We develop a housing consumption capital asset pricing model for economies with an antichresis rent market wherein property owners receive up‐front lump‐sum deposits from renters instead of monthly rents and use it as leverage to acquire housing assets for rent. We estimate the model using antichresis rent market and stock market data for Korea. We find that housing consumption and nonhousing consumption, which are complementary over the long term, have sufficient cross‐sectional elasticity of substitution, leading to a meaningful composition risk premium. We find that the housing expenditure share is procyclical, while intratemporal elasticity of substitution between housing and nonhousing consumption is close to but larger than one and greater than intertemporal elasticity of substitution. As a result, the composition risk arising from the nonseparability of housing and nonhousing consumption induces a sizable positive risk premium. Finally, we examine the effect of interest rate risk by decomposing composition risk into interest rate risk and noninterest rate risk and find that interest rate risk is primarily responsible for the positive composition risk premium.

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具有固定租金市场的住房消费资本资产定价模型：不可分割性和构成风险

我们为具有反固定租金市场的经济体开发了住房消费资本资产定价模型，在该模型中，业主从租户那里获得了一次性的一次性总付存款，而不是每月租金，并以此作为获取住房资产以出租的杠杆。我们使用韩国防租租市场和股市数据估算模型。我们发现，长期而言互补的住房消费和非住房消费具有足够的替代横截面弹性，从而带来了有意义的成分风险溢价。我们发现住房支出份额是周期性的，而住房和非住房消费之间的时空替代弹性接近但大于一，并且大于时空替代弹性。结果是，住房和非住房消费的不可分割性所带来的构成风险导致了可观的正风险溢价。最后，我们通过将构成风险分解为利率风险和非利率风险来研究利率风险的影响，并发现利率风险主要是正构成风险溢价的原因。