投資人情緒對房市的衝擊

The Impact of Noise Trader Sentiment on the Housing Market

本文藉由De Long et al. (1990) 理論、GARCH 模型及針對次貸危機的事件研究法來探索雜訊交易者情緒對美國已售之單一家庭房價報酬的影響。過去對房價的評估一般都是基於房市供需面的因素來決定。然而，在美國歷經次貸風暴之泡沫化後，不少人開始檢視美國的多年來的房市成長狀況。是否存在投機炒作或是其他非理性因素導致美國房價高漲。本文主要著重在雜訊交易者情緒的變動及波動（風險）對美國房市的影響。近來已不少研究發現證明了雜訊交易者對股票市場的影響，但此類的研究卻顯少見於房市。更進一步地，我們利用事件研究法來確認是否雜訊交易者的影響在歷經美國次貸危機後仍存於美國房市中。本文發現，雜訊交易者的情緒對於美國房價實質報酬的影響是在次貸危機之前期、當期與後期有不同的變化。更重要地，在次貸危機過後，雜訊交易者情緒對美國房市實質報酬的影響已不存在了。

This paper explores that if noise trader sentiment (NTS) poses effect on the real returns of the U.S. existing one-family homes sold, and by employing the proposed theory of De Long, Shleifer, Summers, and Waldmann (1990), a GARCH-inmean model, the event study is based on the subprime mortgage crisis. In the past, the valuation for housing prices is placed on the factors in terms of demand and supply. However, after the subprime mortgage crisis, many scholars attempt to explore whether other factors exist in driving this crisis. In particular, are there any speculations or non-rational factors that push the U.S. housing prices up? This paper mainly focuses on the impact of the changes and volatility of noise trader sentiment on the U.S. housing returns. The recent studies have evidenced the effect of noise trader sentiment on stock markets, but such analyses are few in housing markets. Furthermore, we apply the event study to shed light on whether the effect of noise trader sentiment on the U.S. housing markets still exists or not after the subprime mortgage crisis. This paper finds that the effect of noise trader sentiment on the U.S. real housing returns varies across the three subperiods – before, during, and after the subprime mortgage crisis. More importantly, after the crisis, the effect of noise trader sentiment on the U.S. real housing returns disappears.