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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35931


    Title: 不良資產投資組合之分析
    Authors: 洪式韻
    Hung , Shih-Yun
    Contributors: 張金鶚
    洪式韻
    Hung , Shih-Yun
    Keywords: 不良資產
    投資組合
    資產管理公司
    不動產
    Non-Performing Asset
    Portfolios
    AMC
    Real Estate
    Date: 2004
    Issue Date: 2009-09-18 16:25:27 (UTC+8)
    Abstract: 我國金融機構合併法第十五條，允許資產管理公司以整包、群組化的方式處理不良資產。本文即以現代投資組合理論（MPT）為基礎，探討不良資產中有關不動產組合的類型、區位與價格規模對不動產組合效率的影響。相較傳統應用於金融資產的投資組合概念，本文主要特色是：根據「風險分散」的原理，不動產投資組合以國內地理區分散、類型分散的投資組合方式為主。在不動產的投資組合運用上，由於不動產市場的資訊不透明、缺乏流動性、高昂的交易成本，特別是不動產間的產品高度異質性，影響投資者運用「縱斷面」時間序列的不動產價格資料，分析不動產組合報酬與風險之結果，因此本篇研究改從「橫斷面」的角度，將不良資產價格資料進行個體不動產的組合模擬。實證的結果發現：（1）不動產組合價格與報酬風險呈現非線性的關係；當不動產組合金額愈大或愈小時，越有可能形成效率的投資組合；若組合中的不動產具有強烈的異質性，則小規模的不動產組合，即可達到效率組合的要求。（2）個體不動產組合內容異質程度愈高，亦可達到與傳統財務投資組合理論相同的分散風險效果。（3）個體不動產異質程度方面，不動產在「區位」多角化後之組合效率，其效果高過於不動產在「類型」多角化後之組合效率。
    Reference: 【中文部分】
    中華經濟研究院，「主要國家建立不良金融資產處理機構之經驗及成效」，行政院經濟建設委員會委託研究，民國八十九年一月。
    吳英花編著，「不良債權處理實務」，台灣金融研訓院，民國九十年十一月。
    吳英花編著，「資產管理公司處理不良金融資產之探究」，台灣金融研訊院，民國九十一年七月。
    殷乃平等人，「各國對於金融危機處理策略及我國因應之道」，研考會委託研究，民國八十九年。
    張金鶚，「房地產投資與市場分析理論與實務」初版，華泰書局，民國九十二年九月。
    楊仲豪，「臺灣地區不動產投資組合風險分散策略之探討」，中央大學財務金融研究所碩士論文，民國八十九年。
    廖啟涵，「本國銀行不良債權抵押品鑑價、回收率及處理方式之研究」，中央大學財務金融研究所碩士論文，民國九十二年六月。
    【英文部分】
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    Brown, R. J. , L. H. Li and K. Lusht（2000）, “A Note on Intracity Geographic Diversification of Real Estate Portfolios: Evidence from Hong Kong ”, Journal of Real Estate Portfolio Management, 6:2, 131-140.
    Chow, G. and M. Kritzman（2002）, “Value at Risk for Portfolios with Short Positions”, Journal of Portfolio Management, Spring, 73-81.
    Clarke, R. G., H. de Silva and B. Wander（2002）, “Risk Allocation versus Asset Allocation”, Journal of Portfolio Management, Fall, 9-30.
    Clayton, J. and G. MacKinnon（2001）, “The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns”, Journal of Real Estate Portfolio Management, 7:1, 43-54.
    Conover, C. M., H. S. Friday and S. Howton（1998）,“The Relationship between Size and Return for Foreign Real Estate Investments”, Journal of Real Estate Portfolio Management, 4:2, 107-112.
    David Cooke and Jason Foley（1999）, “The Role of the Asset Management Entity – An East Asian Perspective” , Rising to the Challenge in Asia: A Study of Financial Markets: Volume 2 - Special Issues.
    Dynkin, L., J. Hyman and V. Konstantinovsky（2002）, “Sufficient Diversification in Credit Portfolios”, Journal of Portfolio Management, Fall, 89-114.
    Firstenberg, P. M., S. A. Ross and R. C. Zisler（1988）, “Real Estate: The Whole Story”, Journal of Portfolio Management, Spring, 23-32.
    Goodman, J.（2003）, “Homeownership and Investment in Real Estate Stocks”, Journal of Real Estate Portfolio Management, 9:2, 93-105.
    Hartzell, D. J., J. S. Hekman and M. E. Miles（1986）, “Diversification Categories in Investment Real Estate”, AREUEA Journal, 14:2, 230-254.
    Hunt, L. H. and D. M. Hoisington（2003）, “Estimating the Stock/Bond Risk Premium”, Journal of Portfolio Management, Winter, 28-34.
    Levy, H. and M. Sarnat（1984）, Portfolio and Investment Selection: Theory and Practice, Chapter 8, 266-307.
    Louargand, M. A.（1992）, “A Survey of Pension Fund Real Estate Portfolio Risk Management Practics”, Journal of Real Estate Research, 7:4, 361-373.
    Markowitz, H.（1952）, “Portfolio Selection”, Journal of Finance , 7:7 , 77-91.
    Markowitz, H.（1959）, Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley.274-282.
    Markowitz, H.（2000）, Mean-Variance Analysis in Portfolio Choice and Capital Markets , 43-49.
    Martins, L. F., C. Petrov and J. M. Kelly（2001）, “Managing Market Risk for an Emerging Market Debt Portfolio”, Journal of Portfolio Management, 75-90.
    Mueller, G. R. and S. P. Laposa（1995）, “Property-Type Diversification in Real Estate Portfolios : A Size and Return Perspective”, Journal of Real Estate Portfolio Management, 1:1, 39-50.
    Richard, B. Gold（1995）, “Why the Efficient Frontier for Real Estate Is Fuzzy”, Journal of Real Estate Portfolio Management, 1:1, 59-65.
    Vassal, V. de（2001）, “Risk Diversification Benefits of Multiple-Stock Portfolios”, Journal of Portfolio Management, Winter, 32-39.
    Viezer, T. W.（2000）, “Evaluating Within Real Estate Diversification Strategies”, Journal of Real Estate Portfolio Management, 6:1, 75-95.
    Webb, J. R.（1984）, “Real Estate Investment Acquisition Rules for Life Insurance Companies and Pension Funds : A Survey”, AREUEA Journal, 12:4, 495-520.
    Wolverton, M. L., P. Cheng and W. Hardin Ⅲ（1998）,”Real Estate Portfolio Risk Reduction Through Intracity Diversification”, Journal of Real Estate Portfolio Management, 4:1, 35-42.
    Ziering, B. and W. McIntosh（1999）, “Property Size and Risk : Why Bigger is not always Better”, Journal of Real Estate Portfolio Management, 5:1, 105-112.
    Description: 碩士
    國立政治大學
    地政研究所
    92257002
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0922570021
    Data Type: thesis
    Appears in Collections:[Department of Land Economics] Theses

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