中国城市土地市场存在“赢者诅咒”吗?

Is there Winners' Curse on Urban Land Market in China?

借鉴相关研究成果,构建一个综合性的时间窗口分析模型,利用我国境内房地产上市公司在20个城市购置的205宗土地作为样本,设置前向与后向共八个事件窗口,定量考察土地市场价格信号对股票市场的影响。实证结果表明:土地市场与股票市场是两个高度关联的市场,两个市场之间存在信号传递作用,短期内具有正向冲击效应,地价信号在土地出让后能够在短期内影响股票收益率,形成对股票价格的短期冲击效应;土地出让价格信号对股票市场的影响具有时间上的不对称性,地价信号对于股票收益率的影响主要发生在土地成交之后,股票市场对于土地竞拍以前的信息没有明显响应;土地市场所发现的价格信号是关联市场价格波动的信号源,改变竞价人的预期是市场稳定的关键。

Drawing on relevant research results, the paper constructs a comprehensive analysis model about time window. U-sing 205 land sales’ samples in 20 cities of real estate listed companies in China,on the impact of land market price signals on stock market based on the model of eight event windows with forward directionand backward direction. The empirical results show that the land market and the stock market are two highly related markets, and there is a signal transmission effect between the two markets’ , which has a positive knock-on effect in the short run, land price signals can afect stock returns in the short termafter land grant, and form aThe influence of the land grant price signal on the stock market is asymmetric in time, land price signals have an influence on stock returns mainly after the land transaction, and the stock market has no obvious response to the previous information of land auction. The price signals found in the land market are the source of the price fluctuation in the relevant market, andchanging the expectations of the bidders is the key to market stability.