Spatial Asset Pricing: A First Step
AbstractPeople choose where to live and how much to invest in housing. Traditionally, the first decision has been the domain of spatial economics, while the second has been analyzed in finance. Spatial asset pricing is an attempt to combine equilibrium concepts from both disciplines. In the finance context, we show how spatial decisions can be framed as an expanded portfolio problem. Within spatial economics, we identify the consequences of hedging motives for location decisions. We characterize a number of observable deviations from standard predictions in finance (e.g. the definition of the relevant market portfolio for the pricing of risk includes homeownership rates) and in spatial economics (e.g. hedging considerations and the pricing of risk affect the geographic allocation of human capital).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Theoretical Economics Paper Series with number /2010/546.
Date of creation: Apr 2010
Date of revision:
Contact details of provider:
Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp
Other versions of this item:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
- NEP-GEO-2011-02-26 (Economic Geography)
- NEP-MIC-2011-02-26 (Microeconomics)
- NEP-URE-2011-02-26 (Urban & Real Estate Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Morris Davis & Jonathan Heathcote, 2004.
"Housing and the business cycle,"
Finance and Economics Discussion Series
2004-11, Board of Governors of the Federal Reserve System (U.S.).
- Morris A. Davis, 2010. "housing and the business cycle," The New Palgrave Dictionary of Economics, Palgrave Macmillan.
- Morris A. Davis & Jonathan Heathcote, 2005. "Housing And The Business Cycle," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(3), pages 751-784, 08.
- Christian A. L. Hilber, .
"Neighborhood Externality Risk and The Home Ownership Status of Properties,"
Zell/Lurie Center Working Papers
387, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
- Christian A.L. Hilber, 2003. "Neighborhood externality risk and the homeownership status of properties," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Hilber, Christian A.L., 2005. "Neighborhood externality risk and the homeownership status of properties," Journal of Urban Economics, Elsevier, vol. 57(2), pages 213-241, March.
- Stijn Van Nieuwerburgh & Pierre-Olivier Weill, 2006.
"Why Has House Price Dispersion Gone Up?,"
NBER Working Papers
12538, National Bureau of Economic Research, Inc.
- Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2010. "Winners and Losers in House Markets," Working Papers 2010-5, Central Bank of Cyprus.
- Englund, Peter & Hwang, Min & Quigley, John M, 2002.
"Hedging Housing Risk,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 24(1-2), pages 167-200, Jan.-Marc.
- Peter ENGLUND & Min HWANG & John M. QUIGLEY, 2000. "Hedging Housing Risk," FAME Research Paper Series rp26, International Center for Financial Asset Management and Engineering.
- Englund, Peter & Hwang, Min & Quigley, John M., 2002. "Hedging Housing Risk," Berkeley Program on Housing and Urban Policy, Working Paper Series qt06t5d6v0, Berkeley Program on Housing and Urban Policy.
- Englund, Peter & Hwang, Min & Quigley, John M., 2001. "Hedging Housing Risk," SIFR Research Report Series 2, Institute for Financial Research.
- François Ortalo-Magné & Andrea Prat, 2005. "The Political Economy of Housing Supply," Levine's Bibliography 122247000000000954, UCLA Department of Economics.
- Campbell, Sean D. & Davis, Morris A. & Gallin, Joshua & Martin, Robert F., 2009. "What moves housing markets: A variance decomposition of the rent-price ratio," Journal of Urban Economics, Elsevier, vol. 66(2), pages 90-102, September.
- Jonathan Halket & Santhanagopalan Vasudev, 2012.
"Home Ownership, Savings, and Mobility Over The Life Cycle,"
Economics Discussion Papers
712, University of Essex, Department of Economics.
- Jonathan Halket, 2009. "Home Ownership, Savings and Mobility Over The Life Cycle," 2009 Meeting Papers 295, Society for Economic Dynamics.
- Paciorek, Andrew & Sinai, Todd, 2012.
"Does home owning smooth the variability of future housing consumption?,"
Journal of Urban Economics,
Elsevier, vol. 71(2), pages 244-257.
- Andrew Paciorek & Todd M. Sinai, 2010. "Does Home Owning Smooth the Variability of Future Housing Consumption?," NBER Working Papers 16531, National Bureau of Economic Research, Inc.
- Ortalo-Magné, François & Prat, Andrea, 2011. "On the Political Economy of Urban Growth: Homeownership versus Affordability," CEPR Discussion Papers 8243, C.E.P.R. Discussion Papers.
- de Bandt, O. & Barhoumi, K. & Bruneau, C., 2010. "The international transmission of house price shocks," Working papers 274, Banque de France.
- Todd Sinai, 2012.
"House Price Moments in Boom-Bust Cycles,"
in: Housing and the Financial Crisis
National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.