Can Anchoring and Loss Aversion Explain the Predictability of Housing Prices?
Publication in refereed journal


香港中文大学研究人员 ( 现职)

梁天卓教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1111/1468-0106.12009

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL

其它资讯

摘要We offer an explanation of why changes in house price are predictable. We consider a housing market with loss-averse sellers and anchoring buyers in a dynamic setting. We show that when both cognitive biases are present, changes in house prices are predicted by price dispersion and trade volume. Using a sample of housing transactions in Hong Kong from http://aims.cuhk.edu.hk/converis/portal/Publication/1992 to 2006, we find that price dispersion and transaction volume are, indeed, powerful predictors of housing return. For both in and out of sample, the two variables predict as well as conventional predictors such as the real interest rate and real stock return.

着者Leung TC, Tsang KP
期刊名称Pacific Economic Review
出版年份20http://aims.cuhk.edu.hk/converis/portal/Publication/13
月份2
日期http://aims.cuhk.edu.hk/converis/portal/Publication/1
卷号http://aims.cuhk.edu.hk/converis/portal/Publication/18
期次http://aims.cuhk.edu.hk/converis/portal/Publication/1
出版社WILEY-BLACKWELL
页次4http://aims.cuhk.edu.hk/converis/portal/Publication/1 - 59
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/136http://aims.cuhk.edu.hk/converis/portal/Publication/1-374X
电子国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1468-0http://aims.cuhk.edu.hk/converis/portal/Publication/106
语言英式英语

Web of Science 学科类别Business & Economics; Economics; ECONOMICS