House Price Expectations and Urban Households' Stock Market Participation: Theoretical Discussion and Micro Empirical Evidence
YI Xingjian, SU Xin, ZHOU Cong, YANG Biyun
School of Finance and Investment, Guangdong University of Finance; School of Finance, Guangdong University of Foreign Studies; School of Economics, Fudan University
Summary:
In recent years, Chinese households' limited participation in the stock market has become noticeable. However, the proportion of housing assets in the asset allocation of households is very high. Within the general adherence to the position of “houses are for living in and not for speculative investment,” it is of great theoretical and practical significance to discuss Chinese households' limited participation in the stock market from the perspective of house price expectations. Based on data from the China Household Finance Survey (CHFS), this paper analyzes the relationship between house price expectations and household stock market participation by constructing a theoretical model and conducting empirical tests. In terms of the theoretical model, this paper constructs a two-phase model and finds that house price expectations affect stock investment by changing stock return expectations and adjusting investment in housing assets. In terms of empirical analysis, this paper uses a probit and tobit model to analyze the impact of rising house price expectations on stock market participation and share and uses both direct and indirect methods to empirically test the existence of the two mechanisms. In the direct method, by constructing proxy variables for stock return expectations and housing asset investment, this paper expounds whether households' expectations of house price increases affect these variables. In the indirect method, the paper introduces the exogenous impact of the housing purchase restriction policy, which hinders the adjustment mechanism of housing asset investment, to indirectly identify the impact mechanism. The empirical results further verify that the expectation of higher house prices reduces the probability and degree of households' participation in the stock market through the mechanisms of changes in expected stock returns and adjustments in housing assets. At the same time, this paper empirically analyzes the impact of deviation in household behavior on the relationship between house price expectations and stock market participation. The results show that behavioral deviations such as mental accounts and limited attention hinder the adjustment of household portfolios and weaken the inhibitory effect of house price expectations on household stock investment. This paper further analyzes the heterogeneity of households according to their background risk, social network, and the head of household's education level. The results show that the expectation of higher house prices has a greater inhibitory effect on stock investment by households with higher levels of background risk, lower levels of social network, and lower levels of education. Compared with previous studies, the innovation of this paper is mainly reflected in the following aspects. First, through the theoretical model and empirical tests, this paper comprehensively analyzes the effect and underlying mechanism of house price expectations on stock investment, providing a new explanation for the mystery of households' limited stock market participation. Second, the paper uses behavioral finance theory, taking mental accounts and limited attention as the starting point, to study the impact of irrational behavioral deviation on the relationship between house price expectations and stock investment, and expands the research perspective in the field of household asset allocation. Third, this paper chooses “whether the city publishes real estate policy regulation documents” as the instrumental variable for house price expectations, which better overcomes the possible endogeneity problem. It is expected that rising house prices will reduce households' stock investment through the mechanisms of changes in expected stock returns and adjustments in housing assets. Therefore, considering the position that houses are for living in, not for speculative investment, it is necessary to not only stabilize land and house prices but also pay attention to guiding and stabilizing house price expectations to promote the steady and healthy development of the real estate market. In addition, it is necessary to promote households' demand for stocks and provide impetus for the healthy development of the housing market and capital market from the perspective of demand. Moreover, the existence of behavioral financial deviations such as mental accounts and limited attention will prevent households from adjusting their portfolios according to the expected changes in prices. When macroeconomic management and financial supervision departments design policies and when financial institutions design financial products and wealth management services, they need to consider households' behavioral deviations.
