Two Essays on Real Estate Investment Behaviors: Anchoring Bias and Disposition Effect

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趙慶祥(Ching-Hsiang Chao) 查詢紙本館藏

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財務金融學系

論文名稱

(Two Essays on Real Estate Investment Behaviors: Anchoring Bias and Disposition Effect)

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摘要(中)

本論文由兩篇關於不動產行為財務的研究所構成。

第一篇文章旨在驗證不動產市場中，買方購屋決策是否存在定錨行為與其對房價所造成的影響。受惠於首度取得台灣不動產市場中完整的實際交易資料，我們發現不分『性別』，定錨偏誤普遍存在於購屋決策中。此外，在比較不同的購屋者型態後，發現跨區購屋者與系統性不確定下的購屋者較容易受定錨偏誤影響;投資者願付價格之捷思偏誤會造成合理房價之偏離。

第二篇則在探討不動產投資者是否存在急售獲利，惜售損失的處分效果。透過彙整重覆交易的不動產成交資料，我們發現不分『性別』，處分效果普遍存在於投資者的賣屋決策中。此外，在比較不同的房屋擁有者型態與交易特徵後，發現富有經驗的售屋者較能夠不受處分效果的影響；另一方面，總價較高的不動產出售則存在顯著的處分偏誤。

摘要(英)

This dissertation contains two essays on the behavioral research in real estate: anchoring bias and disposition effect.

First Essay:
Anchoring Bias from the Buy-side in the Real Estate Market

We examine the existence and potential influences of anchoring bias within the real estate market by evaluating evidence and a priori arguments on the effects of investor sentiment on willingness to pay among homebuyers. Based upon a unique dataset which provides the complete histories of transactions in the real estate market, we investigate whether market participants can see through the bias; that is, we examine whether such homebuyers are actually likely to fall into the anchoring trap. Our findings reveal that the anchoring phenomenon prevails regardless of homebuyer′s gender. Whilst a comparison between different kinds of homebuyers and geographical regions also reveals that homebuyers faced with higher systemic uncertainty and out-of-state housing transactions exhibit higher levels of anchoring; the heuristic thinking biased willingness to pay on the part of investors gives rise to the deviations from reasonable and actual housing values.

Second Essay:
The Comprehensive Disposition Effect: Evidence from the Real Estate Market

This paper examines whether real estate investors exhibit the “disposition effect” to ride long on losses and realize gains too soon. Based upon a unique dataset which provides complete histories of repeat transactions in the real estate market, we document the existence of disposition effect among homeowners regardless of their gender. Further comparing with different kinds of homeowners and transaction characteristics reveal that while sophisticated homeowners are less susceptible to the disposition effect, those who dealt with smaller property sizes exhibit significantly stronger disposition effect.

關鍵字(中)

★ 不動產市場
★ 定錨偏誤
★ 願付價格
★ 處分效果
★ 房屋擁有者

關鍵字(英)

★ Real estate markets
★ Anchoring bias
★ Willingness to pay
★ The disposition effect
★ Homeowner

論文目次

Chinese Abstract.........................................Ⅰ
English Abstract.........................................Ⅱ
Contents.................................................Ⅳ
List of Figures..........................................Ⅶ
List of Tables...........................................Ⅷ
First Essay Anchoring Bias from the Buy-side in the Real Estate Market
1. Introduction..........................................1
2. Theoretical Search Model for Buyer Anchoring..........5
3. Literature Review and Hypothesis Development..........9
3.1 Prior Anchoring Research.............................9
3.2 Hypothesis Development...............................12
3.2.1 Anchoring to the Reference Price...................12
3.2.2 Gender in Anchoring................................13
3.2.3 Experience and Anchoring...........................13
3.2.4 Increased Uncertainty..............................13
4. Data and Methodology..................................15
4.1 Data.................................................15
4.2 Variables............................................16
4.3 Methology............................................18
5. Empirical Results.....................................20
5.1 Sample Description...................................20
5.2 Anchoring Effect.....................................22
5.3 Financial Crisis.....................................24
5.4 Out-of-State Buyers..................................25
6. Robustness Analysis...................................27
6.1 Listing Price as An Alternative Reference Price......27
6.2 Robustness on Different House Types..................28
6.3 On the Fourth Floor..................................28
7. Conclusions...........................................29
References...............................................32
Appendix: Derivations of Marginal Effects under Assumed Log-normal Distribution......................................37

