房價能否預測股票報酬？

DO HOUSING PRICES PREDICT STOCK RETURNS

房地產不僅提供居住服務，同時佔家計單位資產組合相當高的財富比例，其價格變動對家計單位投資、消費的決策有著深遠的影響。本文基於消費基礎資產定價模型，對台灣的總體資料以及個體家計單位資料進行實證，檢視房價變動是否會引起家計單位持股比例的改變，進而可用來預測股票報酬。利用總體資料，我們檢視台灣整體新屋及中古屋房價變動的風險對總合消費以及不同類型股票風險溢酬的影響，結果發現新屋房價風險溢酬對價值型股票風險溢酬的預測比起中古屋房價風險溢酬更合乎消費基礎定價的觀點，隱含新屋房價風險、總合消費及價值型股票風險三者之間極可能存在高度的共變異性。由個體的角度來解釋上述現象的成因，我們發現家計單位可能會因房價變動所引起的抵押擔保增強效果，增加持股的財富比例；同時也受到房價變動的風險替代效果，進而減少持股。

This paper combines the consumption-base asset pricing model with the risk premium of housing prices (i.e. new-house and second-hand-house price indices) to study whether housing prices predict the long-term expected stock return in Taiwan. We find that new-house price risk is an efficient instrument to predict the long-term expected return of value stocks because of the high covariance of new-house price risk, aggregate consumption and the risk premium of value stocks. Household data are used to examine how new-house price risk influences the expected return of value stocks. We also find that households tend to rebalance their shareholding because of both relaxed liquidity constraint and risk substitution effect caused by variation in housing prices.