异质性预期、投资者行为与房价波动：上海和广州的双城记?

房地产市场中存在大量的投资者,其市场行为会使房价出现大幅的波动,从而引起市场不稳定。文章在引入投资者异质性预期假设的基础上,构建了包含房地产消费者、投资者、供给者在内的房地产市场均衡模型,分析了房地产市场中基本面型投资者和趋势型投资者的异质性行为对房价变动的影响,并利用上海和广州两个一线城市的实际数据进行了对比分析。研究结果表明：在房地产市场中,两类投资者对于未来房价不同的预期以及投资行为会引起房价的变动;上海投资者的行为整体上会使上海的房价始终处于不断上涨的趋势中,而广州投资者的行为会随着投资策略的转变而使静态下的“整体上推动房价趋势型变化”转变为“整体上将房价‘拉回’基本面价格”;房地产市场中的投资者占比会显著影响房价的变动趋势,当基本面型投资者占比上升时,房价偏离度和房价变动率降低,而当这类投资者占比达到峰值时,房价会出现拐点;投资者之间的策略转换速度也会通过引起基本面型投资者占比的变化,引起房价的频繁波动,而且策略转换速度越快,房价波动越频繁。     

House price dynamics,conditional higher-order moments,and density forecasts

Most studies on housing price dynamics are only concerned with the conditional mean and variance, but overlook other higher-order conditional moments and the structural change characteristics inherent in housing prices. In order to take into account these two important issues, this study utilizes the generalized Markov switching GARCH model to explore house price dynamics and conditional distribution for US market over 1975Q1–2007Q4. The housing return follows two distinct dynamics: the bust regime and the boom regime. The volatility pattern is different in the bust and boom regimes. In addition, the conditional densities derived by the regime-switching model change dramatically over time and are significantly different from normal distribution. More importantly, the regime-switching model can detect in advance a weak US housing market such as the one that occurred in the middle of 2007. The in-sample fitting ability of regime-switching model, which incorporates higher-order moments, has significant improvements compared to the single-regime AR and AR-GARCH models. For the out-of-sample Value-at-Risk forecasting performance, the ability of regime-switching AR-GARCH model to forecast one-step-ahead density is better compared to the single-regime AR-GARCH model.     

Beauty contest,bounded rationality,and sentiment pricing dynamics

We present a dynamic asset pricing model that incorporates investor sentiment, bounded rationality and higher-order expectations to study how these factors affect asset pricing equilibrium. In the model, we utilize a two-period trading market and investors make decisions based on the heterogeneous expectations principle and the “sparsity-based bounded rational” sentiment. We find that bounded rationality results in mispricing and reduces it in next period. Investor sentiment produces more significant effects than private signals, optimistic investor sentiment increases hedging demand, thus causing prices to soar. Higher-order investors are more rational and attentive to the strategies of other participants rather than private signals. This model also derives the dampening effect of higher-order expectations to price volatility and the heterogeneity expectation depicts inconsistent investor behavior in financial markets. In the model, investors' expectations about future price is distorted by their sentiment and bounded rationality, so they obtain a biased mean from the signal extraction.     

Evaluating currency crises: A Bayesian Markov switching approach

In this paper we examine the nature of a currency crisis. We do so by employing an out-of-sample forecasting exercise to analyse the Mexican crisis in 1994. Forecast evaluation was based on modern econometric techniques concerning the shape of forecaster’s loss function. We also extend the empirical framework suggested by Jeanne and Masson [Jeanne, O., Masson, P., 2000. Currency crises and Markov-switching regimes. Journal of International Economics 50, 327–350] to test for the hypothesis that the currency crisis was driven by sunspots. To this end we contribute to the existing literature by comparing Markov regime switching model with a time-varying transition probabilities with two alternative models. The first is a Markov regime switching model with constant transition probabilities. The second is a linear benchmark model. Empirical results show that the proxy for the probability of devaluation is an important factor explaining the nature of currency crisis. More concretely, when the expectation market pressure was used as a proxy of probability of devaluation, forecast evaluation supports the view that currency crisis was driven by market expectation unrelated to fundamentals. Alternatively, when interest rate differential is used as a proxy for probability of devaluation, currency crisis was due to predictable deterioration of fundamentals.     

Informational efficiency with ambiguous information

This paper proves the existence of fully revealing rational expectations equilibria for almost all sets of beliefs when investors are ambiguity averse and have preferences that are characterized by Choquet expected utility with a convex capacity. The result implies that strong-form efficient equilibrium prices exist even when many investors in the market make use of information in a way that is substantially different from traditional models of financial markets.     

Testing the hypothesis of market efficiency in the Taiwan-US forward exchange market since 1990

This article examines the applicability of the hypothesis of market efficiency in Taiwan's foreign exchange market using daily data. Instead of linear regression-based models, we consider the possibility that the true data generating process may come from two different distributions, and we employ the Markov Switching approach to analyse this. From the results of the two-state Markov Switching model, we define State 1 as the efficient state and State 2 as the inefficient one. Only the 30-day forward rate is able to differentiate between the two states. Based on the unconditional probabilities from the Markov switching model, we also find that the 30-day forward rate has a 70% probability in the efficient state, which indicates that 70% of all speculators fully extract information when predicting future spot rates, while 30% of all investors do not.     

