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- W2943225734 abstract "Abstract The study analyzes the roles of metropolitan housing assets in risk diversification by assessing intertemporal hedging demands for multi‐asset portfolios, which include metropolitan houses, REITs, stocks, bonds, and riskless assets. Investors substitute housing assets in high‐population MSAs with those in low‐population cities, and they switch their holdings of housing assets to less risky bonds in the 2007–2008 housing bust. The findings from the multi‐period portfolio choice problem provide evidence for momentum reversal since forward‐looking investors substitute bottom metropolitan housing assets for top ones in the housing boom, and the GTTB index and the lagged REIT price return have negative impacts on various asset returns." @default.
- W2943225734 created "2019-05-09" @default.
- W2943225734 creator A5077377569 @default.
- W2943225734 date "2019-04-30" @default.
- W2943225734 modified "2023-09-28" @default.
- W2943225734 title "Risk diversification gains from metropolitan housing assets" @default.
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- W2943225734 doi "https://doi.org/10.1002/rfe.1062" @default.
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