|Title: Consumption, Housing Rents and Housing Price: A Test of a Real Estate Pricing Model Using Hong Kong Data|
|Reference Number: 1004|
|Publication Date: February 2000|
|JEL Classifcation: C22, E3, G12 |
| Author(s): |
Francis K. Cheung
The Chinese University of Hong Kong
University of Missouri-Columbia
The University of Hong Kong
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 asset-pricing 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.
Published in Pacific Economic Review 8:1 (January 2003), pp.31-45.
Key words: Real estate investment, asset pricing, GMM estimation
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