NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective

Hanno Lustig, Stijn Van Nieuwerburgh

NBER Working Paper No. 9959
Issued in September 2003
NBER Program(s):   AP

In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk. Using aggregate data for the US, we find that a decrease in the ratio of housing wealth to human wealth predicts higher returns on stocks. Conditional on this ratio, the covariance of returns with aggregate risk factors explains eighty percent of the cross-sectional variation in annual size and book-to-market portfolio returns. A data appendix for this paper is available.

download in pdf format
   (1229 K)

email paper

This paper is available as PDF (1229 K) or via email.

A data appendix is available at http://www.nber.org/data-appendix/w9959/

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w9959

Published: Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, 06. citation courtesy of

Users who downloaded this paper also downloaded these:
Lustig and Van Nieuwerburgh w10505 How Much Does Household Collateral Constrain Regional Risk Sharing?
Lustig and Van Nieuwerburgh w10955 A Theory of Housing Collateral, Consumption Insurance and Risk Premia
Lustig and Chien w11132 The Market Price of Aggregate Risk and the Wealth Distribution
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us