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

Francis K. Cheung
The Chinese University of Hong Kong

Shawn Ni
University of Missouri-Columbia

Alan Siu
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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Last modified: 01/23/2007