Associate Professor Zhenxing Wu, a researcher of the Base, has published a collaborative paper titled "Determinants of disposition effect in the real estate market: Evidence from Taiwan" in Pacific-Basin Finance Journal.

Pacific-Basin Finance Journal is a high-quality journal dedicated to publishing academic research on the capital markets of Asian-Pacific countries. The current impact factor of PBFJ is 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

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

Teacher profile

Zhenxing Wu, Associate Professor of annual salary, School of Finance, Zhongnan University of Economics and Law, Researcher of Digital Technology and Modern Finance Innovation and Intellectual Introduction Base. Research areas include the application of market microstructure theory to international finance, asset pricing and corporate finance. The research results have been published in the Journal of International Money & Finance, Journal of Corporate Finance and other international journals.