价格快速上涨的重要原因。基于微观家户数据的实证研究发现,中国居民住房需求与年龄高度相关:个人在20岁以后住房需求快速上升,直到50岁以后开始逐步下降;这些实证结果对于测量误差、样本选择、住房产权类型都是稳健的;进一步研究表明,"组群效应"是50岁以后个体住房需求下降的主要原因。以人口结构转变为基础,本文估算了1999～2025年中国的住房需求,发现住房需求增长率很好地拟合了2004年以来住房价格的变化;同时,人口老龄化将导致中国住房需求增长率在2012年以后大幅下降,这意味着中国未来住房需求存在下行可能,宏观调控政策需要未雨绸缪。     

The impact of family-CEOs and their demographic characteristics on dividend payouts: Evidence from Latin America

We investigate the effect of family-CEOs and CEO demographic characteristics on firms’ dividend policy in Latin America. We show that family-CEO firms pay less amount of dividends and invest more in capital expenditures than nonfamily-CEO firms do. Direct family ownership (ownership concentration) negatively (positively) affects dividend payouts. Among the CEO demographic characteristics, CEO tenure has a consistent and significant negative effect on the dividend payout. Firms in a strong corporate governance environment pay more dividends and are less likely to appoint family members as CEOs, suggesting that strong corporate governance forces firms to pay more dividends and restrains firms from appointing CEOs based on family ties.     

住房投资与家庭创业:促进还是挤出?--基于CFPS面板数据的实证分析

本文基于房价持续增长的现实背景,利用中国家庭追踪调查数据,以家庭住房数量为核心检验住房投资对城镇家庭创业选择的影响及作用机制。研究发现,相比无房家庭,自有住房家庭的创业概率并未显著提高;当家庭有多套住房时,才能显著提高创业概率。同时,对仅有一套住房的家庭,住房价值对家庭创业没有显著影响。但对有多套住房家庭而言,住房价值能显著提高创业概率。本文发现住房投资尽管能够通过缓解信贷约束、增加风险偏好等机制促进创业,但也会对创业产生显著的挤出效应。只有在政府坚持住房去金融化和"房住不炒"的调控政策下,住房投资对家庭创业的促进作用才能逐步占据主导。     

Alternative Methods of Increasing the Precision of Weighted Repeat Sales House Prices Indices

Weighted repeat sales house price indices have become one of the primary indicators used to identify housing market conditions and to estimate the amount of equity homeowners have gained through house price appreciation. The primary reason for the acceptance of this methodology is that it derives a location specific (typically, census division, state or metropolitan area) average change in house prices from repeated observations of individual house prices. It is this repeat attribute that allows repeat sales price indices to claim that it is a preferable index which does a better job of holding quality constant. The amount of time between the two observed prices for a single property is determined by when the home transacts. Some homes transact twice in a period of months and others do not transact for decades. It is likely that individual house price appreciation rates vary from the mean appreciation rate, as estimated by the index, in a systematic fashion. In general, the longer the time between transactions the more variance there is in individual house price appreciation. This paper extends this concept to include new dimensions. For instance, houses that appreciate faster than the mean, as estimated by the index for that location, may experience a different variation structure than homes that appreciate slower. This process can be viewed as an asymmetric treatment of the variance of house price appreciation around the estimated index. In addition, the variance of expensive and affordable homes may also be different and time varying. This paper finds evidence that adding the dimensions of price tiers and asymmetry to the variance estimate has merit and does affect the estimated index as well as homeowner equity estimates. Homeowner equity estimates are especially sensitive to these added dimensions because they depend on both the revised index and the estimated variances, which are specific to each dimension considered—time between transaction, asymmetry, and price tier.     