Second Essay The Comprehensive Disposition Effect: Evidence from the Real Estate Market
1. Introduction..........................................67
2. Literature Review and Hypothesis Development..........71
2.1 Prior Research on Disposition Effect.................71
2.2 Hypothesis Development...............................73
2.2.1 The True Disposition Effect........................73
2.2.2 Pricing Issue in Disposition Effect................74
2.2.3 In The Face of Greater Uncertainty.................74
2.2.4 Gender Issue in Disposition Effect.................76
2.2.5 Experience and Disposition Effect..................77
3. Data and Methodology..................................78
3.1 A Unique Data Set....................................78
3.2 Variables............................................79
3.3 Methological Steup...................................81
4. Empirical Results.....................................83
4.1 Sample Description...................................83
4.2 Disposition Effect...................................84
4.3 Pricing Issue in Disposition Effect..................86
4.4 In Face of Greater Uncertainty.......................87
4.5 Gender Issue in Disposition Effect...................88
4.6 Age, Experience and Disposition Effect...............89
5. Robustness Analysis...................................91
5.1 House Type and Disposition Effect....................91
5.2 Liquidity and Disposition Effect.....................92
6. Conclusions...........................................93
References...............................................96

List of Figures
First Essay Anchoring Bias from the Buy-side in the Real Estate Market

Figure 1 The Composition of the Different Property Categories...............................................66
Figure 2 The Composition of the Different Male Groups...................................................66
Figure 3 The Composition of the Different Female Groups...................................................66

Second Essay The Comprehensive Disposition Effect: Evidence from the Real Estate Market
Figure 1 Proportion of Different Return Range Categories..............................................120

List of Tables
First Essay Anchoring Bias from the Buy-side in the Real Estate Market

Table 1 Variable Definitions............................44
Table 2 Descriptive Statistics..........................47
Table 3 Correlation Matrix..............................48
Table 4 Regression Results on a Hedonic Price Model with the Inclusion of Anchoring Effect.......................50
Table 5 Regression Results on a Hedonic Price Model with Different Gender Samples................................52
Table 6 Regression Results on a Hedonic Price Model with Heckman (1979) Correction...............................54
Table 7 Regression Results on a Hedonic Price Model with Information-rich Samples................................56
Table 8 Hedonic Price Model Estimation Results with the Inclusion of Listing Price..............................58
Table 9 Semi-log Regression Model Estimation Results for Different Housing Categories............................60
Table 10 Box-Cox Regression Model Estimation Results for Different Housing Categories............................62
Table 11 Hedonic Price Model Regression Results on F4 Samples.................................................64

Second Essay The Comprehensive Disposition Effect: Evidence from the Real Estate Market
Table 1 Variable Definitions............................101
Table 2 Descriptive Statistics..........................104
Table 3 Correlation Matrix..............................105
Table 4 Duration for Trades: Gain Compared to Loss by Owner′s Types...........................................107
Table 5 Regression Results on a Hedonic Price Model with Heckman (1979) Correction...............................108
Table 6 Regression Results on a Hedonic Price Model with Different Gender Samples................................110
Table 7 Regression Results for a Hedonic Price Model in Different Investor Level................................111
Table 8 Regression Results for a Hedonic Price Model in Different Investor Group Samples........................113
Table 9 Duration for Trades: Gain Compared to Loss by Housing Categories......................................115
Table 10 Semi-log Regression Model Estimation Results for Different Housing Categories............................116
Table 11 Regression Results on a Hedonic Price Model in Hot and Cold Markets........................................118

參考文獻

First Essay:
Anchoring Bias from the Buy-side in the Real Estate Market

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Second Essay The Comprehensive Disposition Effect: Evidence from the Real Estate Market

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指導教授

張傳章、葉錦徽(Chuang-Chang Chang Jin-Huei Yeh)

審核日期

2016-7-11

推文