We use a finite mixture model to identify latent submarkets from household demographics that estimates a separate hedonic regression equation for each submarket. The method is a relatively robust empirical tool to extract submarkets from demographic information with far less effort than...

It is well known that risk factors influence how investment portfolios perform from a lender’s perspective; therefore, a thorough risk assessment of the housing market is vital. The aim of this paper was to analyze the risks from housing apartments in different housing market segments by using...

Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate this equality and create high-Sharpe ratio opportunities. We develop new methods for asset pricing with cross-sectional heterogeneity in...

This paper studies market segmentation that arises from the introduction of a price ceiling in the market for rental housing. When part of the market faces rent control, theory predicts an increase of free-market rents, a consequence of misallocation of households to housing units. We study a...