An empirical analysis of investor on disposition effect in the Real Estate Securitization Market

金融市場上衍生出不動產證券化，將不動產所有權作細小的分割，發行證券出售給投資人，以提高不動產的流動性。不動產證券交易類似證券，從過去投資人證券交易行為的文獻中，發現一些異常現象(Anomalies)，例如追高殺低、短線進出，這些都是以往傳統經濟無法完全解釋實際投資行為。近年來，為了修正傳統經濟不足部分，行為經濟學以投資人的心理決策過程為切入點，論證投資人並非完全理性，解釋了部分的異常現象。 從行為經濟裡的展望理論得知，在不確定的情況之下，當有利得的時候，投資人傾向風險趨避；但損失時，投資人卻轉為風險追求的態度。錯置效果為展望理論延伸發展出的心理效果，意指投資人持有獲利部分會急於脫手，而當持有損失部份時期望扳回則繼續持有；此現象隱含投資人行為，並非以目前資產的價格判斷未來走勢，而是以購入價格成為決策參考。現階段股票市場的錯置效果之實證研究，劃分成二種情況探討，分別為異常交易量和投資人實現利得比率與實現損失比率，其相關研究較為完整；在不動產市場研究中亦有類似文獻間接證明之，反觀不動產證券市場目前較無類似研究，故本研究將進一步探討，已存在於股票市場的異常現象，是否也存在於不動產證券市場。 本研究利用美國CRSP資料庫，進行統計分析。研究期間為2000年1月至2005年12月，主要研究目的如下： 1.不動產證券市場投資人是否存在錯置效果 2.多頭市場與平穩市場情況下投資人錯置效果是否存在 依據Ferris et al.(1988)的模型，利用價量交易資料研究價格變動後的股票成交量情形，分析過去價格與異常週轉率之關係，檢定美國不動產證券市場投資人是否有錯置效果的現象。最後經由本研究之分析探討得出，價格對交易量增減影響沒有一致性，並無證據支持錯置效果，不動產投資信託之投資行為並非如預期受到價格影響，而是考慮不動產投資信託本身特性與未來趨勢，但在多頭市場下，由於價格大幅上漲，投資人抱持看多心態，獲利時繼續持有而損失時急於出售不佳個股，綜合以上不動產證券市場無證據顯示存在錯置效果。Real estate investment trust (REIT) is promoted for improving the liquidity of real estate. If we divide the ownership of real estate into small shares and sell these shares to investors, the liquidity of real estate will be raised. The trading of REITs is similar to that of stock. In stock markets, we find some anomalies from some past studies in investors’ trading behavior. For example, the trading frequency of investors sometimes is excessively high. Such kind of behavior cannot be explained by traditional theories in economics. In recent years, in order to explain such anomalies, behavioral economics, based on investors’ psychological decision process, argues that investors are not completely rational. Behavioral economics provide alternatives to explain some anomalies. From prospect theory, investors tend to avert risks when accruing gains. On the contrary, investors often seek risks when accruing losses. Disposition effect is a psychological phenomenon developed from prospect theory. It means investors have a behavior of holding losers too long and selling winners too soon. This phenomenon implies that investors do not make decision purely based on current price, but also on a reference price such as purchasing price. The empirical studies of disposition effect in current stock market were conducted in two approaches: abnormal volumes and PGR (proportion of gains realized), PGL (proportion of losses realized). Studies in real estate market had indirectly proved that the disposition effect exists. However, no similar study in REITs market discussed disposition effect. This study shall explore if the disposition effect exists in REITs market. This study uses American CRSP database to perform cross-sectional analysis. The studying period is from Jan. 2000 to Dec. 2005. The primary objectives of this study are to answer: 1. Does disposition effect exist in REITs market? 2. Under bull market and steady market, do the investors behave differently in REITs market? According to the model by Ferris et al. (1998), we used trading data to examine the relationship between volume at a given point in time and volume that takes place in the past with different prices. Then we analyze the past price and the abnormal turnover to investigate the existence of disposition effect. At last, we conclude that the evidence to support disposition effect is not consistent in different market conditions. The behavior of investing REITs is related to the characteristics and the trend of REIT. Under bull market, investors will, contrarily, hold winners and sell losers because stock index is rising enormously, which makes investors believe that the index will continue to rise. To sum up, disposition effect is not proved to exist in REITs market.第一章 緒論........................1 1.1研究背景與動機...................1 1.2研究目的.........................1 1.3研究架構.........................2 第二章 文獻回顧....................4 2.1行為財務理論.....................4 2.1.1展望理論(Prospect theory)......5 2.1.2錯置效果(Disposition effect)...8 2.2錯置效果實證研究................13 2.3小結............................16 第三章 實證分析與結果............17 3.1研究假說........................17 3.2研究實證資料設計................18 3.3變數定義........................24 3.4模型設定........................26 3.5不動產投資信託平穩市場錯置效果..27 3.6不動產投資信託多頭市場錯置效果..30 3.7小結............................33 第四章 結論與建議.................35 4.1研究結論........................35 4.2研究限制........................35 4.3後續研究建議....................36 參考文獻...........................37 附錄...............................4