Behavioural biases and nonlinear adjustment: evidence from the housing market

References

• Ambrose, B., and S. Kim. 2003. “Modeling the Korean Chonsei Lease Contract.” Real Estate Economics 31: 53–74. doi:10.1111/j.1080-8620.2003.00057.x.
   Web of Science ®Google Scholar
• An, S., and H. Kang. 2011. “Oil Shocks in a DSGE Model for the Korean Economy.” In Commodity Prices and Markets, East Asia Seminar on Economics, edited by T. Ito and A. Rose, 20. Chicago: University of Chicago Press.
   Google Scholar
• Anenberg, E. 2011. “Loss Aversion, Equity Constraints and Seller Behavior in the Real Estate Market.” Regional Science and Urban Economics 41: 67–76. doi:10.1016/j.regsciurbeco.2010.08.003.
   Web of Science ®Google Scholar
• Balk, N., and T. Fomby. 1997. “Threshold Cointegration.” International Economic Review 38: 627–645. doi:10.2307/2527284.
   Web of Science ®Google Scholar
• Barberis, N., R. Greenwood, R. Jin, and A. Shleifer. 2015. “X-CAPM: An Extrapolative Capital Asset Pricing Model.” Journal of Financial Economics 115: 1–24. doi:10.1016/j.jfineco.2014.08.007.
   Web of Science ®Google Scholar
• Barberis, N., R. Greenwood, R. Jin, and A. Shleifer. 2018. “Extrapolation and Bubbles.” Journal of Financial Economics 129: 203–227. doi:10.1016/j.jfineco.2018.04.007.
   Web of Science ®Google Scholar
• Barberis, N., M. Huang, and T. Santos. 2001. “Prospect Theory and Asset Prices.” Quarterly Journal of Economics 116 (1): 1–53. doi:10.1162/003355301556310.
   Web of Science ®Google Scholar
• Barberis, N., and W. Xiong. 2009. “What Drives the Disposition Effect? An Analysis of a Long-standing Performance-based Explanation.” Journal of Finance 64: 751–784. doi:10.1111/j.1540-6261.2009.01448.x.
   Web of Science ®Google Scholar
• Benartzi, S., and R. Thaler. 1995. “Myopic Loss Aversion and the Equity Premium Puzzle.” Quarterly Journal of Economics 110: 75–92. doi:10.2307/2118511.
   Web of Science ®Google Scholar
• Case, K., and R. Shiller. 1988. “The Behavior of Home Buyers in Boom and Post-boom Markets.” New England Economic Review November/December: 29–46.
   Google Scholar
• Case, K., and R. Shiller. 1989. “The Efficiency of the Market for Single-family Homes.” American Economic Review 79: 125–137.
   Web of Science ®Google Scholar
• Case, K., and R. Shiller. 2003. “Is There a Bubble in the Housing Market?” Brookings Papers on Economic Activities 2: 299–362. doi:10.1353/eca.2004.0004.
   Google Scholar
• Case, K., R. Shiller, and A. Thompson. 2012. “What Have They Been Thinking? Homebuyer Behaviors in Hot and Cold Markets.” Brookings Papers on Economic Activity 1: 265–315. doi:10.1353/eca.2012.0014.
   Google Scholar
• Chen, N., and C. Leung. 2008. “Asset Price Spillover, Collateral and Crises: With an Application to Property Market Policy.” Journal of Real Estate Finance and Economics 37: 351–385. doi:10.1007/s11146-007-9095-x.
   Web of Science ®Google Scholar
• Cho, D. 2006. “Interest Rate, Inflation, and Housing Price: With an Emphasis on Chonsei Price in Korea.” Monetary Policy under Very Low Inflation in the Pacific Rim, edited by T. Ito and A. Rose, NBER, 15, 341–370. Chicago: University of Chicago Press. http://www.nber.org/chapters/c10147.
   Google Scholar
• Christiano, L., M. Eichenbaum, and M. Trabandt. 2018. “On DSGE Models.” Journal of Economic Perspectives 32: 113–140. doi:10.1257/jep.32.3.113.
