In a model with housing collateral, a decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price o
This study uses the numerical changes of the systematic skewness factors to reflect investors’ preferences for the systematic skewness of stocks. As systematic skewness describes the correlation betwe
We analyze monthly returns on an equally-weighted index of 18 to 23 equity (real property) real estate investment trusts (REITs) that were traded on major stock exchanges over the 1973-87 period. We e
