Review of Finance, Volume 21, Issue 6, October 2017, Pages 2315–2352

住房财富对股票流动性的影响

作者：Juan Luo (The University of Adelaide Business School, Australia), Limin Xu (The University of Adelaide Business School, Australia)，Ralf Zurbruegg (The University of Adelaide Business School, Australia)

摘要

我们记录了住房财富对当地公司股票流动性的影响。我们首先证明了在不同地理区域的房屋所有权比率的异质性，能够解释房价变化对当地股票流动性的影响。接着，我们显示，与住房财富的增加将导致家庭风险厌恶情绪的降低这一预期一致的是，博彩型股票和由个人投资者主导的股票的流动性将会上升。我们还表明，它促进了当地流动性的共性，并降低了在股票收益中披露的公司特定信息的比例。

The Impact of Housing Wealth on Stock Liquidity

Juan Luo (The University of Adelaide Business School, Australia), Limin Xu (The University of Adelaide Business School, Australia)，Ralf Zurbruegg (The University of Adelaide Business School, Australia)

ABSTRACT

We document a housing wealth effect on the stock liquidity of local firms. We first demonstrate that the heterogeneity of homeownership rates across geographical areas can explain variations in the impact that changes in house prices have on local stock liquidity. We then show, consistent with expectations that an increase in housing wealth leads to a reduction in household risk aversion, that the liquidity of lottery stocks and stocks dominated by individual investors rises. We also show that it promotes local liquidity commonality and reduces the proportion of firm-specific information revealed in stock returns.

原文链接：https://academic.oup.com/rof/article-abstract/21/6/2315/2444591?redirectedFrom=fulltext

翻译：阙江静