异质性预期、投资者行为差异与房价变动——基于房地产行为金融学视角

›› 2020, Vol. 32 ›› Issue (5): 42-52.

异质性预期、投资者行为差异与房价变动——基于房地产行为金融学视角

张浩^1,2, 李仲飞³, 黄宇元⁴

1. 广东外语外贸大学金融学院, 广州 510006;
2. 广州华南财富管理中心研究基地, 广州 510006;
3. 中山大学管理学院, 广州 510275;
4. 广州农村商业银行, 广州 510623

收稿日期:2017-04-07 出版日期:2020-05-28 发布日期:2020-06-03
作者简介:张浩,广东外语外贸大学金融学院副教授,硕士生导师,博士;李仲飞,中山大学管理学院教授,博士生导师,教育部长江学者特聘教授,博士;黄宇元,广州农村商业银行职员,博士。
基金资助:
国家自然科学基金项目（71603061；71721001；71801057）；广东省自然科学基金面上项目（2019A1515011649）；广州市哲学社会科学发展“十三五”规划2018年度一般课题资助项目（2018GZYB56）；教育部人文社会科学青年基金项目（17YJCZH248）。

Heterogeneous Expectation,Investor Behaviors Difference and Housing Price Fluctuation——Based on the Perspective of Real Estate Behavioral Finance

Zhang Hao^1,2, Li Zhongfei³, Huang Yuyuan⁴

1. School of Finance, Guangdong University of Foreign Studies, Guangzhou 510006;
2. Institute of Fortune Management Research, Guangzhou 510006;
3. Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou 510275;
4. Guangzhou Rural Commercial Bank, Guangzhou 510623

Received:2017-04-07 Online:2020-05-28 Published:2020-06-03

摘要/Abstract

摘要：

本文在房地产市场中引入投资者异质性预期，从市场演化的内部视角出发，分析房价波动的内在机制；并通过实证分析和数值模拟探讨不同投资者的行为差异对于房价的影响。研究结果表明，投资者的异质性预期会引起房价的内在变化；趋势型投资者和基本面型投资者的行为差异会引起房价内生波动；利用北京、上海、天津、广州和深圳5个城市2008—2015年的数据实证发现，基本面型投资者的行为具有把房价“拉回基准价格”的力量，而趋势型投资者的行为会使得房价进一步出现偏离。在此基础上，本文进一步根据投资者行为差异的作用将房价波动的过程进行分解，引入前景理论将异质代理人模型的基本线性模型推广到非线性模型，通过数值模拟方法分析投资者行为对于房价的影响，并根据相关结果对于房价变动的不同阶段进行了模拟分析，最后提出相应的对策建议。

关键词: 异质性预期, 房价波动, 前景理论, 房地产行为金融

Abstract:

Based on the introduction of investors’ heterogeneous assumptions, the paper studies the internal mechanism of variation in housing price. It analyzes the impact of investors’ heterogeneous behaviors difference on the variation in housing price. The results show that heterogeneous expectation and behavior of fundamentalists and chartists may affect the housing price volatility. Using the data of Beijing, Shanghai, Tianjin, Guangzhou and Shenzhen from 2008-2015, the authors find out that fundamentalists are able to draw housing prices back to their benchmark level and the chartists tend to lead housing prices further away from their benchmark level. Then, the paper introduces the prospect theory to extend the basic linear model to nonlinear models, and analyzes the impact of differences in behavior of investors on the housing price through numerical simulation.

Key words: heterogeneous expectation, variation in housing price, prospect theory, real estate behavioral finance

张浩, 李仲飞, 黄宇元. 异质性预期、投资者行为差异与房价变动——基于房地产行为金融学视角[J]. , 2020, 32(5): 42-52.

Zhang Hao, Li Zhongfei, Huang Yuyuan. Heterogeneous Expectation,Investor Behaviors Difference and Housing Price Fluctuation——Based on the Perspective of Real Estate Behavioral Finance[J]. , 2020, 32(5): 42-52.

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