{"corpus_id":285671784,"paper_sha":"1362a2ffecc28930ee9d54a8e2903b329f9d781d","doi":"10.1111/J.1540-6261.2005.00759.X","arxiv_id":null,"pmid":null,"pmcid":null,"mag_id":2154185182,"dblp_id":null,"acl_id":null,"title":"Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective","year":2005,"publication_date":"2005-06-01","venue":"","journal":{"name":"Journal of Finance","pages":"1167-1219","volume":"60"},"journal_issn":null,"journal_title":null,"publication_types":[],"pubmed_pub_types":null,"s2_fields_of_study":["Economics"],"reference_count":63,"citation_count":119,"influential_citation_count":2,"is_open_access":true,"arxiv_categories":null,"arxiv_license":null,"arxiv_journal_ref":null,"mesh_headings":null,"chemicals":null,"comments_corrections":null,"source_flags":1,"s2_open_access_pdf_url":"http://papers.nber.org/papers/w9959.pdf","s2_open_access_landing_url":"https://www.semanticscholar.org/paper/1362a2ffecc28930ee9d54a8e2903b329f9d781d","s2_open_access_license":null,"s2_open_access_status":"GREEN","pmc_open_access_pdf_url":null,"pmc_open_access_landing_url":null,"pmc_open_access_license":null,"pmc_open_access_status":null,"unpaywall_open_access_pdf_url":null,"unpaywall_open_access_landing_url":null,"unpaywall_open_access_license":null,"unpaywall_open_access_status":null,"abstract":"ABSTRACT 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 United States, 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 80% of the cross‐sectional variation in annual size and book‐to‐market portfolio returns.","claims":[{"public_id":"cl_3dc4999c8b3b953cc762a36dbe51bb54","status":"active","text":"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.","confidence":0.85,"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/claims/cl_3dc4999c8b3b953cc762a36dbe51bb54"},{"public_id":"cl_b5d62522fc736e6dd0fee518377be1ee","status":"active","text":"A decrease in the ratio of housing wealth to human wealth predicts higher returns on stocks.","confidence":0.9,"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/claims/cl_b5d62522fc736e6dd0fee518377be1ee"},{"public_id":"cl_066dd189d9badea298c2b2139bbd0633","status":"active","text":"Conditional on the ratio of housing wealth to human wealth, the covariance of returns with aggregate risk factors explains 80% of the cross‐sectional variation in annual size and book‐to‐market portfolio returns.","confidence":0.9,"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/claims/cl_066dd189d9badea298c2b2139bbd0633"},{"public_id":"cl_27b04c30a7d33cf0f367c1fef611acdc","status":"active","text":"In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth.","confidence":0.85,"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/claims/cl_27b04c30a7d33cf0f367c1fef611acdc"}],"concepts":[{"public_id":"co_03813cde5046e8692359c6b12a78fc8a","status":"active","name":"housing collateral","description":"Housing used as collateral in the model, linking housing wealth to household risk exposure and asset pricing.","types":["model component"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_03813cde5046e8692359c6b12a78fc8a"},{"public_id":"co_146c522aa67fd10bd3d770ee7193c1ca","status":"active","name":"cross‐sectional variation","description":"Variation across different portfolios (size and book-to-market) in annual returns, explained by covariance with aggregate risk factors.","types":["phenomenon"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_146c522aa67fd10bd3d770ee7193c1ca"},{"public_id":"co_194a200dfcdf9e3a66f5a8a2da4c5859","status":"active","name":"ratio of housing wealth to human wealth","description":"The ratio of housing wealth to human wealth, used as a predictor of stock returns and a shifter of conditional distributions.","types":["predictor","economic variable"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_194a200dfcdf9e3a66f5a8a2da4c5859"},{"public_id":"co_340e73a988b413feda303eae1d992922","status":"active","name":"household exposure to idiosyncratic risk","description":"The exposure of households to idiosyncratic risk, which increases when the collateral value of housing decreases.","types":["risk factor"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_340e73a988b413feda303eae1d992922"},{"public_id":"co_72ee8effee9eed61b20db619dd17f342","status":"active","name":"conditional market price of risk","description":"The market price of risk conditional on economic conditions, which increases when house prices decrease.","types":["risk