   Web of Science ®Google Scholar
• Cochrane, J. 2005. Asset Pricing. New Jersey: Princeton University Press.
   Google Scholar
• Dickey, D., and W. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74: 427–431.
   Web of Science ®Google Scholar
• Engelhardt, G. 2003. “Nominal Loss Aversion, Housing Equity Constraints, and House Mobility: Evidence from the United States.” Journal of Urban Economics 53: 171–195. doi:10.1016/S0094-1190(02)00511-9.
   Web of Science ®Google Scholar
• Fama, E. F. 1998. “Market Efficiency, Long-term Returns and Behavioral Finance.” Journal of Financial Economics 49: 283–306. doi:10.1016/S0304-405X(98)00026-9.
   Web of Science ®Google Scholar
• Genesove, D., and C. Mayer. 2001. “Loss Aversion and Seller Behavior: Evidence from the Housing Market.” Quarterly Journal of Economics 116: 1233–1260. doi:10.1162/003355301753265561.
   Web of Science ®Google Scholar
• Johansen, S. 1988. “Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics & Control 12 (2–3): 231–254. doi:10.1016/0165-1889(88)90041-3.
   Web of Science ®Google Scholar
• Jung, J., and R. Shiller. 2005. “Samuelson’s Dictum and the Stock Market.” Economic Inquiry 43: 221–228. doi:10.1093/ei/cbi015.
   Web of Science ®Google Scholar
• Kahneman, D., and A. Tversky. 1979. “Prospect Theory: An Analysis of Decision under Risk.” Econometrica 46: 171–185.
   Google Scholar
• Kim, J. 2013. “Financial Repression and Housing Investment: An Analysis of the Korean Chonsei.” Journal of Housing Economics 22: 338–358. doi:10.1016/j.jhe.2013.09.001.
   Web of Science ®Google Scholar
• Kim, K. 2004. “Housing and the Korean Economy.” Journal of Housing Economics 13: 321–341. doi:10.1016/j.jhe.2004.09.001.
   Web of Science ®Google Scholar
• Kim, T. 2014. “Analysis on Korean Economy with an Estimated DSGE Model after 2000.” KDI Journal of Economic Policy 36: 1–64. doi:10.23895/kdijep.2014.36.2.1.
   Google Scholar
• Krainer, J. 2001. “A Theory of Liquidity in Residential Real Estate Markets.” Journal of Urban Economics 49 (1): 32–53. doi:10.1006/juec.2000.2180.
   Web of Science ®Google Scholar
• Leung, C., and C. Tse. 2017. “Flipping in the Housing Market.” Journal of Economic Dynamics and Control 76: 232–263. doi:10.1016/j.jedc.2017.01.003.
   Web of Science ®Google Scholar
• Odean, T. 1998. “Are Investors Reluctant to Realize Their Losses?” Journal of Finance 53: 1776–1798. doi:10.1111/0022-1082.00072.
   Web of Science ®Google Scholar
• Samuelson, P. 1973. “Proof that Properly Discounted Present Values of Assets Vibrate Randomly.” Bell Journal of Economics and Management Science 4: 369–374. doi:10.2307/3003046.
   Google Scholar
• Shefrin, H., and M. Statman. 1985. “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence.” Journal of Finance 40: 777–791. doi:10.1111/j.1540-6261.1985.tb05002.x.
   Web of Science ®Google Scholar
• Shiller, R. 1991. Market Volatility. Cambridge: MIT Press.
   Google Scholar
• Stiglitz, J. 2018. “Where Modern Macroeconomics Went Wrong.” Oxford Review of Economic Policy 34: 70–106.
   Web of Science ®Google Scholar
• Thaler, R., and E. Johnson. 1990. “Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice.” Management Science 36: 643–660. doi:10.1287/mnsc.36.6.643.
   Web of Science ®Google Scholar
• Tversky, A., and D. Kahneman. 1992. “Advances in Prospect Theory: Cumulative Representation of Uncertainty.” Journal of Risk and Uncertainty 5: 297–323. doi:10.1007/BF00122574.
   Web of Science ®Google Scholar