주택 전세-매매가격 비율에 반영된 미래자본이득 기대형성 메카니즘
Capital Gains Expectation Embedded in Rent to House Price Ratios
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Investment, tenure choice, and other decisions related to houses largely depend on expectation on future price movement. However, few studies have investigated the nature of expectation formation since the test on market efficiency usually cannot be separated from the test on expectation formation. Unique quality of Seoul apartment market allows us to assume that the market is efficient. From the market equilibrium condition and employing CAPM, we construct series of expected required rate of returns from the apartment investment for each of 2,458 apartments. Then the part of return due to the expected capital gains is calculated, and compared with actual capital gains. We test whether various expectation hypotheses proposed in the literature can explain the relationship between the expected and the actual capital gains. The result shows that a particular version of the rational expectation hypothesis can explain the relationship for the majority of the apartments. No other hypotheses can be expectation formation mechanism for any meaningful number of apartments.
Abstract
Investment, tenure choice, and other decisions related to houses largely depend on expectation on future price movement. However, few studies have investigated the nature of expectation formation since the test on market efficiency usually cannot be separated from the test on expectation formation. Unique quality of Seoul apartment market allows us to assume that the market is efficient. From the market equilibrium condition and employing CAPM, we construct series of expected required rate of returns from the apartment investment for each of 2,458 apartments. Then the part of return due to the expected capital gains is calculated, and compared with actual capital gains. We test whether various expectation hypotheses proposed in the literature can explain the relationship between the expected and the actual capital gains. The result shows that a particular version of the rational expectation hypothesis can explain the relationship for the majority of the apartments. No other hypotheses can be expectation formation mechanism for any meaningful number of apartments.
참고문헌 (28)
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