利用實質選擇權評估商用不動產投資價值評估研究計畫

[[note]]UT100-DTC6-O-01

Housing Price Structure---Occupied a Demand Perspective

[[note]]MOST104-2410-H327-02

Commercial Real Estate Value Model: a Real Options Approach Using Stochastic Process

[[abstract]]本研究是隨機過程結合實質選擇權模型來評估商用不動產理論價值，這是利用選擇權的模型來考慮未來商用不動產價格的不確定性。此方法是假設商用不動產市價為隨機過程，在所有權人財富淨值極大的情況下，則決定所有權人的最適出售的不動產價格，因此在這情況下可以評估出商用不動產理論價值。根據此價值，所有權人可以知道商用不動產的價格是否高估或低估，因此可以做出繼續持有不動產或出售不動產的決策。根據以上的說明，本研究目的有三點：1.在所有權人財富極大化下的最適商用不動產出售價格。2.建構考慮隨機過程與實質選擇權下的商用不動產理論價值模型。3. 商用不動產所有權人的資本結構對不動產理論價值的影響。只要達成此目的，則此模型有兩點貢獻：1.提高公司不動產資產透明度與降低代理問題。2.提供商用不動產市場新的估價模型。因此本研究可以提供所有權人與政府，對商用不動產估價做出進一步探討，因此重要性與貢獻度非常高。[[abstract]]This paper combines an stochastic process methodology and a commercial real options model to determine the theoretical values of commercial real estate. A theoretical options model provides an option price that incorporates future uncertainty. We assumption commercial real estate market price is an stochastic process, and commercial real estate ownership will maximization their net wealth. They will decide to optimal selling real estate market price. According to this price, the investor may know that real estate price whether to overestimate or the underestimate, therefore may make the decision-making to buy real estate or the sell real estate. According to the above statement, the research has three goals：1. Decide to optimal selling commercial real estate market price that maximization their net wealth. 2. Construction a real estate value with commercial real options model and stochastic Process. 3. How to affect the theoretical values of commercial real estate with investor’s capital structure. So long as achieves this goal, then this research has two contributions:1. To enhance the company’s commercial real estate asset transparency and reduce the agency problem. 2. Provides the commercial real estate market new pricing model. Therefore this research may provide the investor and the government, makes further discussion to the commercial real estate pricing model, therefore the more importance and the more contribution.[[note]]NSC101-2410-H324-01

Corporate Real Estate Holdings Financial Efficiency and Risk Impact - Analysis of Taiwan, Hong Kong and the China Companies .

[[abstract]]本研究主要探討公司持有不動產對公司的財務效率、風險與報酬的影響，並且進一 步探討公司管理不動產的策略與能力，是否會因為不同地區(國家)、不同產業或集團的 影響。所以本研究使用逐步迴歸分析與兩階段迴歸分析，探討公司持有不動產的影響與 管理不動產的能力，因此，本研究不但透過收集兩岸三地的金融市場相關資料，例如大 盤股價指數、個股股價、市場利率與個股系統風險，並且也收集兩岸三地上市與上櫃公 司的財務報表資料，根據財務報表分類與計算出本研究的所需資訊，例如不動產持有變 數、公司財務效率變數、公司報酬率變數、公司風險變數與其它變數。根據整理出來的 變數，進一步分析不動產對公司的重要性與探討公司持有不動產的影響，並且擴及兩岸 三地的其它變數分析，如地區、產業與集團等差異分析。 所以本研究不但是要探討台灣，大陸與香港公司持有不動產的情形對於公司的風險 與報酬有何影響，並且進一步探討是否因所處地區與產業的不同而有重大差異。除此之外，根據本研究的結果，對公司不動產管理與投資提出建議，也可以幫助投資人了解公司持有不動產情形對公司風險及報酬的影響，使投資人可以做出正確投資決策。因此， 本研究主要有四個研究目標： 1. 研究台灣、香港與大陸三地管理不動產財務效率之差異性分析。 2. 研究台灣、香港與大陸三地持有不動產之報酬率研究。 3. 研究台灣、香港與大陸三地持有不動產之風險管理研究。 4. 研究兩岸三地不同地區、不同產業類型、不動公司規模與不同集團背景對持有不動產效率、報酬與風險影響。[[abstract]]The project studies the effect of the real estate held by firms on their financial efficiency, risk and returns and examine whether different regions (countries), industries and groups will affect the firms strategies in managing their properties. The project will adopt step-wise and two-stage regressions to explore the effect of holding real estate on the performance of firms and their management ability. Therefore, the study will collect the financial data of the listed companies in Taiwan, Hong Kong and China, to generate the proxies for variables of company-wise real estate holdings, financial efficiency, financial returns and risks. Based on those proxies, the study will analyze the effect of the holdings of real estate in companies’ portfolio on their financial performance and efficiency across three regions. In addition, whether different industries and groups to which the companies belong will affect the holdings of real estate by companies is also examined. There are four purposes in the project: 1. Examine the financial efficiency for the real estate holdings by companies in Taiwan, Hong Kong and China. 2. Examine the financial return for the real estate holdings by companies in Taiwan, Hong Kong and China. 3. Examine the financial risk for the real estate holdings by companies in Taiwan, Hong Kong and China. 4. Examine the effect of different regions, groups and industries on the companies’ financial efficiency, returns and risks of their real estate holdings.[[note]]MOST103-2410-H327-02

