An Empirical Study on the Investment Behavior of Investors in the Real Estate Tax : - Focus on the Psychological Factor - = An Empirical Study on the Investment Behavior of Investors in the Real Estate Tax

다국어 초록 (Multilingual Abstract)

There have been difficulties for collecting actual trading data of real estate investors that caused problems in the study of the real estate investment psychology and the behavioral tax. This study solves the data collection problems by using the certificated copies of the real estate register. In the process of research, following data from January 2005 to July 2014 are used; 2,245 data of actual transactions, regional monthly real estate price indices, national monthly real estate price indices, composite stock price indices, and construction industry indices. This study explains the behavioral investment and psychology of investors throughout the four main subjects; the reactions of the real estate market after the tax policy, the disposition effect followed by the change of tax policy, the relation between the change of tax policy and the cognitive bias of decision making, and the influence of the real estate transaction tax on real estate property.
The outcomes of the study show that the real estate market sometimes works in inefficient ways resulting from the cognitive bias of the investors. Among the
cognitive bias that possible can be the cause of the market inefficiency, this research verifies the disposition effect appearing on market as a cause of the inefficiency. Also, according to the outcomes of the research on the change of tax rates, it is confirmed that the investors’ cognitive bias decreases except the special cases when transfer income and acquisition tax has increased. Along with that, the reverse disposition effect is also confirmed. In the situation, if investors show the certainty effect or the recency prejudice, it is impossible to reduce cognitive bias even though tax rate is increased. Therefore, the disposition effect as one of the cognitive bias should be consistently researched on the other cognitive bias and reactions of real estate tax rate.
An implication of this research is the unique way of approaching. It tried to investigate the change depending on trade price in real estate, which has not been done before in the field of behavior taxation. In addition, there is an academic meaning because it refutes the previous conclusion in the perspective of investment psychology that assumes the relationship between the acquisition and the transfer income tax effect is imperceptible. Moreover, it has an academic suggestion because the reverse disposition effect is revealed through this study, which was difficult to be proved in previous researches. Besides, this research has practical implication because it suggests an empirical reason about the governmental decision making. Finally, it verifies that transfer income tax rate increase could reduce investors’ cognitive bias, and also clarifies that the investors react significantly to DTI.

국문 초록 (Abstract)

본 연구는 기존 부동산투자심리연구와 행동세무연구에서 제기되던 문제점 중 하나인 부동산 투자자들의 실거래자료 수집의 어려움을 등기부등본을 활용하여 해결하였고 이를 이용하여 연구하였다. 연구의 기간은 2005년 1월부터 2014년 7월까지이며 연구에 사용된 자료는 연구기간 중 2245건의 실거래데이터, 지역별 월별 지가지수, 전국 월별 지가지수, 종합주가지수, 건설업종지수를 이용하여 연구하였다. 본 연구는 4가지의 주제(조세정책에 따른 부동산 시장의 반응, 조세정책 변화에 따른 처분효과, 조세정책 변화와 의사결정의 인지적 편의, 부동산 거래세가 부동산자산에 미치는 영향)를 이용하여 부동산 조세정책에 따른 투자자들의 투자행태와 심리에 관한 연구를 실시하였다.
연구결과 부동산 시장은 간혹 비효율적인 면이 나타날 수도 있으며 이러한 현상의 원인은 투자자들의 인지적 편의에서 온다고 할 수 있다. 본 연구는 시장의 비효율의 원인이 될 수 있는 인지적 편의 중 본 연구가 중요하다고 판단한 처분효과가 시장에 나타나는 것을 검증하였다. 또한, 세율변화에 따른 연구결과, 특별한 경우를 제외하고 양도소득세율 또는 취득세율을 상승시킬 경우 투자자들의 인지적 편의의 정도가 줄어드는 것을 확인할 수 있었으며, 역 처분효과의 존재도 확인할 수 있었다. 이때, 투자자들에게 확실성 효과 또는 최근성 편견 등이 나타난다면 세율인상을 통해서도 인지적 편의를 줄일 수 없다는 것을 확인할 수 있었다. 그러므로 처분효과는 인지적 편의 중 하나로써 추후 다른 인지적 편의에 대한 연구 및 부동산 시장의 세율반응에 대한 연구가 지속되어야 할 것이다.
본 연구의 시사점으로는 기존의 행동세무학의 연구에서 잘 이루어지지 않던 부동산 관련 거래세의 변화에 따른 연구를 시도하였다는 점이다. 또한, 기존에 연구되었던 선행연구들이 밝혔었던 취득세와 양도소득세의 효과가 미미하다는 결과에 대해 투자심리관점에서 판단하였을 때 기존의 결과와 다르다는 것을 밝혔다는 점에서 학문적 시사점이 있다고 할 수 있다. 또한, 기존의 연구를 통해 확인하기 힘들던 역 처분효과의 형태를 본 연구를 통해 밝혀내면서 학문적인 시사점이 존재한다고 판단된다. 그리고 이러한 연구들은 정부의 의사결정에 대한 실증적 근거를 제시할 수 있다는 점에서 실무적인 시사점이 존재한다고 판단된다. 아울러, 양도소득세율의 인상의 경우 투자자들의 인지적 편의를 줄일 수 있다는 것을 밝혔으며, 추가적으로 투자자들은 거래세 이외의 정책인 DTI에도 큰 반응을 나타낸다는 것도 밝혔다.

