證券化與不動產市場效率
Other Title
Securitization and Real Estate Market Efficiency
Date Issued
1999
Date
1999
Author(s)
DOI
882416H002021
Abstract
Real estate market is notorious for its lack of efficiency. Securitization is widely
discussed as one of the ways to improve the efficiency of real estate market. It is believed
that real estate price in a securitized market
(later restated as public market) will be closer to its fundamental value than in a non-securutized
one (later restated as private market). However,
few studies have systematically examined the
pricing differences between the two markets and
have provided vigorous empirical evidence to
support that belief. This study, hence, use data
from Hong Kong market to address the above
issue. Our empirical results are opposite to our
expectation. We found speculative bubble in
the securitized real estate market during the
sample period but failed to find it in the private
real estate market. There are three possible
explanations. First, since the liquidity risk in
private market is much higher than in public
market, the investors in private market will more
prudently doing their real estate investments.
Therefore, there is less opportunity to generate
speculative bubble. Second, in private market,
the investors are limited to those who are
wealthy enough to invest one single big amounts
of money in real estate properties. On the
contrary, in public market, the wealth constraint
is much lower and investor base is much larger.
In public market, many participants are
unsophisticated investors. Therefore, it is
much easier to brew speculative bubbles in
public market. Third, comparing to high
liquidity risk in private market, participants in
public markets may believe that they are
exposed to much less liquidity risk. Investors
in public market may behave more aggressively
than do those in private market. The
perception of less risk exposure provides a
foundation for forming speculative bubbles.
Our finding has significant implication. The
composition of investors may be more
important than market structure itself in
determining market efficiency. In addition, the
perception of risk exposure may also play an
important role in determining investors’
behavior. It is also worth noting that
securitization is not a means sufficient to
achieve market efficient.
Subjects
Securitization
Real estate
market efficiency
market efficiency
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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