원문정보
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초록
영어
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.
목차
Abstract
1. Introduction
2. Data
3. Cross-sectional momentum portfolios
4. Do housing momentum forecast future economic states?
5. Household credit expansion
6. Conclusion
Reference
1. Introduction
2. Data
3. Cross-sectional momentum portfolios
4. Do housing momentum forecast future economic states?
5. Household credit expansion
6. Conclusion
Reference
저자정보
참고문헌
자료제공 : 네이버학술정보