Ortalo-Magné, François and Prat, Andrea (2010) Spatial asset pricing: a first step. Discussion paper, no. 7842. Financial economics, Centre for Economic Policy Research, London, UK.Full text not available from this repository.
People choose where to live and how much to invest in housing. Traditionally, the first decision has been the domain of spatial economics, while the second has been analyzed in finance. Spatial asset pricing is an attempt to combine equilibrium concepts from both disciplines. In the finance context, we show how spatial decisions can be framed as an expanded portfolio problem. Within spatial economics, we identify the consequences of hedging motives for location decisions. We characterize a number of observable deviations from standard predictions in finance (e.g. the definition of the relevant market portfolio for the pricing of risk includes homeownership rates) and in spatial economics (e.g. hedging considerations and the pricing of risk affect the geographic allocation of human capital).
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2010 The Authors|
|Uncontrolled Keywords:||asset pricing, urban economics, real estate|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||G - Financial Economics > G1 - General Financial Markets > G10 - General|
|Sets:||Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Collections > Economists Online
|Date Deposited:||14 Apr 2011 11:32|
Actions (login required)
|Record administration - authorised staff only|