Statistics Seminar（2013-15）

Topic:Location, Location, Location: The Econometrics of Asset Pricing with Spatial Interaction

Speaker:Xianhua Peng, Hong Kong University of Science and Technology

Time:Thursday, 27 June,15:00-16:00

Location:Room 217, Guanghua Building 2

Abstract：It is common knowledge that spatial interaction is important in modeling real estate assets, as house prices are significantly affected by the neighborhood prices. Although spatial econometrics have been applied to empirical studies of housing markets, there is little theoretical work that studies the risk and return of real estate assets. In this paper, we attempt to fill this gap by proposing a spatial capital asset pricing model (S-CAPM) and a spatial arbitrage pricing theory (S-APT), which extend the classical asset pricing models by incorporating spatial interaction among asset returns. Furthermore, we study asymptotic properties of the estimators and test statistics needed for implementing the models. An empirical study of the futures contracts on the S\P/Case-Shiller Price Indices shows that the spatial interaction is statistically significant.

About the speaker:Xianhua Peng has been an Assistant Professor in the Department of Mathematics at Hong Kong University of Science and Technology since 2010. He was a Fields Ontario Postdoctoral Fellow at Fields Institute and York University from 2009 to 2010. He received a Ph.D. degree in Operations Research at Columbia University in 2009. He got a B.S. in Information Science and a M.S. in Applied Mathematics in the School of Mathematical Sciences at Beijing University in 2000 and 2003, respectively. His main research interests are in financial engineering, risk management, applied probability, and financial econometrics.