基地研究员吴震星副教授合作论文"Determinants of disposition effect in the real estate market: Evidence from Taiwan"在Pacific-Basin Finance Journal公开发表。Pacific-Basin Finance Journal 是一本高质量的期刊，致力于发表有关亚太国家资本市场的学术研究。PBFJ目前的影响因子为4.6。

Abstract: 

This paper examines the disposition effect and its determinants in the Taiwanese real estate market. Our empirical results show that while a disposition effect does exist, its effects decayed after 2012. Further analyses employing quantile regression on the holding period reveal that the disposition effect persists even after investors retain assets for extended durations. Our findings also indicate that investors maintain a propensity to sell wining assets and hold losing assets even when confronted with extreme returns. Thus, we conclude that disposition effect in the real estate market could be best explained by prospect theory. Most importantly, we demonstrate that changes in the disposition effect are attributed to an enhanced information environment involving, for example, economic events, policy changes, and market conditions associated with information transparency. These findings suggest that information environment and trading volume are pivotal factors influencing households' behavioral biases.

Keywords：Disposition effect; Information uncertainty; Trading volume; Real estate; Quantile regression

链接：https://doi.org/10.1016/j.pacfin.2024.102503

教师简介

吴震星，中南财经政法大学金融学院年薪制副教授，数字技术与现代金融学科创新引智基地研究员。研究领域包含市场微观结构理论在国际金融，资产定价与公司金融议题上的应用。研究成果发表于Journal of International Money and Finance, Journal of Corporate Finance等国际期刊。