재무연구 제 권 호 (2020년 11월)
Asian Review of Financial Research, Vol., No..
pp.659~691
pp.659~691
Cross-regional Housing Momentum and Business Cycle
Jaesun Yun Dongguk University
Jangkoo Kang College of Business, Korea Advanced Institute of Science and Technology
We investigate the cross-sectional housing momentum and its predictability for the future macroeconomic outputs and the future stock markets. We find that the cross-sectional housing momentum profits negatively predict future industrial production growth and future GDP growth. Furthermore, the housing momentum returns negatively predict aggregate stock returns, and positively predict aggregate stock variance. We suggest that the negative predictability is related to the household credit expansion.
Jaesun Yun
Jangkoo Kang
We investigate the cross-sectional housing momentum and its predictability for the future macroeconomic outputs and the future stock markets. We find that the cross-sectional housing momentum profits negatively predict future industrial production growth and future GDP growth. Furthermore, the housing momentum returns negatively predict aggregate stock returns, and positively predict aggregate stock variance. We suggest that the negative predictability is related to the household credit expansion.
Housing market,momentum,credit expansion,household credit,real business cycle
