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.
Original language | English |
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Article number | 102503 |
Journal | Pacific Basin Finance Journal |
Volume | 87 |
DOIs | |
State | Published - Oct 2024 |
Keywords
- Disposition effect
- Information uncertainty
- Quantile regression
- Real estate
- Trading volume