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Portfolio Choice In The Presence Of Housing
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Book Synopsis Portfolio Choice in the Presence of Housing by : o F. Cocco
Download or read book Portfolio Choice in the Presence of Housing written by o F. Cocco and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I show that investment in housing plays a crucial role in explaining the patterns of cross-sectional variation in the composition of wealth and the level of stockholdings observed in portfolio composition data. Due to investment in housing, younger and poorer investors have limited financial wealth to invest in stocks, which reduces the benefits of equity market participation. House price risk crowds out stockholdings, and this crowding out effect is larger for low financial net-worth. In the model as in the data leverage is positively correlated with stockholdings.
Book Synopsis Portfolio Choice in the Presence of Housing by : Joao F. Cocco
Download or read book Portfolio Choice in the Presence of Housing written by Joao F. Cocco and published by . This book was released on 2008 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: I show that investment in housing plays a crucial role in explaining the patterns of cross sectional variation in the composition of wealth and the level of stockholdings observed in portfolio composition data. Due to investment in housing, younger and poorer investors have limited financial wealth to invest in stocks, which reduces the benefits of equity market participation. House price risk crowds out stockholdings, but this crowding out effect is larger for low financial net-worth. Transaction costs of changing houses reduce the frequency of house trades and also lead investors to reduce their exposure to stocks. In the model as in the data leverage is positively correlated with stockholdings.
Book Synopsis Portfolio Choice in the Presence of Housing by :
Download or read book Portfolio Choice in the Presence of Housing written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing and Portfolio Choice in the Presence of Housing by : Robert F. Sarama
Download or read book Asset Pricing and Portfolio Choice in the Presence of Housing written by Robert F. Sarama and published by . This book was released on 2010 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay, "Non-durable Consumption Volatility and Illiquid Assets," finds that factors beyond the volatility of asset payoffs may significantly affect the volatility of the agent's consumption stream. The empirical failure of consumption-based asset pricing models is often attributed to the lack of volatility in aggregate measures of consumption. However, I illustrate in this paper that frictions faced by agents may lead to much higher levels of volatility in individual consumption than we observe in the aggregate data. I develop a life-cycle model of in which the consumer derives utility from non-durable consumption and stock in a risky asset: housing. Non-convex adjustment costs generate lumpy changes in the stock of the risky asset over the life-cycle. The model predicts that non-durable consumption volatility is increasing in both the ability to borrow against the assets held in the consumer's portfolio and in the illiquidity of the portfolio.
Book Synopsis Optimal Portfolio Choice with Housing and Tenure Decisions by : Patrick Coggi
Download or read book Optimal Portfolio Choice with Housing and Tenure Decisions written by Patrick Coggi and published by Sudwestdeutscher Verlag Fur Hochschulschriften AG. This book was released on 2009 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is to study portfolio and consumption decisions in the presence of durable goods, in particular housing. Part I provides a review of advances in portfolio theory. Dealing with durability raises complex mathematical issues discussed in the appendix. Part II focuses on a particularity of durable goods that has been studied very little, namely the decision to buy versus renting. We provide an original model of tenure choice and study its impact on households' optimal financial decisions. To achieve this we merge real options and portfolio theory and are able to obtain fairly explicit solutions, even with incomplete markets. In fact, it is the presence of market incompleteness, that is, the imperfect hedgeability by trading in financial assets of idiosyncratic risks linked to real estate that leads to our main finding: Risk aversion and market incompleteness reduce the relative attractiveness of homeownership relative to renting. We find that homeownership becomes more affordable and more likely as market incompleteness decreases and risks can be hedged better, while higher market incompleteness and risk aversion tend to depress house prices.
Book Synopsis Dynamic Asset Allocation in the Presence of Housing and Incomplete Markets by : Rune Mølgaard
Download or read book Dynamic Asset Allocation in the Presence of Housing and Incomplete Markets written by Rune Mølgaard and published by . This book was released on 2015 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies in continuous time and in an incomplete market setting the optimal housing, consumption, labor and portfolio choice of an agent in the presence of stochastic house prices and wages. Thus, the house prices and wage rates cannot be spanned by the financial market. In particular, the paper investigates the optimal strategies under two different preference specifications with respect to housing. The paper provides new closed-form solutions in the special case in which the market is complete. In addition, the paper also studies the optimal housing, consumption, labor, portfolio and welfare implications of frictions in the housing market. Particularly, the optimal strategies and welfare loss are analyzed if the house is a non-traded asset. This paper suggests that the consumption, labor, speculative investment and hedging of human capital is similar across preference specification and frictions in the market for housing when the economy is complete. The consumption and labor strategies are, however, dependent on frictions in the market for housing in the case where the economy is incomplete. The welfare loss from these frictions is small in magnitude but will influence the optimal consumption, labor and portfolio choice.
