Securitization and Real Estate Market Efficiency

不動產市場以缺乏效率著名。這是因為 不動產具高度異質性、高交易成本、以及缺乏 充分交易資訊所致。此外，不動產的低流動性 也是造成不動產價格無法反映其基本價值的 主要原因。證券化被廣泛討作為提昇不動產市 場效率的一種方式，因為一般相信與個別交易 市場比較，在公開市場上，資產價格將較接近 其基本價值。然而，有系統的探討上述兩市場 訂價差異並提供嚴謹實證證據的研究相當 少。本研究將藉對香港市場的研究來探討上述 議題。本研究的實證解果卻與上述預期相反。 我們在證券化的市場發現了泡沫現象,卻未在 未在證券化的不動產市場中看到。有三種可能 的原因來解釋此現象(1)由於未在證券化的不 動產市場，投資人承擔了極大的流動性風險， 因此投資人決策會較審慎，產生泡沫現象的機 會也較少；(2) 由於未在證券化的不動產市 場，投資金額龐大，投資人有財富上的限制， 此類投資人通常較有經驗，不易受到傳言影 響。反之，證券化市場較無經驗小額投資人也 可參與，容易造成泡沫現象。(3) 相較於未在 證券化的市場，在證券化的市場中的投資人， 可能因為認為面臨的流動性風險極低，而從事 大膽的投機行為，因而提供產生泡沫現象的環 境。本研究可提供以下啟示：再決定市場效率 性時，市場投資人之組成可能比市場結構還重 要。而投資人風險的認知更是決定投資人投資 行為的重要因素。最後由本研究可知，證券化並非達到市場效率的充分調瑱。Real estate market is notorious for its lack of efficiency. Securitization is widely discussed as one of the ways to improve the efficiency of real estate market. It is believed that real estate price in a securitized market (later restated as public market) will be closer to its fundamental value than in a non-securutized one (later restated as private market). However, few studies have systematically examined the pricing differences between the two markets and have provided vigorous empirical evidence to support that belief. This study, hence, use data from Hong Kong market to address the above issue. Our empirical results are opposite to our expectation. We found speculative bubble in the securitized real estate market during the sample period but failed to find it in the private real estate market. There are three possible explanations. First, since the liquidity risk in private market is much higher than in public market, the investors in private market will more prudently doing their real estate investments. Therefore, there is less opportunity to generate speculative bubble. Second, in private market, the investors are limited to those who are wealthy enough to invest one single big amounts of money in real estate properties. On the contrary, in public market, the wealth constraint is much lower and investor base is much larger. In public market, many participants are unsophisticated investors. Therefore, it is much easier to brew speculative bubbles in public market. Third, comparing to high liquidity risk in private market, participants in public markets may believe that they are exposed to much less liquidity risk. Investors in public market may behave more aggressively than do those in private market. The perception of less risk exposure provides a foundation for forming speculative bubbles. Our finding has significant implication. The composition of investors may be more important than market structure itself in determining market efficiency. In addition, the perception of risk exposure may also play an important role in determining investors’ behavior. It is also worth noting that securitization is not a means sufficient to achieve market efficient