住宅市場處置效應之研究

Disposition Effect on the Housing Markets

10.6128/CP.42.3.273

林左裕(Calvin Tso-Yu Lin)；傅聖元(Sheng-Yuan Fu)

處置效應 ； 行為財務學 ； 展望理論 ； 不動產市場 ； Disposition effect ； Behavior finance ； Prospect theory ； Real estate market

都市與計劃

42卷3期（2015 / 09 / 30）

273 - 294

繁體中文

「處置效應」（Disposition Effect）在證券市場之文獻上為股市投資人在利得區間有風險嫌惡，且在損失區間有損失嫌惡的傾向時，面對持股會呈現「出盈保虧」或「處分獲利、續抱虧損」的投資決策傾向，但在房地產市場的探討卻鮮見相關研究。本研究選取中古屋之成交量為觀察對象，當市場報酬率有所變動，投資人的買賣行為將會反映在成交量上，故由成交量的變化方向與幅度即可推論出相關之處置效應。研究結果指出，在前期報酬率持續為正或由負轉正時，出盈現象顯著存在於台北市中古屋市場；而前期持續的負報酬率會使成交量萎縮，亦顯著呈現保虧效應。在實務意涵上，政府的奢侈稅政策並未控制高漲的房價，僅是使投資者延後出脫導致成交量萎縮，可看出奢侈稅實施後的中古屋市場呈現價漲量縮的現象，並未符合政府原先預期的抑制房價上漲效應。本研究成果可提供政府未來修訂不動產稅制及貨幣政策之有效參考。

The ＂Disposition Effect＂ indicates that investors in the stock markets tend to sell to realize the profit as they are ＂in the money＂, and hold securities to avoid loss as they are ＂out of the money＂. Similar investors' behaviors in the real estate markets are rarely explored. In Taiwan, continuously surging home prices have severely deteriorated home affordability. Underlying factors causing the high housing prices include low tax rate and low interest rates. To analyze investor behavior in the housing markets, this study analyzes the transaction volume in the existing housing market in relation to market return. The empirical results show that investors in the existing housing markets tend to sell to realize profits as the returns stay positive or turn from negative to positive. However, investors tend to hold to avoid loss as the returns stay negative. This conclusion is consistent with the investor behavior of stock markets. The analytical results of this study also imply that the ＂Luxury Tax＂ imposed on short-term real estate investment only postpones their timing to sell. However, housing prices continue to appreciate. Results of this study have important implications for policy makers and investors for decision making in the future.

1. 林左裕、程于芳(2013)。住宅市場從眾行為與總體經濟因素之研究。應用經濟論叢，95，61-100。
   連結：
2. 張金鶚、花敬群(1997)。住宅市場價量波動之研究。住宅學報，5，1-15。
   連結：
3. 陳明吉、曾婉婷(2008)。台灣不動產市場從眾行為之檢視。管理與系統，15(4)，591-615。
   連結：
4. 黃佳鈴、張金鶚(2006)。從房地價格分離探討地價指數之建立。臺灣土地研究，8(2)，73-106。
   連結：
5. 內政部 (2012)，「內政部不動產資訊平台」，http://pip.moi.gov.tw/V2/Default.aspx，(2013年 9 月 2 日)
6. 行政院主計總處 (2010)，人口及住宅普查報告，「行政院主計總處網站」，http://www.dgbas.gov.tw/ct.asp?xItm=30077&ctNode=3272，(2013 年 9 月1 日)
7. 內政部統計處 (2012)，「內政統計查詢網」，http://statis.moi.gov.tw/micst/stmain.jsp?sys=100，(2013 年 9 月 2 日)
8. (2012)。臺北市政府主計處 (2012)，「臺北市統計資料庫查詢系統」，http://163.29.37.101/pxweb2007-tp/dialog/statfile9.asp，(2013 年 9 月 2 日)。http://163.29.37.101/pxweb2007-tp/dialog/statfile9.asp
9. (2008)。經建專題研究綜合規劃研究 96及 97 年。
10. Barber, B. M.,Odean, T.(2011).The behavior of individual investors.SSRN Electronic Journal,1-54.
11. Chang, E. C.,Cheng, J. W.,Khorana, A.(2000).An examination of herd behavior in equity markets: An international perspective.Journal of Banking and Finance,24(10),1651-1679.
12. Genesove, D.,Mayer, C.(2001).Loss aversion and seller behavior: Evidence from the housing market.Quarterly Journal of Economics,116(4),1233-1260.
13. Janssen, J.,Kruijt, B.,Needham, B.(1994).The honeycomb cycle in real estate.Journal of Real Estate Research,9(2),237-251.
14. Kahneman, D.,Tversky, A.(1979).Prospect theory: An analysis of decisions under risk.Econometrica,47(2),313-327.
15. Ortalo-Magné, F.,Rady, S.(2006).Housing market dynamics: On the contribution of income shocks and credit constraints.The Review of Economic Studies,73(2),459-485.
16. Shefrin, H.,Statman, M.(1985).The disposition to sell winners too early and ride losers too long: Theory and evidence.Journal of Finance,40(3),777-790.
17. Stein, J. C.(1995).Prices and trading volume in the housing market: A model with downpayment effects.Quarterly Journal of Economics,110(2),379-406.
18. Tu, Y. Ong, S. E.,Han, Y.(2009).Turnovers and housing price dynamics: Evidence from Singapore condominium market.The Journal of Real Estate Finance and Economics,38(3),254-274.
19. Yiu, C. Y. E.,Chau, K.W.,Wong, S. K.(2008).What makes housing owners hold?.SSRN Electronic Journal,1-17.

1. (2024)。自住與非自住之房屋稅率差異對房價之影響－差異中之差異法的應用。住宅學報，33(2)，27-62。