前景理论与双向配置效应:来自房地产市场的理论与证据

Z. Li, Michael J. Seiler, Hua Sun
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引用次数: 3

摘要

我们在一般定义的前景价值函数下对卖房者的定价决策进行建模。我们发现一个简单的处置效应是由参考依赖引起的,但它只存在于代理是风险中性的情况下。敏感性的降低将通过产生局部反向处置效应而导致双向处置效应,在这个范围内,卖方的要价随着潜在损失的增加而降低。损失厌恶倾向于放大处置效应,从而减轻反向处置效应。一个直接的暗示是,Genesove和Mayer[2001]以及Pope和Schweitzer[2011]等广受好评的损失厌恶测试可能是无效的。我们通过使用来自弗吉尼亚州的多个上市服务数据来呈现与模型一致的证据。我们的研究结果表明,主要关注单向处置效应的研究可能过于简单和误导,因为它依赖于风险中立的强烈假设。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Prospect Theory and a Two-way Disposition Effect: Theory and Evidence from the Housing Market
We model a home seller's pricing decision under a generally defined prospect value function. We show a simple disposition effect is caused by reference dependence, but it only exists when the agent is risk neutral. Diminishing sensitivity will lead to a two-way disposition effect by generating a local reverse disposition effect, a range in which the seller's asking price decreases with increasing potential loss. Loss aversion tends to magnify the disposition effect and hence mitigates the reverse disposition effect. One direct implication is that acclaimed tests on loss aversion such as Genesove and Mayer [2001] and Pope and Schweitzer [2011] are likely invalid. We present evidence consistent with the model by using multiple listing service data from Virginia. Our findings suggest that studies which predominantly focus on a one-way disposition effect can be overly simplistic and misleading as it depends on the strong assumption of risk neutrality.
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