摘要翻译：
本文研究了住房资产定价中的风险收益关系。在此基础上，本文对Case和Shiller(1988、2002、2009)在房地产市场繁荣和繁荣后的研究中提出的行为假设进行了评价。本文提出并检验了一个多因素住房资产定价模型。在该模型中，我们评估市场因素以及其他风险度量，包括特质风险、动量和MSA规模效应，是否对大都市特有的住房回报具有解释力。进一步地，我们检验了资产定价结果的稳健性，以包含对通常在房价文献中表示的社会经济变量的控制，包括就业、负担能力和止赎发生率的变化。我们发现市场因素对MSA房价收益有相当大的统计意义。此外，我们还表明，随着时间的推移，市场β值有很大的变化。此外，结果在很大程度上是稳健的纳入其他解释变量，包括风险的标准衡量和其他住房市场基本面。使用Fama-MacBeth框架对模型有效性的额外检验进一步有力地支持了住房正风险和正收益关系。我们的研究结果支持了住房投资风险-收益框架在解释城市区域截面和时间序列美国房价收益变化中的应用。此外，研究结果有力地证实了Case-Shiller调查的研究，即投机力量在决定美国住房回报率方面的重要性。
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英文标题：
《Housing risk and return: Evidence from a housing asset-pricing model》
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作者：
Karl Case, John Cotter and Stuart Gabriel
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a multi-factor housing asset pricing model. In that model, we evaluate whether the market factor as well as other measures of risk, including idiosyncratic risk, momentum, and MSA size effects, have explanatory power for metropolitan-specific housing returns. Further, we test the robustness of the asset pricing results to inclusion of controls for socioeconomic variables commonly represented in the house price literature, including changes in employment, affordability, and foreclosure incidence. We find a sizable and statistically significant influence of the market factor on MSA house price returns. Moreover we show that market betas have varied substantially over time. Also, results are largely robust to the inclusion of other explanatory variables, including standard measures of risk and other housing market fundamentals. Additional tests of model validity using the Fama-MacBeth framework offer further strong support of a positive risk and return relationship in housing. Our findings are supportive of the application of a housing investment risk-return framework in explanation of variation in metro-area cross-section and time-series US house price returns. Further, results strongly corroborate Case-Shiller survey research indicating the importance of speculative forces in the determination of U.S. housing returns.
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PDF链接：
https://arxiv.org/pdf/1103.5971