주거용 부동산 투자자심리를 활용한 공급정책의 지역별 효과에 관한 연구

초록

If all market participants are rational and the market is efficient, there are no abnormal returns. However, the market is not always efficient because we could frequently observe abnormal returns. There are, of course, many reasons why abnormal returns persistently happen, but the important factor is investor sentiment, primarily studied in behavioral finance. Therefore, we focus on investors’ sentiments to explain abnormal returns from the residential property market. We use JS Ratio that the price of ‘Jeonse’ divided by the market price of residential property, to estimate the abnormal return. ‘Jeonse’ price is the proxy for the use value(or present value), representing the habitation’s supply and demand. Meanwhile, the residential property price indicates the sum of the use value(or present value) and the investment value(or future value). In this respect, the low JS Ratio means that it was a section in which investment value (future value) was highly reflected. and If the investment value (future value) is too high, it can be seen that it means a bubble. In the residential real estate investor sentiment index, ‘house order amount’, ‘number of housing orders’, ‘apartment auction sale rate’, ‘apartment auction sale rate’, ‘unsold apartment number’, and ‘construction BSI index’ were selected as psychological proxy variables. The psychological proxy variable was orthogonalized with the macroeconomic variable, and the PCA analysis result was derived using the orthogonal psychological proxy variable and defined as the residential real estate investor sentiment index. The results of this study are summarized as follows. First, the relationship between Residential Real Estate investor sentiment and JS Ratio showed insignificant results. However, when investor sentiment changes by one unit, the complex relationship between supply policy and JS Ratio is significant in the positive (＋) direction in Seoul, Gyeonggi, Incheon, and Daejeon. An increase in JS Ratio indicates a decrease in investment value. This can be seen as a decrease in speculative demand. Daegu, Busan, Ulsan, and Gwangju were found to be insignificant. As a characteristic, the area adjacent to Seoul showed significant results. This indicates that when investor sentiment is high and supply policy is announced, one unit increase in investor sentiment significantly lowers the investment value factor in Seoul and surrounding cities. Second, the F-test coefficient values of Seoul, Gyeonggi, Incheon, and Daejeon are 0.017 in Seoul, 0.024 in Gyeonggi, 0.022 in Incheon, and 0.033 in Daejeon, confirming that the coefficient values in the area around Seoul are higher than in Seoul. This means that investor sentiment is high and investment value factors are lowered more sensitively in cities around Seoul (Gyeonggi, Incheon, and Daejeon) when a supply policy is announced. This phenomenon means that the gap between use value (present value) and investment value (future value) was relatively higher in cities around Seoul than in Seoul, indicating that they respond sensitively to speculative demand.

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