Aggregation of heterogenous beliefs,asset pricing,and risk sharing in complete financial markets

Given a competitive equilibrium in complete asset markets, we propose a method that aggregates heterogeneous individual beliefs into a single “market probability,” which, if commonly shared by investors, generates the same marginal valuation of assets by the market as well as by each individual investor. As a result of the aggregation process, the market portfolio may have to be scalarly adjusted, upward or downward, a reflection of an aggregation bias due to the diversity of beliefs. From a dual viewpoint, the standard construction of an expected utility-maximizing aggregate investor designed to represent the economy in equilibrium, is shown to be also valid in the case of heterogeneous beliefs, modulo the above scalar adjustment of the market portfolio, thereby generating an Adjusted version of the Consumption based Capital Asset Pricing Model (ACCAPM). We analyze how the allocation of aggregate and individual risks relates to deviations of individual beliefs from the aggregate market probability. Finally, we identify the channels through which the distribution of beliefs and other microeconomic characteristics (incomes, attitudes toward risk) across investors impact the pricing of risky assets an may contribute to explaining the equity premium puzzle.     

ENTRANTS' REPUTATION AND INDUSTRY DYNAMICS

This article analyzes entry–exit decisions in a market where reputation determines the price that firms may charge, within a rational‐expectation model of competition in a nonatomic market under heterogeneous reputations. The analysis focuses on the class of name‐switching reputational equilibria, in which a firm discards its name if and only if its reputation falls below the entrants' reputation. The main technical result is the existence of a unique steady‐state equilibrium within this class, in which the entrants' reputation is endogenous. The resulting industry dynamics is largely on agreement with the findings in the empirical literature.     

有限理性、异质预期与房价内生演化机制

本文通过将传统蛛网模型推广为双边异质预期蛛网模型,分析了房价的内生演化机制,通过数值分析考察了市场参与者心理预期对房价的影响。结论表明,市场中基本面分析者的预期不影响房价动态系统的稳定性,技术分析者与开发商的预期则导致房价波动,进而影响房价动态系统的稳定性。模型还给出了房地产开发成本对房价动态演化的影响。开发成本不仅对基本面价格有正向冲击,而且当成本增加到一定临界值后也将导致房价演化出现分岔。     

Executive Compensation and Short-Termist Behaviour in Speculative Markets

We present a multiperiod agency model of stock-based executive compensation in a speculative stock market, where investors have heterogeneous beliefs and stock prices may deviate from underlying fundamentals and include a speculative option component. This component arises from the option to sell the stock in the future to potentially overoptimistic investors. We show that optimal compensation contracts may emphasize short-term stock performance, at the expense of long-run fundamental value, as an incentive to induce managers to pursue actions which increase the speculative component in the stock price. Our model provides a different perspective on the recent corporate crisis than the "rent extraction view" of executive compensation.     

Sterilised Interventions within a Heterogeneous Expectation Exchange Rate Model: Evidence from the Reserve Bank of Australia

In this article, we study the effectiveness of central bank intervention within a heterogeneous expectation exchange rate model for the Reserve Bank of Australia. The empirical evidence is gathered by applying a Markov‐switching approach to daily A$/US$ exchange data from December 1983 to April 2008. Our results support both chartist and fundamentalist regimes. It is shown that the two regimes are persistent and that the fundamentalist regime is riskier. Moreover, interventions when the chartist regime prevails increase the proportion of fundamentalists and thus exert a stabilising effect on the foreign exchange market.     

Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity

This paper investigates asset prices and the long run wealth of investors in an asset market populated by investors who have heterogeneous preferences over risk and ambiguity. In a dynamic setting I characterize conditions under which investors who are averse to ambiguity will have an effect on long run asset prices. If ambiguity averse investors always believe that the true distribution could be wrong in many possible directions then a necessary condition for their survival is that the market exhibit no aggregate risk, a condition not met by many asset pricing models of interest. However, unlike investors with irrational beliefs, there do exist markets in which ambiguity averse investors survive. I have greatly benefitted from conversations with David Easley, Karl Shell, Ani Guerdjikova, Val Lambson, Kristian Rydqvist, Liyan Yang, Josh Teitelbaum and Jayant Ganguli as well as seminar participants at Cornell University and the Midwest Economic Theory Meetings. I am grateful to the Solomon Fund for Decision Research at Cornell University for support.     

Regime switching and the (in)stability of the price–rent relationship: evidence from the US

Present value models of house prices assert that in the absence of self-fulfilling bubbles, a house price is equal to the present discount value of all future rents, which implies a linear relationship between house price and rent, and hence a stable price-to-rent ratio. Using a Markov switching error correction model, we re-examine this relationship in the US housing market and find two distinctive regimes: one with a long-run relation between house price and rent predicted by the present value models and the other in which the relation is nonlinear. Furthermore, we find evidence that deviations of house prices from the present value models’ predictions are caused by the overreaction of house prices to movements in rents rather than speculative bubbles attributable to extraneous factors.     

