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題名 投資人關注對房價之影響與預測
Influence and Forecast of Investor Attention on House Prices作者 呂少毫
Lu, Shao-Hao貢獻者 陳明吉
呂少毫
Lu, Shao-Hao關鍵詞 投資人關注
有限關注
Google搜尋趨勢
Google搜尋量指數
不動產市場
Investor Attention
Limited Attention
Google Trends
Google SVI
Real Estate Market日期 2020 上傳時間 1-Jul-2020 13:38:27 (UTC+8) 摘要 許多學者在股市的實證研究發現除了基本面因素，投資人關注也影響資產的定價或報酬，投資人關注的提高伴隨著股票價格的上漲及交易量的增加並改善股票的流動性。在過去相關研究，學者使用股票極端報酬、交易量、廣告費用或新聞等資訊來建構被動投資人關注指標。隨著網路普及化，現今投資人在查詢投資標的時會使用網路瀏覽器來搜尋相關資訊，近十年許多學者使用Google瀏覽器搜尋量資料來建立主動投資人關注指標。為了探究投資人關注是否也對不動產市場產生影響，本研究使用Google Trends提供的服務，建構出幾組投資人關注指標，針對2006年至2019年的全台灣整體不動產市場及地區性的台北市、新北市不動產市場進行實證分析。實證結果顯示台灣的投資人關注影響全台灣、新北及台北市房市，投資人關注增加大多導致房價上升。透過將研究時期區分成房價上升與平穩兩時期，探究投資人關注的影響效果在兩時期的影響，結果呈現出不一致的現象，像是只有在房價平穩時期，投資面向的關注才有顯著影響房市。透過使用本研究建構的投資人關注指標及過往學者所建構的投資人情緒指標來建構房價預測模型，對於台北市房價的預測分析結果顯示，使用當期整體房市關注的房價預測模型的預測效果最好，預測能力與使用當期投資人情緒的房價預測模型相差不大。
Many scholars make empirical studies and find out that not only fundamental factors, investor attention also affects asset prices and returns. The increase of Investor attention not only causes stock price rising and trading volume increasing but also improves the liquidity of stocks. Scholars used extreme return, trading volume, advertisement expense, and news to create passive investor attention indices. With the popularization of Internet, investors currently use Internet to search investment targets. Many scholars use Google search data to create active investor attention index in this decade. To explore whether investor attention also has influence in real estate market, I use Google Trends data to create several investor attention indices to make empirical studies of real estate market of Taiwan and regional real estate markets of Taipei and New Taipei city. The study period is from 2006 to 2019. The results show that investor attention affects real estate market of Taiwan. The increase of investor attention often causes house prices rising. By dividing the study period into house prices rising period and stable period, I investigate the effects of investor attention during two different periods and find some inconsistent results such as investor attentions related to different investment aspects only have significant effect in real estate market during stable house prices period. I use investor attention indices created by this research and investor sentiment indices created by some scholars to build house prices forecast models of Taiwan real estate market. The result shows that the house prices forecast model with the usage of current period investor attention related to the entire real estate market has the best forecast ability, and the forecast ability is close to the model with the usage of investor sentiment.參考文獻 中文參考文獻王韻怡、池祥萱、周冠男(2016). “行為財務學文獻回顧與展望:台灣市場之研究”, 經濟論文叢刊, 44(1): 1–55朱芳妮、楊茜文、蘇子涵、陳明吉(2019). “情緒會影響房市嗎?指數編制與驗證”, 住宅學報 , forthcoming朱芳妮、楊茜文、黃御維、陳明吉(2020). “媒體傳播效應與房市變化關聯性之驗證”, 管理學報 , forthcoming彭建文、張金鶚(2000). “總體經濟對房地產景氣影響之研究”, 國家科學委員會研究彙刊:人文及社會科學 , 10(3): 330–343英文參考文獻Amin, R. and H. Ahmad (2013). “Does Investor Attention Matter’s?”, Journal of Public Administration, Finance and Law 4: 111-125Arif, S. and Charles M.C. Lee (2014). “Aggregate Investment and Investor Sentiment”, The Review of Financial Studies 27 (11): 3241-3279Askitas, N. and K. F. Zimmermann (2009). “Google Econometrics and Unemployment Forecasting”, Applied Economics Quarterly 55(2): 107-120Baker, M. and J. Wurgler (2006). “Investor Sentiment and the Cross‐Section of Stock Returns”, Journal of Finance 61(4): 1645-1680Barber, B. M. and T. Odean (2008). “All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors”, The Review of Financial Studies 21 (2):785-818Brooks, C. and Tsolacos. S (2010). “Forecast evaluation”, Real Estate Modelling and Forecasting, in Tsolacos, S.