Explaining House Price Dynamics: Isolating the Role of Nonfundamentals

This paper examines the role of nonfundamentals‐based sentiment in house price dynamics, including the well‐documented volatility and persistence of house prices during booms and busts. To measure and isolate sentiment's effect, we employ survey‐based indicators that proxy for the sentiment of three major agents in housing markets: home buyers (demand side), home builders (supply side), and lenders (credit suppliers). After orthogonalizing each sentiment measure against a broad set of fundamental variables, we find strong and consistent evidence that the changing sentiment of all three sets of market participants predicts house price appreciation in subsequent quarters, above and beyond the impact of changes in lagged price changes, fundamentals, and market liquidity. More specifically, a one‐standard‐deviation shock to market sentiment is associated with a 32–57 basis point increase in real house price appreciation over the next two quarters. These price effects are large relative to the average real price appreciation of 71 basis points per quarter observed over the full sample period. Moreover, housing market sentiment and its effect on real house prices is highly persistent. The results also reveal that the dynamic relation between sentiment and house prices can create feedback effects that contribute to the persistence typically observed in house price movements during boom and bust cycles.     

Institutional ownership,volatility and dividends

We find that the sign of the correlation between institutional ownership and volatility depends on the firm’s dividend policy: institutional ownership is negatively (positively) related to volatility among non-dividend (dividend) paying stocks. The empirical results are consistent with an interaction between institutional preference for low volatility and the tendency of higher levels of institutional ownership to increase volatility through their trading behavior. This result is robust to many control variables and possible endogeneity concerns. Supporting our conjecture that institutions herd on dividend signals we find that the correlation between turnover and institutional ownership is higher for dividend paying stocks, and that the positive correlation between turnover and institutional ownership is higher on dividend declaration days. Finally, we also find that the level of institutional ownership drops following an increase in volatility for both dividend payers and non-payers, and that volatility rises following increased institutional ownership for dividend paying stocks.     

Housing,Illiquidity, and Wealth

This article develops a model of asset allocation relevant for the representative consumer. Consumption is composed of two items: housing, and other goods and services. The representative household's balance sheet consists largely of a house and a mortgage. Its income statement is dominated by labor earnings, constraining cash expenditures. Housing-market behavior thus underlies intertemporal wealth and consumption allocation. With a housing-dominated portfolio and a maximizing plan, a plausible bound on the intertemporal marginal rate of substitution in consumption can be estimated for a typical household. The model takes account of idiosyncratic characteristics of housing returns and finance. Underwriting standards oblige borrowers to secure mortgage debt with a housing asset and with cash flow, usually from labor income. Access to the mortgage market depends on the loan-to-value ratio, or leverage and debt size, and the debt-coverage ratio, or cash solvency. If there are seasonals or predictable patterns in house returns, their magnitude is amplified for the typical liquidity-constrained household. Empirical results for the aggregate U.S. market confirm predictability and serial correlation in house capital gains. There are seasonals in housing returns. While there is no January effect, above-average returns are obtained during the summer months.     

住房财富对中国城镇家庭消费的影响

在构建以国内大循环为主体,国内国际双循环相互促进的新发展格局下,把握扩大内需这一战略基点,激发居民消费潜力,是推动经济高质量发展的关键之一。住房已经成为中国家庭财富的重要组成部分,一方面可通过财富效应促进家庭消费,另一方面也可能由于“房奴效应”降低家庭消费。因此,住房财富对家庭消费的影响方向并不确定。本文基于2013-2019年中国家庭金融调查数据,研究了住房财富对家庭消费的影响,并检验了住房财富影响家庭消费的可能渠道。研究发现,住房财富对城镇家庭消费有显著促进作用,并显著改善了家庭消费结构,住房资产具有财富效应。进一步研究发现,住房财富能够缓解流动性约束,从而提高家庭消费水平。异质性分析表明,住房财富对不同类型的消费具有不同的促进作用,不同地区和拥有住房数量的差别均会对住房财富产生不同影响。根据本文研究,在控制风险的前提下,可发挥既有住房财富对平滑家庭消费的积极作用,促进家庭消费增长,改善家庭消费结构,进一步推进家庭消费升级。     

Household Leverage

I propose a life‐cycle model where a finitely lived risk‐averse household finances its housing investment by opting to provide a down payment. Given that the household may default, risk‐neutral lenders efficiently charge a default premium to hedge against expected losses. This has two major consequences. First, the higher the house price volatility, the higher the down payment the household provides to decrease the volatility of the equity share in the house. Second, in the presence of borrowing constraints, higher risk of unemployment persistence and/or a substantial drop in labor income decreases the leveraged position the household takes on.     