异质预期演化与我国房价泡沫的形成

本文基于演化金融方法,将房地产市场投资者预期分为稳健型预期（投资策略是根据基本面投资）和风险型预期（投资策略是追涨杀跌）两类,同时投资者会根据市场环境调整自身预期,在此基础上测度了不同类型预期在我国房价泡沫形成中的作用,并进一步区分了不同城市房价泡沫的类型。研究表明：尽管稳健型预期对房价泡沫存在显著抑制效应,但风险型预期的放大效应在房价泡沫形成中起了主导作用;此外,东部地区城市房价泡沫主要属于强风险型预期与强稳健型预期型,中西部地区城市房价泡沫则主要属于弱稳健型预期型。     

Can learning explain boom-bust cycles in asset prices? An application to the US housing boom

This paper argues that boom-bust behavior in asset prices can be explained by a model in which boundedly rational agents learn the process for prices. The novel feature of the model is that learning operates in both the demand for assets and the supply of credit. Interactions between agents on either side of the market create complementarities in their respective beliefs, yielding strong internal propagation. The model is applied to US housing markets. Quantitative exercises explain the recent boom-bust in US house prices from observed fundamentals whilst replicating key moments of housing market variables at business cycle frequencies.     

异质信念、通货幻觉和我国房地产价格泡沫

房地产基本价值是由其未来的现金流(即租金)和贴现率决定的,异质信念与通胀幻觉分别从投资者对房地产未来现金流分布的信念差异和对贴现率的估计偏差两方面解释了房地产价格泡沫的形成机制。本文基于1994~2010年中国房地产市场季度数据,利用时变现值模型估计中国房地产市场的基本价值,进而给出房地产价格泡沫,并检验中国房地产价格泡沫的形成机制。研究发现,异质信念和通胀幻觉都勾勒出了中国房地产价格泡沫形成的画面,但相对于通胀幻觉,异质信念是中国房地产价格泡沫形成的主导因素。     

Asset price volatility and trading volume with rational beliefs

Summary. This paper develops a model of speculative trading in a large economy with a continuum of investors. In our model the investors are assumed to have diverse beliefs which are rational in the sense of being compatible with observed data. We demonstrate the existence of price amplification effects and show that the equilibrium prices can be higher or lower than the rational expectation equilibrium price. It is also shown that trading volume is positively related to the directions of price changes. Moreover, we study how asset price volatility and trading volume are influenced by belief structures, short selling constraints and the amount of fund available for investment.Received: 23 January 2003, Revised: 30 April 2003, JEL Classification Numbers: D84, G12.We are grateful to Professors Mordecai Kurz, Kenneth Arrow, Kenneth Judd, Carsten Nielsen, Maurizio Motolese, Mark Garmaise, Jean-Michel Grandmont, Peter Hammond, Karl Shell, Jan Werner and participants of the Society for the Advancement of Economic Theory (SAET) Conference and Stanford Institute of Theoretical Economics (SITE) Conference for many helpful suggestions. Correspondence to: H.-M. Wu     

房地产业预售制度下的行为选择理论研究

本文从房地产开发商和购房者的行为选择角度探讨了房地产业的预售制度,明确回答了预售制度对于我国当前房地产业发展的重要性,认为对房地产预售制度调控的关键在于严厉打击房地产开发商和投机者的恶意炒作行为,促进合理市场预期的形成,建立合理的观测指标监控房地产业,通过对结构参数和预售融资比例的调整来调控企业行为,确保房地产业健康持续发展。     

异质预期及其经济影响——基于货币经济学的新视角

异质预期是指不同的主体因信息不完全、不对称,或由于认知局限,或使用的预测模型不同等而形成不同的预期,它是一个与理性预期相对的新经济学范畴。除了信息、初始认知外,学习是影响异质预期形成的一个重要因素。在存在异质预期的环境中,经济结果取决于所有参与者的预期。与理性预期相比,异质预期是一种更复杂的传递机制,它会加强和放大经济内在的传导机制,孳生经济波动,增加通货膨胀持久性。预期异质性提高了货币政策的作用,我们应充分发挥货币政策的稳定功能。     

Impact of strategy switching on wealth accumulation

Various investment strategies coexist in financial markets. Fluctuations in the profitability of strategies rationalize investors’ strategy switching behaviors. Under bounded rationality and limited information, such behavior is usually driven by comparing the past performance of different strategies. But at what pace should investors change their strategies? Does a frequent strategy switching lead to a higher wealth in the end? To answer these questions, a discrete dynamic heterogeneous agent model is proposed, in which agents follow heuristic rules and a market maker adjusts the price of a risky asset. Agents are classified by their propensity of strategy switching. It is found that agents with a higher propensity adopt the better strategy more often, but end up with less final wealth. This counter-intuitive phenomenon is caused by the inconsistency between short-run profit and long-run wealth accumulation.