Does Property Return Affect Seller Behavior? An Empirical Study of China's Real Estate Market

This paper examines the relationship between property return and seller behavior and aims to test the disposition effect in China's real estate market. Using transaction data in Beijing, we find that loss properties have a lower sell propensity relative to gain properties, confirming the existence of the disposition effect. We also find that the disposition effect is more pronounced in samples with shorter holding periods. Sellers with financial constraints and popular projects are more likely to show the disposition effect. Furthermore, we find that sellers exhibit loss aversion; specifically, sellers with loss properties are likely to set a higher listing price, which provides indirect evidence for the disposition effect.