关系型借贷视角下购房融资方式与家庭创业行为——基于2017年中国家庭金融调查的实证研究

本文利用2017年中国家庭金融调查数据深入考察购房融资方式对家庭创业行为的影响。研究结果显示,相较于民间借贷购房的家庭,按揭贷款购房的家庭参与创业活动的可能性更高,且更倾向于主动创业。进一步机制分析发现,相较于民间借贷购房,按揭贷款购房能够降低家庭的流动性约束,缓解家庭的资金压力,从而促进创业。同时,按揭贷款购房能使家庭获得充足的贷款额度与较长的贷款期限,进而有助于家庭创业。而且在偿还按揭贷款的过程中,家庭能与银行建立长期良好的信贷关系,从而有助于提高家庭获得正规信贷的可能性,促进家庭创业。为了积极推进创业创新的战略部署,应进一步健全银行信贷体系,发展和完善住房金融制度,从而有利于缓解小微企业融资难、融资贵的问题,释放和激发家庭创业活力。     

The Effect of Housing on Portfolio Choice

We show that characterizing the effects of housing on portfolios requires distinguishing between the effects of home equity and mortgage debt. We isolate exogenous variation in home equity and mortgages by using differences across housing markets in house prices and housing supply elasticities as instruments. Increases in property value (holding home equity constant) reduce stockholdings, while increases in home equity wealth (holding property value constant) raise stockholdings. The stock share of liquid wealth would rise by 1 percentage point—6% of the mean stock share—if a household were to spend 10% less on its house, holding fixed wealth.     

Underwritten Dividend Reinvestment Plans and Conflicts of Interest

We examine conflicts of interests arising from the pricing of seasoned equity offerings (SEOs) in underwritten dividend reinvestment plans (DRIPs). A DRIP is a type of SEO that enables shareholders automatically to reinvest their dividend entitlements in the issuing company's shares. The underwriters have an incentive to sell stock during the DRIP pricing period in order to hedge price risk and/or to reduce the price at which shares are issued. Using individual brokers’ transactions, we show that underwriting brokers engage in an abnormally high level of selling during the issue pricing period. Comparison of pricing period returns between stocks with underwritten DRIPs and a matched sample of non‐underwritten DRIPs shows that significantly more negative returns accrue to firms that have their issues underwritten.     

住房产权对城镇居民家庭经济地位变动的异质性影响

依据2010年、2012年、2014年、2016年和2018年的中国家庭追踪调查数据,考量住房产权对居民家庭经济地位变动的异质性影响。结果显示：由于完全住房产权获得的房奴效应超过其财富效应,存在贷款偿还压力的家庭为了保证月供还款,不敢冒险追求具有更好工作前景和高工资的职位或创业机会。完全住房产权获得对居民家庭经济地位提升有负向影响,部分产权获得对居民家庭经济地位变动的影响不显著,住房产权获得对老年群体、低学历群体家庭经济地位提升负向影响显著,对青年群体、高学历群体的家庭经济地位变动的影响不显著。     

Taxation and House-Price Uncertainty: Some Empirical Estimates

Purchasing a home involves a large and localized investment that leaves many families exposed to volatile house prices and at risk of losing their home equity. Price movements are typically not synchronized across cities, suggesting the potential for efficiency gains through risk sharing across households. In this paper, we consider the possibility of risk sharing through capital gains taxation. When full loss offset is permitted, potential gains and losses are reduced at the household level by taxation and distributed nationally, thereby allowing the tax authority to diversify away the local risks associated with owner-occupied housing. We simulate the effect of a capital gains tax with full loss offset on tenure choice and housing demand using micro-level data from the American Housing Survey, spanning ten years, from 1985 to 1995, and measures of time varying risk and return.     

