住宅房地产交易中的日历效应研究

发布时间：2018-04-14 20:02

本文选题：日历效应 + 特征价格模型　；参考：《华中科技大学》2013年硕士论文

【摘要】：中国近十几年来的高速经济增长与火爆的房地产市场息息相关。但是，在房地产市场发展过程中，高企的房价和异常的价格波动，始终是民众、政府、开发商等诸多利益相关者关注的焦点。研究住宅房地产定价的常见方法是特征价格模型，它通过将住宅特征分为结构、邻里和区位三大类对住宅进行合理定价。但住宅价格除了受到空间维度上固有特征的影响外，还会受到时间维度上不同交易时点的影响。日历效应是证券市场中的一种重要异象，对日历效应的认识有助于投资者把握机会，标准经济学理论无法完全解释这一现象。因此，，对住宅房地产交易中日历效应存在性进行检验并从行为经济学角度来解释这一异象尤为必要。本文在使用特征价格模型对住宅房地产进行定价的基础上，首次加入日历效应特征并检验其对住宅价格的影响。通过前期文献调研，用因子排名的方式选取了多个在证券市场中常见的日历效应。以香港1994-2005年间住宅房地产的交易数据为样本，探究了住宅的结构、邻里和区位特征以及不同交易时点的日历效应对住宅房地产价格的影响，并给出了相应的解释与分析。实证结果表明，住宅特征对住宅价格的影响是符合实际预期的，并且香港住宅房地产交易中存在显著的日历效应。其中一月效应、周一效应、月度轮换效应、节后效应、中秋节和圣诞节效应的的回归系数显著为负；而三月效应、半月效应和万圣节效应回归系数显著为正。房地产市场的参与主体，尤其是购房者对日历效应的认识将有助于其进行更为合理的决策制定。
[Abstract]:China's rapid economic growth in the past decade is closely related to the booming real estate market.However, in the process of real estate market development, high house prices and abnormal price fluctuations have always been the focus of attention of many stakeholders, such as the public, government, developers and so on.The common method to study the pricing of residential real estate is the characteristic price model, which divides the residential features into three categories: structure, neighborhood and location.But the housing price is affected not only by the inherent characteristics of the spatial dimension, but also by the different transaction time points in the time dimension.Calendar effect is an important anomaly in the securities market. The understanding of calendar effect helps investors grasp the opportunity, which can not be fully explained by standard economic theory.Therefore, it is necessary to test the existence of calendar effect in residential real estate transactions and explain this anomaly from the perspective of behavioral economics.On the basis of using the characteristic price model to price the residential real estate, this paper first adds the calendar effect feature and tests its influence on the housing price.Through previous literature research, this paper selects a number of common calendar effects in the stock market by factor ranking.Taking the transaction data of residential real estate in Hong Kong from 1994 to 2005 as a sample, this paper probes into the influence of residential structure, neighborhood and location characteristics and calendar effect of different transaction points on the price of residential real estate, and gives the corresponding explanation and analysis.The empirical results show that the impact of residential characteristics on residential prices is in line with the actual expectations, and there is a significant calendar effect in residential real estate transactions in Hong Kong.Among them, the regression coefficients of January effect, Monday effect, monthly rotation effect, postganglionic effect, Mid-Autumn Festival effect and Christmas effect were significantly negative, while the regression coefficients of March effect, half Moon effect and Halloween effect were significantly positive.The participants in the real estate market, especially the buyers, will help them to make more rational decisions.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F299.23

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