[1]蔡栋梁、何翠香和方行明,2015,《住房及房价预期对家庭创业的影响》,《财经科学》第6期,第108～118页。 [2]陈永伟、史宇鹏和权五燮,2015,《住房财富、金融市场参与和家庭资产组合选择——来自中国城市的证据》,《金融研究》第4期,第1～18页。 [3]甘犁、吴雨、何青、何欣和弋代春,2019,《中国家庭金融研究(2016)》,西南财经大学出版社。 [4]高波、王辉龙和李伟军,2014,《预期、投机与中国城市房价泡沫》,《金融研究》第2期,第44～58页。 [5]何兴强、史卫和周开国,2009,《背景风险与居民风险金融资产投资》,《经济研究》第12期,第119～130页。 [6]李爱梅、凌文辁、方俐洛和肖胜,2007,《中国人心理账户的内隐结构》,《心理学报》第4期,第706～714页。 [7]李凤、罗建东、路晓蒙、邓博夫和甘犁,2016,《中国家庭资产状况、变动趋势及其影响因素》,《管理世界》第2期,第45~56页。 [8]李增刚和杜舒康,2021,《房股联动影响固定资产投资吗？——来自中国资产市场的经验证据》,《济南大学学报(社会科学版)》第4期,第100～114页。 [9]罗楚亮,2004,《经济转轨、不确定性与城镇居民消费行为》,《经济研究》 第4期,第100～106页。 [10]王聪、柴时军、田存志和吴甦,2015,《家庭社会网络与股市参与》,《世界经济》 第5期,第105～124页。 [11]王聪和田存志,2012,《股市参与,参与程度及其影响因素》,《经济研究》第10期,第97～107页。 [12]王松涛,2011,《中国住房市场政府干预的原理与效果评价》,《统计研究》第1期,第27～35页。 [13]王晓全、骆帝涛和王奇,2016,《非正式保险制度与农户风险分担建模与政策含义——来自CFPS数据的实证研究》,《经济科学》第6期,第89～101页。 [14]易行健、周聪、来特和周利,2019,《商业医疗保险与家庭风险金融资产投资——来自CHFS数据的证据》,《经济科学》第5期,第104～116页。 [15]尹海员和乔小乐,2015,《基于多中介变量的货币市场利率及预期波动对股票收益率冲击效应分解》,《中央财经大学学报》第6期,第46～54页。 [16]尹志超、宋全云和吴雨,2014,《金融知识、投资经验与家庭资产选择》,《经济研究》第4期,第62～75页。 [17]尹志超、吴雨和甘犁,2015,《金融可得性、金融市场参与和家庭资产选择》,《经济研究》第3期,第87～99页。 [18]张前程和杨光,2016,《产能利用、信贷扩张与投资行为——理论模型与经验分析》,《经济学(季刊)》第4期,第1507～1532页。 [19]赵留彦和隋福民,2016,《股票收益与通货膨胀:近代中国的长期视角》,《中国经济史研究》第1期,第51～64页。 [20]周广肃、樊纲和申广军,2014,《收入差距、社会资本与健康水平——基于中国家庭追踪调查(CFPS)的实证分析》,《管理世界》第7期,第12～21页。 [21]Aboody, D., R. Lehavy., and B. Trueman, 2010. “Limited Attention and the Earnings Announcement Returns of Past Stock Market Winners”, Review of Accounting Studies, 15(2):317～344. [22]Angrist, J. D., and J. S. Pischke, 2008, Mostly Harmless Econometrics: An Empiricist's Companion. Princeton University Press. [23]Armona, L., A. Fuster and B. Zafar, 2019, “Home Price Expectations and Behavior: Evidence from a Randomized Information Experiment”, Review of Economic Studies, 86(4):1371～1410. [24]Barber, B. M., and T. Odean, 2008, “All that Glitters: The Effect of Attention and News on The Buying Behavior of Individual and Institutional Investors”, The Review of Financial Studies, 21(2): 785～818. [25]Cardak, B. A., and R. Wilkins, 2009, “The Determinants of Household Risky Asset Holdings: Australian Evidence on Background Risk and Other Factors”, Journal of Banking and Finance, 33(5): 850～860. [26]Chetty, R., L. Sándor., and A. Szeidl, 2017, “The Effect of Housing on Portfolio Choice”, The Journal of Finance, 72(3): 1171～1212. [27]Combes, P. P., G. Duranton, and L. Gobillon, 2019, “The Costs of Agglomeration: House and Land Prices in French Cities”, The Review of Economic Studies, 86(4): 1556～1589. [28]Corradin, S., J. L. Fillat, and C. Vergara-alert, 2014, “Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs”, Review of Financial Studies, 27(3): 823～880. [29]Guiso, L., and P. Sodini, 2012, “Household Finance: An Emerging Field”, Handbook of the Economics of Finance, (2): 1397～1532. [30]Heaton, J., and D. Lucas, 2000, “Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk”, Journal of Finance, 55(3): 1163～1198. [31]Hirst, D. E., and P. E. Hopkins, 1998, “Comprehensive income Reporting and Analysts' Valuation Judgments”, Journal of Accounting Research, 36:47～75. [32]Kahneman, D.,1973, Attention and Effort, Published by Prentice-Hall. [33]Morck, R., B. Yeung, and W. Yu, 2000, “The Information Content of Stock Markets: Why do Emerging Markets Have Synchronous Stock Price Movements？”, Journal of Financial Economics, 58(1-2): 215～260. [34]Shefrin, H., and M. Statman, 2000, “Behavioral Portfolio Theory”, Journal of Financial and Quantitative Analysis, 35(2): 127～151. [35]Shiller, R. J., 2007, “Understanding Recent Trends in House Prices and Home Ownership”, NBER Working Paper, NO. 13553. [36]Thaler, R., 1980, “Towards a Positive Theory of Consumer Choice”, Journal of Economic Behavior and Organization, 1(1): 39～60. [37]Thaler, R., 1985, “Mental Accounting and Consumer Choice”, Marketing Science, 4(3): 199～214.