(Ed.), Cambridge University Press, Cambridge :268-312Beracha, E. and M. B. Wintoki (2013). “Forecasting Residential Real Estate Price Changes from Online Search Activity”, Journal of Real Estate Research 35(3): 283-312Chen, M.-C. and K. Patel (2002). “An empirical analysis of determination of house prices in the Taipei area”, Taiwan Economic Review 30(4): 563-595Chen, S.-S. (2011). “Lack of consumer confidence and stock returns”, Journal of Empirical Finance 18: 225-236Clayton, J., Ling, D. C. and Naranjo, A. (2009). “Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment”, The Journal of Real Estate Finance and Economics 38: 5-37Chen, H., Harrison, D. and Khoshnoud, M. (2018). “Investors’ Limited Attention: Evidence from REITs”, The Journal of Real Estate Finance and EconomicsDa, Z., Engelberg, J. and Gao, P. (2011). “In Search of Attention”, Journal of Finance 66(5): 1461-1499Dietzel, M. A., Braun, N. and Schaefers, W. (2014). “Sentiment-based commercial real estate forecasting with Google search volume data”, Journal of Property Investment & Finance 32(6): 540-569Ding, R. and W. Hou (2015). “Retail investor attention and stock liquidity”, Journal of International Financial Markets, Institutions & Money 37: 12–26Dzieliński, M., Rieger, M. O. and Talpsepp, T. (2018). “Asymmetric attention and volatility asymmetry”, Journal of Empirical Finance 45: 59-67Fama, E. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25(2): 383-417Fang, L. and J. Peress (2009). “Media Coverage and the Cross-section of Stock Returns”, Journal of Finance 64(5): 2023-2052Forester, S. R. and G. A. Karolyi (1999). “The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States”, Journal of Finance 54(3): 981-1013Grullon, G., Kanatas, G. and Weston, J.P. (2004). “Advertising, Breadth of Ownership, and Liquidity”, The Review of Financial Studies 17(2): 439-461Hohenstatt, R., Käsbauer, M. and Schäfers, W. (2011). ““Geco” and its Potential for Real Estate Research: Evidence from the U.S. Housing Market”, Journal of Real Estate Research 33(4): 471-506Lehavy, R. and R. G. Sloan (2008). “Investor recognition and stock returns”, Review of Accounting Studies 13: 327-361Lin, C. Y., Rahman, H. and Yung, K. (2009). “Investor Sentiment and REIT Returns”, Journal of Real Estate Finance and Economics 39: 450-471Lutz, C. (2016). “The Asymmetric Effects of Investor Sentiment”, Macroeconomic Dynamics 20: 1477-1503Mbanga, C., Darrat, A. F. and Park, J. C. (2019). “Investor sentiment and aggregate stock returns: the role of investor attention”, Review of Quantitative Finance and Accounting 53: 397-428Merton, R. C. (1987). “A Simple Model of Capital Market Equilibrium with Incomplete Information”, Journal of Finance 42(3): 483-510Meen, G. P. (1990).” The removal of mortgage market constraints and the implications for econometric modelling of UK house prices”, Oxford Bulletin Economics and Statistics 52 (1):1-23Namouri, H., Jawadi, F., Ftiti, Z. and Hachicha, N. (2018). “Threshold effect in the relationship between investor sentiment and stock market returns: a PSTR specification”, Applied Economics 50(5): 559-573Ni, Z.