The Modeling of Mortgage Behavior Research

[[abstract]]由於不動產抵押貸款不但是金融機構主要的產品，也是一般不動產投資人需要的金 融產品，所以政府對不動產抵押貸款的政策與不動產抵押貸款的特性就非常重要。本研 究是主要有兩個主題，第一是利用財富效用與實質選擇權理論來研究不動產借款人的購 屋決策，第二是利用隨機過程與所得分配不相同狀況，評估金融機構的預期損失和預期 利潤。這兩個主題可以分析不動產抵押貸款的參與者的行為特性，並且根據行為模式來 設定模型，可以提供金融市場作為決策的參考依據。根據以上說明，本研究目的如下三 點：1.一般與次級不動產抵押貸款借款人利用財務槓桿購屋決策行為模型建構與分析 2. 金融機構對於一般與次級不動產抵押貸款的期望損失與期望利潤分析。3.影響不動產抵 押貸款的期望損失與期望利潤的因子與敏感程度分析。只要達成此目的，則此模型有三 點貢獻：1.降低借款者與金融機構資訊不對稱問題。2.協助一般與次級不動產抵押貸款 借款者貸款與購置不動產決策。3.協助金融機構對主要與次級不動產抵押款的風險管理。 因此本研究可以提供借款者、金融機構與政府機關，對不動產抵押款放款政策做出進一 步探討，因此重要性與貢獻度非常高。[[abstract]]As the real estate mortgage loans are not just the main products of financial institutions but also they are the main vehicle for real estate investors to obtain funds, the real estate mortgage policy is important to government in enacting optimal mortgage loans contract for investors. The research includes two topics: 1. To explore the process of decision-making by real estate mortgagers in consideration of wealth effects and real option theory; 2. To evaluate the expected profits and losses borne by financial institutions in consideration of stochastic process and different income distributions. By accounting for the uncertain behavior of participants in the mortgage loans, the model is expected to help financial institutions in their decision making. In summary, there are three goals in the project: 1. To model and analyze the decision-making process of mortgagers in primary and subprime mortgage loans; 2. To analyze the expected profits and losses arising from the primary and subprime mortgage loans by financial institutions; 3. To make the sensitivity analysis of the expected profits and losses arising from the primary and subprime mortgage loans by financial institutions. After the completion of the goals in the above, the project has three contributions: 1. Decrease the information asymmetry between mortgagers and financial institutions; 2. Help mortgagers in their decision making in engaging primary and subprime mortgage loans; 3. Improve the risk management of financial institutions in primary and subprime mortgage loans. Based on the real option model, the results of the project are expected to provide insights to the decision making of mortgage loans for financial institutions, government and individual investors.[[note]]NSC102-2410-H324-01

Residential Rational Demand by Price Behavior Analysis

[[note]]MOST105-2410-H327-023-MY

An Analysis of the Behavior of Investment in Real Estate-To the Degree of Financial Leverage