목차 (Table of Contents)

• Chapter 1 Introduction 1
• Section 1 The Purpose of the study and research question 1
• Section 2 The Range and Construction of the Study 9
• Chapter 2 Theoretical Background and Data Collection 11
• Section 1 Theoretical Background 11
• 1. Theoretical Background of Behavioral Economics 11
• 2. Psychological Biases 15
• 1) Confirmation Bias 15
• 2) Hindsight Bias 17
• 3) Framing of behavioral Tax 18
• 4) Heuristic of behavioral Tax 19
• 5) Studies about Tax Aversion 20
• 6) Loss Aversion 22
• 7) Mental Accounting 23
• 3. Previous Studies 24
• 1) Analysis of investment psychology in real estate market 24
• 2) The real estate tax research of international 27
• Section 2 Data collection and Normality Test 30
• 1. Range of the study 30
• 2. Normality Test and Statistic Test 42
• 1) Normality test of market reaction research on tax change 42
• 2) Normality test of researches using certified copies of register book 43
• Chapter 3 The Market React Event Study Which It Follows in Change of Tax Policy 45
• Section 1 Background and Purpose of Research 45
• Section 2 Previous Study 48
• 1. Previous event studies about taxation 48
• 2. Previous event studies about real estate 49
• Section 3 Research model and hypothesis 51
• 1. The model of event study 51
• 1) CAR Model 51
• 2) BHARst Model 54
• 2. The hypothesis of event study, which it follows tax policy changing 55
• Section 4 Empirical Study 58
• 1. Analysis using CAR Model 58
• 1) Daily analysis when the tax increased 59
• 2) Monthly analysis when the tax increased 61
• 3) Daily standard analysis in tax decrease 70
• 4) Monthly analysis when the tax decreased 74
• 2. Analysis using BHARst Model 83
• 1) BHARst analysis when the tax increased 83
• 2) BHARst analysis when the tax decreased 86
• Section 5 Conclusion 90
• Chapter 4 An empirical study on the disposition effect due to changes in tax policy 92
• Section 1 Background and purpose of the study 92
• Section 2 Previous Study 94
• 1. Prospect Theory 94
• 2. Disposition Effect 96
• Section 3 Research model and hypothesis 98
• 1. The model of the disposition effect study 98
• 1) Holding term model; ATP, ATL model 99
• 2) The Example of holding period model 104
• 3) RGIRP and RLIRP model; based on frequency 105
• 4) The Example of Frequency model 107
• 2. The hypothesis for Research of the disposition effect due to changes in tax policy 109
• Section 4 Empirical analysis and verifying the hypothesis 112
• 1. Verification of disposition effect using ATP-ATL model 112
• 1) Analysis of disposition effect using ATP, ATL model when tax increase 114
• 2) Verification of disposition effect using an ATP, ATL model when tax decrease 119
• 2. Verification of the disposition effect in real estate market using the trade frequency 126
• 1) Verification of disposition effect using the RGIRP, RLIRP model 126
• 2) Verification of disposition effect using a RGIRP, RLIRP model when tax increased 127
• 3) Verification of disposition effect using a RGIRP, RLIRP model when tax decreased 129
• 4) Verification of disposition effect using a RGIRP, RLIRP model when tax decreased 133
• 5) Analysis on the apartment market in the tax rate increase based on the frequency 134
• 6) Analysis on the disposition effect on the apartment market in the tax deduction 135
• Section 5 Conclusion 138
• Chapter 5 Study of Cognitive bias in Decision making according to Change of Tax policy 141
• Section 1 Introduction and Purpose of the study 141
• Section 2 Background Research 143
• Section 3 Research model and established hypothesis 146
• 1. Research model and method 146
• 1) Frequency of profit and loss compare models 146
• 2) The example of GR and LR model 148
• 3) PRMR and LRMR Model 149
• 4) The example of the PRMR and LRMR model 151
• 2. The hypothesis for research on cognitive bias to a change in tax policy 153
• Section 4 Empirical analysis 155
• 1. Analysis of frequency of loss and profit for increasing tax rate 155
• 2. Analysis of frequency of profit and loss, according to decreasing the tax rate 157
• 3. Analysis of PRMR and LRMR according to increase tax rates 160
• 4. Analysis of PRMR and LRMR according to tax decrease 164
• 5. Analysis of the apartment market after the tax rate change 168
• 1) PRMR and LRMR after the tax rate increase 168
• 2) PRMR and LRMR after the tax rate decrease 170
• Section 5 Conclusion 174
• Chapter 6 An Empirical study on the effect of real estate transaction tax on asset price 177
• Section 1 Purpose and motivation of the study 177
• Section 2 Prior studies 179
• Section 3 Research method and establish hypothesis 182
• 1. The research model and method 182
• 2. Hypothesis Establishment 186
• Section 4 Empirical study 189
• 1. The study of reaction when the acquisition tax was increased 189
• 2. The research when the acquisition tax decrease 193
• 3. The study of react when the transfer income tax was increased and decreased 197
• Section 5 Conclusion 200
• Chapter 7 Conclusion 203
• Korean References 209
• Foreign References 211
• Appendices 216