-X., Wang, D.-Z. and Xue, W. (2015). “Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model”, Economic Modelling 50: 266-274Peng, L. and W. Xiong (2006). “Investor attention, overconfidence and category learning”, Journal of Financial Economics 80: 563-602Peng, L., Xiong, W. and Bollerslev, T. (2007). “Investor Attention and Time-varying Comovements”, European Financial Management 13(3): 394-422Stambaugh, R. F., Yu, J. and Yuan, Yu (2015). “Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle”, Journal of Finance 70(5): 1903-1948Wu, L. and E. Brynjolfsson (2009). "The Future of Prediction: How Google Searches Foreshadow Housing Prices and Quantities", ICIS 2009 Proceedings 147Yung, K. and N. Nafar (2017). “Investor attention and the expected returns of reits”, International Review of Economics and Finance 48: 423-439 描述 碩士
國立政治大學
財務管理學系
107357016資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357016 資料類型 thesis dc.contributor.advisor 陳明吉 zh_TW dc.contributor.author (Authors) 呂少毫 zh_TW dc.contributor.author (Authors) Lu, Shao-Hao en_US dc.creator (作者) 呂少毫 zh_TW dc.creator (作者) Lu, Shao-Hao en_US dc.date (日期) 2020 en_US dc.date.accessioned 1-Jul-2020 13:38:27 (UTC+8) - dc.date.available 1-Jul-2020 13:38:27 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2020 13:38:27 (UTC+8) - dc.identifier (Other Identifiers) G0107357016 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130529 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 107357016 zh_TW dc.description.abstract (摘要) 許多學者在股市的實證研究發現除了基本面因素，投資人關注也影響資產的定價或報酬，投資人關注的提高伴隨著股票價格的上漲及交易量的增加並改善股票的流動性。在過去相關研究，學者使用股票極端報酬、交易量、廣告費用或新聞等資訊來建構被動投資人關注指標。隨著網路普及化，現今投資人在查詢投資標的時會使用網路瀏覽器來搜尋相關資訊，近十年許多學者使用Google瀏覽器搜尋量資料來建立主動投資人關注指標。為了探究投資人關注是否也對不動產市場產生影響，本研究使用Google Trends提供的服務，建構出幾組投資人關注指標，針對2006年至2019年的全台灣整體不動產市場及地區性的台北市、新北市不動產市場進行實證分析。實證結果顯示台灣的投資人關注影響全台灣、新北及台北市房市，投資人關注增加大多導致房價上升。透過將研究時期區分成房價上升與平穩兩時期，探究投資人關注的影響效果在兩時期的影響，結果呈現出不一致的現象，像是只有在房價平穩時期，投資面向的關注才有顯著影響房市。透過使用本研究建構的投資人關注指標及過往學者所建構的投資人情緒指標來建構房價預測模型，對於台北市房價的預測分析結果顯示，使用當期整體房市關注的房價預測模型的預測效果最好，預測能力與使用當期投資人情緒的房價預測模型相差不大。 zh_TW dc.description.abstract (摘要) Many scholars make empirical studies and find out that not only fundamental factors, investor attention also affects asset prices and returns. The increase of Investor attention not only causes stock price rising and trading volume increasing but also improves the liquidity of stocks. Scholars used extreme return, trading volume, advertisement expense, and news to create passive investor attention indices. With the popularization of Internet, investors currently use Internet to search investment targets. Many scholars use Google search data to create active investor attention index in this decade. To explore whether investor attention also has influence in real estate market, I use Google Trends data to create several investor attention indices to make empirical studies of real estate market of Taiwan and regional real estate markets of Taipei and New Taipei city. The study period is from 2006 to 2019. The results show that investor attention affects real estate market of Taiwan. The increase of investor attention often causes house prices rising. By dividing the study period into house prices rising period and stable period, I investigate the effects of investor attention during two