Earticle

초록

영어

This research investigates the impact of regional disparities in housing markets on future investment opportunities and equity returns. The study finds that regional disparity can predict negative future market returns, positive future volatility, and negative industrial production growth, indicating that widening gaps in housing markets foreshadow poor macroeconomic activities and difficult investment prospects. Additionally, in the US equity market, stocks with a negative correlation to regional disparity yield higher future returns, while those with a positive correlation yield lower returns. This relationship is not explained by Fama-French three or five-factor models, suggesting that investors may be willing to pay a premium for hedging portfolios to mitigate the risk associated with regional disparities in housing markets.

목차

Abstract
1. Introduction
2. Data and measure
2.1 Data
2.2 Measure
3. Empirical Results
3.1 Regional disparity and investment opportunity set
3.2 Pricing implications in the cross-section of equity returns
4. Conclusion
References
Table

키워드

저자

• Jaesun Yun [ Keimyung University ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330