Testing the Dividend Discount Model in Housing Markets: the Role of Risk

Tests of the dividend discount model (DDM) applied to housing have studied the trade-off between the capitalization rate (CAP rate) and subsequent house price appreciation. Even allowing for attenuation bias because of actual appreciation does not equal expected appreciation, evidence for the DDM is not strong. This research has included an implicit assumption that risks associated with housing investment are common across housing markets. In addition, many previous tests have used the Bureau of Labor Statistics (BLS) Rent Index to construct the CAP rate although recent research by Ambrose et al. (2015) has questioned this data. The American Housing Survey is used to construct estimates of the CAP rate which is then combined with standard appreciation measures to estimate total return and its variance over time for larger Metropolitan Statistical Areas (MSA) in the U.S. Using statistically constructed estimates of the CAP rate and adding variance in total return to conduct tests of the DDM produces far stronger results than those obtained in previous studies of a cross section of cities in the U.S. But, when the BLS Rent Index is used to measure CAP rates and risk, the results are not consistent with DDM.     

Hedging house price risk with futures contracts after the bubble burst

This paper extends the existing literature on managing house price risk. While previous work finds that a hedger would have reduced a large amount of variance in housing returns in Las Vegas, Nevada using Chicago Mercantile Exchange (CME) futures contracts, we show that neither static nor dynamic strategies would have maintained an effective hedge during the significant decline in housing prices. The inability to hedge house price risk using CME futures contracts ultimately calls into question the long-term viability of housing futures.     

Correlated leverage and its ramifications

This paper develops a theory in which housing prices, the capital structures of banks (mortgage lenders) and the capital structures of mortgage borrowers are all endogenously determined in equilibrium. There are four main results. First, leverage is a “positively correlated” phenomenon in that high leverage among borrowers is positively correlated with high leverage among banks, and higher house prices lead to higher leverage for both. The intuition is that first-time homebuyers with fixed wealth endowments must borrow more to buy more expensive homes, whereas higher current house prices rationally imply higher expected future house prices and therefore higher collateral values on bank loans, inducing banks to be more highly levered. Second, higher bank leverage leads to greater house price volatility in response to shocks to fundamental house values. Third, a bank’s exposure to credit risk depends not only on its own leverage but also on the leverage decisions of other banks. Fourth, positive fundamental shocks to house prices dilute financial intermediation by reducing banks’ pre-lending screening, and this reduction in bank screening further increases house prices. Empirical and policy implications of the analysis are drawn out, and empirical evidence is provided for the first two main results. The key policy implications are that greater geographic diversification by banks, tying mortgage tax exemptions to the duration of home ownership, and increasing bank capital requirements when borrower leverage is high can help reduce house price volatility.     

The role of cross-listing,foreign ownership and state ownership in dividend policy in an emerging market

In this paper, we investigate if dividend policy is influenced by ownership type. Within the dividend literature, dividends have a signaling role regarding agency costs, such that dividends may diminish insider conflicts (reduce free cash flow) or may be used to extract cash from firms (tunneling effect) – which could be predominant in emerging markets. We expect firms with foreign ownership and those that are listed in overseas markets to have different dividend policies and practices than those that are not, and firms with more state ownership and less individual ownership to be more likely to pay cash dividends and less likely to pay stock dividends. Using firms from an emerging economy (China), we examine whether these effects exist in corporate dividend policy and practice. We find that both foreign ownership and cross-listing have significant negative effects on cash dividends, consistent with the signaling effect and the notion of reduced tunneling activities for firms with the ability to raise capital from outside of China. Consistent with the tunneling effect, we find that firms with higher state ownership tend to pay higher cash dividends and lower stock dividends, while the opposite is true for public (individual) ownership. Further analysis shows that foreign ownership mediates the effect of state ownership on dividend policy. Our results have significant implications for researchers, investors, policy makers and regulators in emerging markets.