different periods and find some inconsistent results such as investor attentions related to different investment aspects only have significant effect in real estate market during stable house prices period. I use investor attention indices created by this research and investor sentiment indices created by some scholars to build house prices forecast models of Taiwan real estate market. The result shows that the house prices forecast model with the usage of current period investor attention related to the entire real estate market has the best forecast ability, and the forecast ability is close to the model with the usage of investor sentiment. en_US dc.description.tableofcontents 摘要 iAbstract ii表次 iv圖次 vi第一章 緒論 1第一節 研究背景及動機 1第二節 研究問題與目的 4第三節 論文架構 5第二章 文獻回顧 6第一節 投資人情緒 6第二節 投資人關注 8第三節 投資人關注在金融及不動產市場實證研究 10第四節 投資人情緒及關注對金融市場的非對稱性影響 12第五節 Google搜尋量指數衡量關注的有效性 15第三章 研究方法 17第一節 Google Trends介紹 17第二節 建構關注指標 20第三節 房市模型 28第四節 變數定義及說明 30第五節 研究流程 33第四章 實證分析 37第一節 樣本資料分析 37第二節 投資人關注指標與不動產市場之相關性 40第三節 投資人關注對不動產市場的線性影響 44第四節 投資人關注在房價上升、平穩時期對房市的影響 50第五節 投資人關注與投資人情緒對房價預測之分析與比較 59第五章 結論與建議 66第一節 結論 66第二節 建議與限制 67參考文獻 68 zh_TW dc.format.extent 3338498 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357016 en_US dc.subject (關鍵詞) 投資人關注 zh_TW dc.subject (關鍵詞) 有限關注 zh_TW dc.subject (關鍵詞) Google搜尋趨勢 zh_TW dc.subject (關鍵詞) Google搜尋量指數 zh_TW dc.subject (關鍵詞) 不動產市場 zh_TW dc.subject (關鍵詞) Investor Attention en_US dc.subject (關鍵詞) Limited Attention en_US dc.subject (關鍵詞) Google Trends en_US dc.subject (關鍵詞) Google SVI en_US dc.subject (關鍵詞) Real Estate Market en_US dc.title (題名) 投資人關注對房價之影響與預測 zh_TW dc.title (題名) Influence and Forecast of Investor Attention on House Prices en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文參考文獻王韻怡、池祥萱、周冠男(2016). “行為財務學文獻回顧與展望:台灣市場之研究”, 經濟論文叢刊, 44(1): 1–55朱芳妮、楊茜文、蘇子涵、陳明吉(2019). “情緒會影響房市嗎?指數編制與驗證”, 住宅學報 , forthcoming朱芳妮、楊茜文、黃御維、陳明吉(2020). “媒體傳播效應與房市變化關聯性之驗證”, 管理學報 , forthcoming彭建文、張金鶚(2000). “總體經濟對房地產景氣影響之研究”, 國家科學委員會研究彙刊:人文及社會科學 , 10(3): 330–343英文參考文獻Amin, R. and H. Ahmad (2013). “Does Investor Attention Matter’s?”, Journal of Public Administration, Finance and Law 4: 111-125Arif, S. and Charles M.C. Lee (2014). “Aggregate Investment and Investor Sentiment”, The Review of Financial Studies 27 (11): 3241-3279Askitas, N. and K. F. Zimmermann (2009). “Google Econometrics and Unemployment Forecasting”, Applied Economics Quarterly 55(2): 107-120Baker, M. and J. Wurgler (2006). “Investor Sentiment and the Cross‐Section of Stock Returns”, Journal of Finance 61(4): 1645-1680Barber, B. M. and T. Odean (2008). “All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors”, The Review of Financial Studies 21 (2):785-818Brooks, C. and Tsolacos. S (2010). “Forecast evaluation”, Real Estate Modelling and Forecasting, in Tsolacos, S.(Ed.), Cambridge University Press, Cambridge :268-312Beracha, E. and M. B. Wintoki (2013). “Forecasting Residential Real Estate Price Changes from Online Search Activity”, Journal of Real Estate Research 35(3): 283-312Chen, M.-C. and K. Patel (2002). “An empirical analysis of determination of house prices in the Taipei area”, Taiwan Economic Review 30(4): 563-595Chen, S.