This paper studies the portfolio choice and asset pricing in the presence of owner-occupied housing in a continuous time framework. Owner-occupied housing serves as an important consumption good as well as a dominant asset for most households. The theory part of this paper shows that the market...

The mortgage banking environment in Hong Kong is quite different from that in the U.S. For example, the secondary mortgage market and mortgage insurance only started after 1997. Using a large data set on mortgages, we examine empirically how mortgage rates in this market vary with various...

We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang (2004). This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits still exist conditional on past...

We show that sorting reveals the time-varying market risk exposures of the firm-specific investment opportunity set. Sorting on the basis of firm characteristics uncovers information on firm-specific distress or growth, and this leads to more efficient estimation of conditional risk sensitivity....

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multistep ahead characteristics of a non-parametric estimate of the...

In this paper, I develop a dynamic general equilibrium model to study the sensitivity of house price changes with respect to credit constraints. I find that house prices are sensitive to changes of the down payment requirements if owner-occupied houses and rental houses are inelastically...

Share (percentage rent) lease contracts have not been explained in the case of stand-alone property. To do so we develop a model of a local trade area with an incumbent retail tenant that makes non-contractable specific investment at the time of initial contracting and a monopolist landlord that...

This paper examines the sub-game equilibrium strategies for a duopoly real option model consisting of two firms with asymmetric demand functions. The relative strength of the firms is found to have significant impact on the firms’ equilibrium strategies. Preemptive strategies are critical if...

This paper studies the relationship between firm leverage and supplier market structure. We find that firm leverage decreases with the degree of competition between suppliers. Specifically, leverage decreases with the elasticity of substitution between suppliers. Leverage also decreases with the...

This article studies portfolio choice and asset pricing in the presence of owner-occupied housing in a continuous time framework. The unique feature of the model is that housing is a consumption good as well as a risky asset. Under general conditions, that is, when the utility function is not...