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Consumption, Housing Rents, and Housing Price: A Test of a Real Estate Pricing Model Using Hong Kong Data

By Francis K. Cheung, Shawn Ni and Alan Siu

Abstract

The present study investigates whether Hong Kong’s volatile real estate market is consistent with a non-linear consumption-based-asset-pricing model. It finds that the assetpricing model is not rejected for some types of properties. However, the differentials between the returns to residential properties and risk-free rate are too large to be explained by the model. Key words: real estate investment, asset pricing, GMM estimation

Year: 2011
OAI identifier: oai:CiteSeerX.psu:10.1.1.198.2674
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