Book Synopsis Essays on the Life-cycle Portfolio Allocation in the Presence of Housing Investment by : Cengiz Tunc
Download or read book Essays on the Life-cycle Portfolio Allocation in the Presence of Housing Investment written by Cengiz Tunc and published by . This book was released on 2012 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Shocks and Portfolio Choice with Heterogeneous Agents in the Presence of Housing by : Thiti Karoonyanont
Download or read book Macroeconomic Shocks and Portfolio Choice with Heterogeneous Agents in the Presence of Housing written by Thiti Karoonyanont and published by . This book was released on 2008 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs by : Stefano Corradin
Download or read book Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs written by Stefano Corradin and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a model of portfolio choice with housing in which house price is predictable. Housing is illiquid in that a transaction cost must be paid when the house is sold. We show that two state variables aff ect the agent's decisions: (i) the wealth-houseratio, and (ii) the time-varying mean rate of house price growth. The agent increases (decreases) his housing asset holding only when the wealth-house ratio reaches an optimal upper (lower) boundary. These boundaries are time-varying and will decrease (increase) when house prices are expected to rise (fall). Implications for portfolio rules and housing asset holding are examined. Finally, we use PSID data to test the implications of our model.
Book Synopsis Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods by : Sanford J. Grossman
Download or read book Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods written by Sanford J. Grossman and published by . This book was released on 1987 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze a model of optimal consumption and portfolio selection in which consumption services are generated by holding a durable good. The durable good is illiquid in that a transaction cost must be paid when the good is sold. It is shown that optimal consumption is not a smooth function of wealth; it is optimal for the consumer to wait until a large change in wealth occurs before adjusting his consumption. As a consequence, the consumption based capital asset pricing model fails to hold. Nevertheless, it is shown that the standard, one factor, market portfolio based capital asset pricing model does hold in this environment. It is shown that the optimal durable level is characterized by three numbers (not random variables), say x, y, and z (where x
Book Synopsis Families, Housing and Property Wealth in a Neoliberal World by : Richard Ronald
Download or read book Families, Housing and Property Wealth in a Neoliberal World written by Richard Ronald and published by Taylor & Francis. This book was released on 2022-11-23 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: The twenty-first century has so far been characterized by ongoing realignments in the organization of the economy around housing and real estate. Markets have boomed and bust and boomed again with residential property increasingly a focus of wealth accumulation practices. While analyses have largely focussed on global flows of capital and large institutions, families have served as critical actors. Housing properties are family goods that shape how members interact, organise themselves, and deal with the vicissitudes of everyday economic life. Families have, moreover, increasingly mobilized around their homes as assets, aligning household transitions and practices towards the accumulation of property wealth. The capacities of different families to realise this, however, are highly uneven with housing conditions becoming increasingly central to growing inequalities and processes of social stratification. This book addresses changing relationships between families and their homes over the latest period of neo-liberalization. The book confronts how transformations in households, life-course transitions, kinship and intergenerational relations shape, and are being shaped by, the shifting role of property markets in social and economic processes. The chapters explore this in terms of different aspects of home, family life and socioeconomic change across varied national contexts.
Book Synopsis Wealth Effects on Households' Tenure Choice, Housing Demand and Housing Finance Decisions by : Lawrence D. Jones
Download or read book Wealth Effects on Households' Tenure Choice, Housing Demand and Housing Finance Decisions written by Lawrence D. Jones and published by . This book was released on 1984 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the importance of nonhuman wealth endowments and portfolio balance objectives as determinants of a series of family housing decisions. These decisions include i) tenure choice, and for those families choosing the ownership mode, ii) the amount of housing demand and iii) the debt/equity financing structure utilized to acquire and maintain the housing asset. The presence of the study is that tenure choice, housing demand and housing finance issues cannot be understood in a format which fails to include wealth and portfolio considerations as major factors. The analysis is premised upon the a priori conceptual belief that these variables ought to dominate traditional income flow and demographic attribute variables in explaining these household decisions.
