Determinants of disposition effect in the real estate market: Evidence from Taiwan

IF 4.8 2区 经济学 Q1 BUSINESS, FINANCE
Ching-Hsiang Chao , Chuang-Chang Chang , Tsung-Yu Chen , Zhen-Xing Wu
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引用次数: 0

Abstract

This paper examines the disposition effect and its determinants in the Taiwanese real estate market. Our empirical results show that while a disposition effect does exist, its effects decayed after 2012. Further analyses employing quantile regression on the holding period reveal that the disposition effect persists even after investors retain assets for extended durations. Our findings also indicate that investors maintain a propensity to sell wining assets and hold losing assets even when confronted with extreme returns. Thus, we conclude that disposition effect in the real estate market could be best explained by prospect theory. Most importantly, we demonstrate that changes in the disposition effect are attributed to an enhanced information environment involving, for example, economic events, policy changes, and market conditions associated with information transparency. These findings suggest that information environment and trading volume are pivotal factors influencing households' behavioral biases.

房地产市场处置效应的决定因素:来自台湾的证据
本文研究了台湾房地产市场的处置效应及其决定因素。我们的实证结果表明,虽然处置效应确实存在,但其影响在 2012 年后有所减弱。利用持有期的量化回归进行的进一步分析表明,即使投资者保留资产的时间较长,处置效应仍然存在。我们的研究结果还表明,即使面对极端回报,投资者仍倾向于出售获利资产并持有亏损资产。因此,我们得出结论,房地产市场中的处置效应最适合用前景理论来解释。最重要的是,我们证明了处置效应的变化可归因于信息环境的改善,例如经济事件、政策变化以及与信息透明度相关的市场条件。这些发现表明,信息环境和交易量是影响家庭行为偏差的关键因素。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Pacific-Basin Finance Journal
Pacific-Basin Finance Journal BUSINESS, FINANCE-
CiteScore
6.80
自引率
6.50%
发文量
157
期刊介绍: The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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