[[abstract]]本研究主要是在探討投資人槓桿租金純益率，如何受到毛租金收益與投資人財務槓桿結構的影響，並且進一步探討投資人的行為。根據模型可以得知，雖然增加毛租金收益會使投資人槓桿租金純益率上升，但是投資人透過調整財務槓桿程度，也會影響投資人租金純益率，所以調整財務槓桿程度與毛租金收益皆會影響槓桿租金純益率。從數值可以發現，在借貸利率比較低的市場，投資人透過調整財務槓桿比率，會使槓桿租金純益率上升，所以投資人可以忍受較低的毛租金收益或較高的不動產價格；但是在借貸利率較高時，投資人會要求較高的毛租金收益或較低的不動產價格。根據本研究模型，在不一樣的毛租金收益變動，則可以提供如何調整財務槓桿比率，進一步提高其槓桿租金純益率。或是在不一樣的財務槓桿比率變動，可以提供如何調整毛租金收益，進一步提高其槓桿租金純益率。[[abstract]]The paper tries to explore the degree to which the realized rate of return from rentals is affected by the gross rental income and financial leverage of investors. The paper finds that the realized rate of return from rentals will not just increase due to higher gross rental income, but will be affected by the level of the financial leverage of investors. The model presented in the paper can explain why the investors are willing to accept lower rental income or higher property prices. The paper further shows that when the mortgage rate is high, investors tend to demand higher gross rental income or lower property prices. In addition, under different levels of gross rental income and financial leverage, investors can increase their expected leveraged rate of return from rentals

Applying the Concept of Real Options to the Pricing of Houses and Rent in Taipei

[[abstract]]過往探討不動產價值的文獻，僅是從租金收益的單一角度去衡量不動產價值，並未以實質選擇權的角度來考慮未來不動產預期的出售價格，所以本研究是以實質選擇權的方法，同時考慮租金收益與未來預期的資本利得情況下，並且假設投資人在極大化自己財富，則評估出不動產的最適出售價值，再根據不動產的最適出售價值來估計不動產的實質價值與合理租金，並且探討不動產泡沫化程度。本研究發現租金與不動產價格的波動率越高，則不動產的實質價格會越大。當租金成長的速度小於不動產價格成長的速度，則會造成不動產的價格泡沫化。本研究根據台北市不動產資料為模擬基礎，發現台北市的租金價格可能被低估，也就是台北不動產的 價格可能被高估。[[abstract]]This study not only focuses on fundamental models that derive the market housing price as a sum of the expected present value of rental income, but also focuses on real estate capital gains. This study applies the concept of real options to future housing prices, and uses the real options pricing model to price the houses. It assumes that the real estate investors are rational, that they will maximize their own wealth, and that they will then appraise the real estate in terms of the most suitable sales value, the real estate theoretical value and the extent of the real estate bubble. This study discovers that the higher is the rent and the volatility of real estate prices, then the higher will be the theoretical price of real estate. When the interest rate is lower, then the interest rate and the theoretical value of real estate will be negatively correlated. However, when the interest rate is rising over time, the interest rate and the real estate theoretical value will not necessarily have the same relevance. This study, which is based on Taipei real estate data, not only discovers that Taipei rental prices are underestimated, but also finds that Taipei real estate prices are overestimated

The Intraday Behavior of Twenty-four-hour Return Variance in the TSEC

[[abstract]]本研究主要以台灣加權股票指數、摩根台股指數與摩根台股指數為標的股中，所包含77支台灣證券交易所的上市股票為樣本，研究期間從1998年7月到1998年12月，以每5分鐘的24小時報酬變異率為時段，藉由指數與個股相互比較，來檢驗開盤高的報酬變異率是由何種原因所引起的，並且研究隔夜報酬變異對投資人交易行為的影響；實証資料指出，第一：高的開盤報酬變異率是由於資訊的累積所引起；第二：已發生資訊會影響投資人開盤和收盤交易行為，未發生資訊只會顯著影響投資人在收盤的交易行為。[[abstract]]Using high frequency transaction data for a sample of 77 stocks listed on Taiwan Stock Exchange capitalization Weighted Stock Index and MSCI Taiwan Stock Index during the period from July 1988 to December 1988.Individual stocks are examined over 5-minute intervals during 24 hours. Compare Index with stocks to examine the results of open-to-open return variance ratio, and study the effects of over-night return volatility to investors. We find that higher open-to-open return variance ratio results from the accumulation of information. The information which had happened will effect at the open and at the close of the investors’ behaviors. Therefore, the information which will not happen will effect at the close of investors’ behavior