Book Synopsis Portfolio Choice with Internal Habit Formation by : Francisco J. Gomes
Download or read book Portfolio Choice with Internal Habit Formation written by Francisco J. Gomes and published by . This book was released on 2003 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Encyclopedia of Housing and Home by :
Download or read book International Encyclopedia of Housing and Home written by and published by Elsevier. This book was released on 2012-10-09 with total page 3870 pages. Available in PDF, EPUB and Kindle. Book excerpt: Available online via SciVerse ScienceDirect, or in print for a limited time only, The International Encyclopedia of Housing and Home, Seven Volume Set is the first international reference work for housing scholars and professionals, that uses studies in economics and finance, psychology, social policy, sociology, anthropology, geography, architecture, law, and other disciplines to create an international portrait of housing in all its facets: from meanings of home at the microscale, to impacts on macro-economy. This comprehensive work is edited by distinguished housing expert Susan J. Smith, together with Marja Elsinga, Ong Seow Eng, Lorna Fox O'Mahony and Susan Wachter, and a multi-disciplinary editorial team of 20 world-class scholars in all. Working at the cutting edge of their subject, liaising with an expert editorial advisory board, and engaging with policy-makers and professionals, the editors have worked for almost five years to secure the quality, reach, relevance and coherence of this work. A broad and inclusive table of contents signals (or tesitifes to) detailed investigation of historical and theoretical material as well as in-depth analysis of current issues. This seven-volume set contains over 500 entries, listed alphabetically, but grouped into seven thematic sections including methods and approaches; economics and finance; environments; home and homelessness; institutions; policy; and welfare and well-being. Housing professionals, both academics and practitioners, will find The International Encyclopedia of Housing and Home useful for teaching, discovery, and research needs. International in scope, engaging with trends in every world region The editorial board and contributors are drawn from a wide constituency, collating expertise from academics, policy makers, professionals and practitioners, and from every key center for housing research Every entry stands alone on its merits and is accessed alphabetically, yet each is fully cross-referenced, and attached to one of seven thematic categories whose ‘wholes' far exceed the sum of their parts
Book Synopsis An Intertemporal Capital Asset Pricing Model With Owner Occupied Housing by : Yongqiang Chu
Download or read book An Intertemporal Capital Asset Pricing Model With Owner Occupied Housing written by Yongqiang Chu and published by . This book was released on 2008 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 portfolio is not mean-variance efficient; and traditional CAPM fails in a model with owner-occupied housing; however, a conditional linear factor pricing model can still be derived, in which the market portfolio return and housing return are two pricing factors. Moreover, the nondurable consumption to housing ratio, ch, is shown to affect expected returns in the same way as cay (the consumption-to-wealth ratio in Lettau and Ludvigson 2001a, 2001b) The empirical evidence shows that ch can predict asset returns at various horizon ranging from one quarter to two years. ch is also shown to enter linearly the stochastic discount factor of the economy. The cross-sectional Fama-MacBeth regressions show that the conditional models conditioning on ch perform much better than their unconditional counterparts, and the conditional two factor model derived in this paper performs almost as good as Fama-French three-factor model.
Book Synopsis Handbook of Regional and Urban Economics, vol. 5B by : Gilles Duranton
Download or read book Handbook of Regional and Urban Economics, vol. 5B written by Gilles Duranton and published by Elsevier. This book was released on 2015-05-15 with total page 967 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developments in methodologies, agglomeration, and a range of applied issues have characterized recent advances in regional and urban studies. Volume 5 concentrates on these developments while treating traditional subjects such as housing, the costs and benefits of cities, and policy issues beyond regional inequalities. Contributors make a habit of combining theory and empirics in each chapter, guiding research amid a trend in applied economics towards structural and quasi-experimental approaches. Clearly distinguished from the New Economic Geography covered by Volume 4, these articles feature an international approach that positions recent advances within the discipline of economics and society at large. Editors are recognized as leaders and can attract an international list of contributors Regional and urban studies interest economists in many subdisciplines, such as labor, development, and public economics Table of contents combines theoretical and applied subjects, ensuring broad appeal to readers
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
