标题：Location, Location, Location: The Econometrics of Asset Pricing with Spatial Interaction

汇报人：Xianhua Peng，Hong Kong University of Science and Technology

功夫：2013-06-27(星期四) 15:00-16:00

地址：拉斯维加斯98882号楼217室

Abstract:

It is common knowledge that spatial interaction is important in modeling real estate assets, as house prices are significantly affected by the neighborhood prices. Although spatial econometrics have been applied to empirical studies of housing markets, there is little theoretical work that studies the risk and return of real estate assets. In this paper, we attempt to fill this gap by proposing a spatial capital asset pricing model (S-CAPM) and a spatial arbitrage pricing theory (S-APT), which extend the classical asset pricing models by incorporating spatial interaction among asset returns. Furthermore, we study asymptotic properties of the estimators and test statistics needed for implementing the models. An empirical study of the futures contracts on the S\P/Case-Shiller Price Indices shows that the spatial interaction is statistically significant.

This is a joint work with Steven Kou and Haowen Zhong.