지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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The most commonly observed risk averse behavior in the commercial real estate market is loss aversion on the part of investors; i.e., investors are more sensitive to prospective losses than to prospective gains. This observation leads to the natural question : Does the market rationally anticipate investors’ loss aversion? If not, then does loss aversion become stronger in a relatively illiquid market? The answer to these questions provides strategically important implications to institutional investors. We propose to explore the impact of loss aversion on the commercial real estate market by testing two competing hypotheses : (1) the rational market expectation hypothesis and (2) the liquidity spiral hypothesis. The rational market expectation hypothesis holds that the market rationally anticipates investors’ behavioral loss aversion. As a result, the interaction between lagged market liquidity and loss aversion does not have an impact on the probability of property sales. On the other hand, the liquidity spiral hypothesis holds that the interaction between market liquidity and loss aversion has an impact on the probability of property sales due to the self-fulfilling feedback effect between loss aversion and market liquidity. In the context of REITsʼ property transactions, we find partial evidence for the liquidity spiral hypothesis : private market liquidity and stock market liquidity each has an additional impact on the sale probability of property.
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참고문헌 (23)
참고문헌 신청
Amihud, Y. I. / 2002 / Liquidity and Stock Returns : Cross-Section and Time-Series Effects / Journal of Financial Markets 5 (1) : 31 ~ 56
Anenberg, E. / 2011 / Loss Aversion, Equity Constraints and Seller Behavior in the Real Estate Market / Regional Science and Urban Economics 41 : 67 ~ 76
Benartzi, S. / 1995 / Myopic Loss Aversion and the Equity Premium Puzzle / Quarterly Journal of Economics 110 : 73 ~ 92
Benveniste, L. / 2001 / The Value of Liquidity / Real Estate Economics 29 (4) : 633 ~ 660
Bokhari, S. / 2011 / Loss Aversion and Anchoring in Commercial Real Estate Pricing / Real Estate Economics 39 (4) : 635 ~ 670
Anenberg, E. / 2011 / Loss Aversion, Equity Constraints and Seller Behavior in the Real Estate Market / Regional Science and Urban Economics 41 : 67 ~ 76
Benartzi, S. / 1995 / Myopic Loss Aversion and the Equity Premium Puzzle / Quarterly Journal of Economics 110 : 73 ~ 92
Benveniste, L. / 2001 / The Value of Liquidity / Real Estate Economics 29 (4) : 633 ~ 660
Bokhari, S. / 2011 / Loss Aversion and Anchoring in Commercial Real Estate Pricing / Real Estate Economics 39 (4) : 635 ~ 670
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