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  1. The Journal of Real Estate Finance and Economics
  2. The Journal of Real Estate Finance and Economics : Volume 34
  3. The Journal of Real Estate Finance and Economics : Volume 34, Issue 2, February 2007
  4. Equilibrium Correlations of Asset Price and Return
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The Journal of Real Estate Finance and Economics : Volume 54
The Journal of Real Estate Finance and Economics : Volume 53
The Journal of Real Estate Finance and Economics : Volume 52
The Journal of Real Estate Finance and Economics : Volume 51
The Journal of Real Estate Finance and Economics : Volume 50
The Journal of Real Estate Finance and Economics : Volume 49
The Journal of Real Estate Finance and Economics : Volume 48
The Journal of Real Estate Finance and Economics : Volume 47
The Journal of Real Estate Finance and Economics : Volume 46
The Journal of Real Estate Finance and Economics : Volume 45
The Journal of Real Estate Finance and Economics : Volume 44
The Journal of Real Estate Finance and Economics : Volume 43
The Journal of Real Estate Finance and Economics : Volume 42
The Journal of Real Estate Finance and Economics : Volume 41
The Journal of Real Estate Finance and Economics : Volume 40
The Journal of Real Estate Finance and Economics : Volume 39
The Journal of Real Estate Finance and Economics : Volume 38
The Journal of Real Estate Finance and Economics : Volume 37
The Journal of Real Estate Finance and Economics : Volume 36
The Journal of Real Estate Finance and Economics : Volume 35
The Journal of Real Estate Finance and Economics : Volume 34
The Journal of Real Estate Finance and Economics : Volume 34, Issue 4, May 2007
The Journal of Real Estate Finance and Economics : Volume 34, Issue 3, April 2007
The Journal of Real Estate Finance and Economics : Volume 34, Issue 2, February 2007
Sorting, Franchising and Real Estate Brokerage Firms
Have Equity REITs Experienced Periodically Collapsing Bubbles?
Do Tighter Restrictions on Density Retard Development?
Equilibrium Correlations of Asset Price and Return
Technological Change as Reflected in Hotel Property Prices
The Journal of Real Estate Finance and Economics : Volume 34, Issue 1, January 2007
The Journal of Real Estate Finance and Economics : Volume 33
The Journal of Real Estate Finance and Economics : Volume 32
The Journal of Real Estate Finance and Economics : Volume 31
The Journal of Real Estate Finance and Economics : Volume 30
The Journal of Real Estate Finance and Economics : Volume 29
The Journal of Real Estate Finance and Economics : Volume 28
The Journal of Real Estate Finance and Economics : Volume 27
The Journal of Real Estate Finance and Economics : Volume 26
The Journal of Real Estate Finance and Economics : Volume 25
The Journal of Real Estate Finance and Economics : Volume 24
The Journal of Real Estate Finance and Economics : Volume 23
The Journal of Real Estate Finance and Economics : Volume 22
The Journal of Real Estate Finance and Economics : Volume 21
The Journal of Real Estate Finance and Economics : Volume 20
The Journal of Real Estate Finance and Economics : Volume 19
The Journal of Real Estate Finance and Economics : Volume 18
The Journal of Real Estate Finance and Economics : Volume 17
The Journal of Real Estate Finance and Economics : Volume 16
The Journal of Real Estate Finance and Economics : Volume 15
The Journal of Real Estate Finance and Economics : Volume 14

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Preprint

Equilibrium Correlations of Asset Price and Return

Content Provider Springer Nature Link
Author Leung, Charles Ka Yui
Copyright Year 2007
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.
Ending Page 256
Page Count 24
Starting Page 233
File Format PDF
ISSN 08955638
e-ISSN 1573045X
Journal The Journal of Real Estate Finance and Economics
Issue Number 2
Volume Number 34
Language English
Publisher Kluwer Academic Publishers-Plenum Publishers
Publisher Date 2007-04-03
Publisher Place New York
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Serial and cross correlation Regional Science Price and return Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) Finance /Banking Rational expectation Predictability Urban, Rural, Regional, Real Estate, and Transportation Economics: Household Analysis: General Market efficiency General Financial Markets: General (includes Measurement and Data)
Content Type Text
Resource Type Article
Subject Finance Urban Studies Accounting Economics and Econometrics
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