文澜金融论坛（第311期）

摘要：

The idiosyncratic risk of capital gains in the housing market is large but declines with the holding period, implying that the excess capital gain returns of short-term flippers are obtained at the cost of bearing high idiosyncratic risk. Using the comprehensive housing transaction records in Hong Kong from 1993 to 2021, we find that although flippers obtained higher annualized returns than long-term buyers by 8.76 percentage points on average, the Sharpe ratio of flippers is lower than that of long term buyers. The appraisal ratio of novice flippers is significantly lower than that of experienced long term buyers and is merely comparable to that of novice long-term buyers. Only experienced flippers, who have at least 2 prior trading experiences and constitute less than 20% of the flippers, outperform long-term buyers in terms of risk-adjusted returns. Employing the unique urban and policy setting in Hong Kong, we also provide new empirical evidence that information quality and market liquidity explain the term structure of idiosyncratic risk.

主讲人介绍：

徐珂，香港大学房地产与建筑系博士研究生，研究兴趣主要集中在住房政策、家庭金融、房地产投资以及房地产风险等方面。她的其中一项重要研究探讨了房地产市场中独特风险与回报之间的权衡，特别是短期投机者与长期投资者在住房市场中的表现差异。这篇文章通过分析1993年至2021年间香港的全面房地产交易记录，揭示了虽然投机者在年化回报率上平均高出长期买家8.76个百分点，但其夏普比率（风险调整后收益）却低于长期买家。