A Comparative Study on the Performance of Residential Properties, Stocks & Savings in Household Asset Portfolio
The households in the Chinese urban area now have much more options in selecting assets. The most common assets they prefer are savings, stocks and houses. By quoting the price indices on the housing market and the stock market, and the deposit rates in the financial market, the paper explores the variances of these three major household assets with respect to their risk-return characteristics within the studied period from 1993 to 2002. Moreover the paper discussed the correlations between residential property, property stock, general stock, saving deposit and customer price index (CPI), and experimented to establish, by the Capital Asset Pricing Model (CAPM), a market portfolio of the security market and the housing market, setting security market line (SML). According to the result, on a quarterly basis, residential property investment produces higher risk-adjusted returns than general or property stock investment. However, on an annual basis, the residential property investment is not superior to stock investment. Because of low correlations between residential property and stock returns, residential property is a good candidate for being included into the households investment portfolio to diversify the unsystematic risk. Residential property investment and property stock investment can be regarded as efficient hedges against inflation. As for residential property, more than 86 percent of the total risk is unsystematic risk. The beta for residential property is the smallest, and general stock is the highest, with the property stock at the middle.
CAPM return risk residential property investment stock investment
SUN Bing ZHENG Siqi LIU Hongyu
Institute of Real Estate Studies, Tsinghua University. Beijing. 100084 Institute of Real Estate Studies, Tsinghua University. Beijing. 100084
国际会议
2003 International Conference on Construction & Real Estate Management(2003 建设与房地产管理国际会议)
哈尔滨
英文
126-133
2003-11-20（万方平台首次上网日期，不代表论文的发表时间）