Explaining asset price booms poses a difficult question for researchers in macroeconomics: how can large and persistent price growth be explained in the absence large and persistent variation in fundamentals? This paper argues that boom-bust behavior in asset prices can be explained by a model...

Using a measure of local long-run growth prospects, I uncover a novel link between economic fundamentals and prices of a segmented asset class, housing. While excess housing returns are positively associated with the level of growth prospects, housing valuations (price-to-rent ratios) are...

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a housing asset...

We develop a two-factor novel model incorporating the market excess return and alternative real estate portfolios. This setup of model and alternative real estate factor particularly brings the practitioners the significant perspective that how much the real estate portfolios is priced. The...