-S. (2011). “Lack of consumer confidence and stock returns”, Journal of Empirical Finance 18: 225-236Clayton, J., Ling, D. C. and Naranjo, A. (2009). “Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment”, The Journal of Real Estate Finance and Economics 38: 5-37Chen, H., Harrison, D. and Khoshnoud, M. (2018). “Investors’ Limited Attention: Evidence from REITs”, The Journal of Real Estate Finance and EconomicsDa, Z., Engelberg, J. and Gao, P. (2011). “In Search of Attention”, Journal of Finance 66(5): 1461-1499Dietzel, M. A., Braun, N. and Schaefers, W. (2014). “Sentiment-based commercial real estate forecasting with Google search volume data”, Journal of Property Investment & Finance 32(6): 540-569Ding, R. and W. Hou (2015). “Retail investor attention and stock liquidity”, Journal of International Financial Markets, Institutions & Money 37: 12–26Dzieliński, M., Rieger, M. O. and Talpsepp, T. (2018). “Asymmetric attention and volatility asymmetry”, Journal of Empirical Finance 45: 59-67Fama, E. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25(2): 383-417Fang, L. and J. Peress (2009). “Media Coverage and the Cross-section of Stock Returns”, Journal of Finance 64(5): 2023-2052Forester, S. R. and G. A. Karolyi (1999). “The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States”, Journal of Finance 54(3): 981-1013Grullon, G., Kanatas, G. and Weston, J.P. (2004). “Advertising, Breadth of Ownership, and Liquidity”, The Review of Financial Studies 17(2): 439-461Hohenstatt, R., Käsbauer, M. and Schäfers, W. (2011). ““Geco” and its Potential for Real Estate Research: Evidence from the U.S. Housing Market”, Journal of Real Estate Research 33(4): 471-506Lehavy, R. and R. G. Sloan (2008). “Investor recognition and stock returns”, Review of Accounting Studies 13: 327-361Lin, C. Y., Rahman, H. and Yung, K. (2009). “Investor Sentiment and REIT Returns”, Journal of Real Estate Finance and Economics 39: 450-471Lutz, C. (2016). “The Asymmetric Effects of Investor Sentiment”, Macroeconomic Dynamics 20: 1477-1503Mbanga, C., Darrat, A. F. and Park, J. C. (2019). “Investor sentiment and aggregate stock returns: the role of investor attention”, Review of Quantitative Finance and Accounting 53: 397-428Merton, R. C. (1987). “A Simple Model of Capital Market Equilibrium with Incomplete Information”, Journal of Finance 42(3): 483-510Meen, G. P. (1990).” The removal of mortgage market constraints and the implications for econometric modelling of UK house prices”, Oxford Bulletin Economics and Statistics 52 (1):1-23Namouri, H., Jawadi, F., Ftiti, Z. and Hachicha, N. (2018). “Threshold effect in the relationship between investor sentiment and stock market returns: a PSTR specification”, Applied Economics 50(5): 559-573Ni, Z.-X., Wang, D.-Z. and Xue, W. (2015). “Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model”, Economic Modelling 50: 266-274Peng, L. and W. Xiong (2006). “Investor attention, overconfidence and category learning”, Journal of Financial Economics 80: 563-602Peng, L., Xiong, W. and Bollerslev, T. (2007). “Investor Attention and Time-varying Comovements”, European Financial Management 13(3): 394-422Stambaugh, R. F., Yu, J. and Yuan, Yu (2015). “Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle”, Journal of Finance 70(5): 1903-1948Wu, L. and E. Brynjolfsson (2009). "The Future of Prediction: How Google Searches Foreshadow Housing Prices and Quantities", ICIS 2009 Proceedings 147Yung, K. and N. Nafar (2017). “Investor attention and the expected returns of reits”, International Review of Economics and Finance 48: 423-439 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000633 en_US
