Equilibrium correlations of asset price and return
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 233-256 |
| Journal / Publication | Journal of Real Estate Finance and Economics |
| Volume | 34 |
| Issue number | 2 |
| Publication status | Published - Feb 2007 |
Link(s)
Abstract
Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This paper complements the literature by building a simple dynamic general equilibrium with fully rational agents, and obtain closed form solutions for the implied auto- and cross-correlations. The length of time horizon, as well as the persistence of economic shock matter. Implications and future research directions are then discussed. © Springer Science+Business Media, LLC 2007.
Research Area(s)
- Market efficiency, Predictability, Price and return, Rational expectation, Serial and cross correlation
Citation Format(s)
Equilibrium correlations of asset price and return. / Leung, Charles Ka Yui.
In: Journal of Real Estate Finance and Economics, Vol. 34, No. 2, 02.2007, p. 233-256.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
