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Asset Pricing Based on S-Shaped Consumption Utility
Ju, Gaosheng; Li, Qi - 2021
This paper shows that consumption-based asset pricing puzzles arise from using globally concave-shaped consumption utility. We empirically find that asset returns correlate negatively with many individuals' low-quantile consumption growth. This finding challenges most mainstream models and...
Persistent link: https://www.econbiz.de/10013244255
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Identifying S-Shaped Consumption Utility and Solving the Equity Premium Puzzle
Ju, Gaosheng; Li, Qi - 2022
We identify the S-Shaped consumption utility by reconciling consumption decisions with asset returns. Different from the concave-shaped utility, the S-shaped consumption utility predicts a possible negative correlation between low quantiles of consumption growth and asset returns, for which we...
Persistent link: https://www.econbiz.de/10013307483
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Housing investment and residential land supply in Japan : an asset market approach
Okumura, Tsunao - In: Journal of the Japanese and international economies : … 11 (1997) 1, pp. 27-54
Persistent link: https://www.econbiz.de/10001216230
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An intertemporal capital asset pricing model with owner-occupied housing
Chu, Yongqiang - In: Real estate economics : journal of the American Real … 38 (2010) 3, pp. 427-465
Persistent link: https://www.econbiz.de/10008649901
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Housing, consumption, and asset pricing
Piazzesi, Monika; Schneider, Martin; Tuzel, Selale - 2006
Persistent link: https://www.econbiz.de/10003288958
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Housing, consumption and asset pricing
Piazzesi, Monika; Schneider, Martin; Tuzel, Selale - In: Journal of financial economics 83 (2007) 3, pp. 531-569
Persistent link: https://www.econbiz.de/10003439365
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Volatilitätseffekte am US-amerikanischen Häusermarkt
Schindler, Felix - 2009
Während direkte Immobilieninvestments lang Zeit als renditeträchtig bei gleichzeitig begrenztem Risiko galten, führte …, sondern auch für das Risiko-Management bei Hypothekenfinanzierern sowie für wirtschaftspolitische Institutionen, Zentralbanken …
Persistent link: https://www.econbiz.de/10003881343
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Housing, Consumption, and Asset Pricing
Piazzesi, Monika - 2006
as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations … composition risk induces low frequency movements in stock prices that are not driven by news about cash flow. Moreover, the model …. The presence of composition risk also implies that the riskless rate is low which further helps the model improve on the …
Persistent link: https://www.econbiz.de/10012466633
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Housing, Consumption, and Asset Pricing
Piazzesi, Monika - 2009
as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations … composition risk induces low frequency movements in stock prices that are not driven by news about cash flow. Moreover, the model …. The presence of composition risk also implies that the riskless rate is low which further helps the model improve on the …
Persistent link: https://www.econbiz.de/10012767424
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Can U.S. treasury markets add and subtract
Cram, Roberto Gómez; Kung, Howard; Lustig, Hanno - 2024
Persistent link: https://www.econbiz.de/10014505940