measure"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_72ee8effee9eed61b20db619dd17f342"},{"public_id":"co_75bf18714863354c082d338d92171d50","status":"active","name":"covariance of returns with aggregate risk factors","description":"The covariance of portfolio returns with aggregate risk factors, used to explain cross-sectional variation conditional on the housing wealth to human wealth ratio.","types":["measure","statistical quantity"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_75bf18714863354c082d338d92171d50"},{"public_id":"co_7f0235d6a25f9b98e34df5f698de5664","status":"active","name":"size and book‐to‐market portfolio returns","description":"Annual returns on portfolios sorted by size and book-to-market, whose cross-sectional variation is explained by covariance with aggregate risk factors.","types":["portfolio type"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_7f0235d6a25f9b98e34df5f698de5664"},{"public_id":"co_a011fac00f9388f28433d3e7003d302c","status":"active","name":"consumption growth","description":"Growth in consumption, whose conditional distribution is shifted by the ratio of housing wealth to human wealth.","types":["economic variable"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_a011fac00f9388f28433d3e7003d302c"},{"public_id":"co_a84757bdc7d7d32923807dfd0154662a","status":"active","name":"stock returns","description":"Returns on stocks, predicted to be higher when the ratio of housing wealth to human wealth decreases.","types":["outcome"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_a84757bdc7d7d32923807dfd0154662a"},{"public_id":"co_ca1e8e19e908c4f87e635dfe191a9a99","status":"active","name":"collateral value of housing","description":"The value of housing as collateral, which decreases when house prices fall.","types":["economic variable"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_ca1e8e19e908c4f87e635dfe191a9a99"},{"public_id":"co_f4ee00b5cef0533d66f4c05d59d14cda","status":"active","name":"conditional distribution of asset prices","description":"The distribution of asset prices conditional on the ratio of housing wealth to human wealth, shifted by that ratio.","types":["distribution"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_f4ee00b5cef0533d66f4c05d59d14cda"},{"public_id":"co_f91419da013f80fe6370edfd4d7cde6e","status":"active","name":"house prices","description":"Prices of houses; a decrease reduces the collateral value of housing.","types":["economic variable"],"aliases":[],"contributors":[{"id":32,"public_id":"7c402c1b98","public_label":"뀨 (7c402c1b98)","roles":["extraction"],"url":"https://sah.borca.ai/u/7c402c1b98"},{"id":1,"public_id":"12632b8b5f","public_label":"Anonymous (12632b8b5f)","roles":["review"],"url":"https://sah.borca.ai/u/12632b8b5f"}],"url":"https://sah.borca.ai/concepts/co_f91419da013f80fe6370edfd4d7cde6e"}],"external_ids":{"DOI":"10.1111/J.1540-6261.2005.00759.X","ArXiv":null,"PubMed":null,"PubMedCentral":null,"MAG":2154185182,"DBLP":null,"ACL":null},"open_access":{"is_open_access":true,"pdf_url":"http://papers.nber.org/papers/w9959.pdf","landing_url":"https://www.semanticscholar.org/paper/1362a2ffecc28930ee9d54a8e2903b329f9d781d","source":"semantic_scholar","pdf_url_source":"semantic_scholar_open_access_pdf","license":null,"status":"GREEN","reason":null},"reference_availability":{"status":"available","references_indexed":true,"full_text_available":false,"full_text_source":null,"count_basis":"semantic_scholar_metadata","extraction_status":"not_applicable","reason":null},"source":{"provider":"episteme2","base_corpus":"semantic_scholar_dump","freshness_mode":"unknown","basis":["semantic_scholar_metadata","postgres_metadata"],"limits":["paper metadata is based on indexed upstream scholarly datasets","claims and concepts are available only for extracted papers","absence of claims or concepts means no extracted graph data is available in this response"],"status":"available","degraded":false,"degraded_reasons":[],"diagnostics":{"status":"available","degraded":false,"degraded_reasons":[],"metadata_status":"available","graph_status":"available","abstract_status":"available"},"source_flags":1},"paper_id":635759,"paper_uid":"ae714864-28c4-4594-a431-b49edb2264ca","canonical_identity":{"paper_id":635759,"paper_uid":"ae714864-28c4-4594-a431-b49edb2264ca","identity_status":"available","lookup_basis":"semantic_scholar_external_id","compatibility_path":"corpus_id"},"url":"https://sah.borca.ai/papers/285671784"}