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    Title: 投資者理性預期之研究─以台北地區住宅資本化率為例
    Authors: 翁業軒
    Contributors: 陳奉瑤
    翁業軒
    Keywords: 資本化率
    投資者理性
    理性預期
    住宅租金
    Capitalization Rates
    Investor Rationality
    Housing Rents
    Date: 2007
    Issue Date: 2010-12-09 16:37:39 (UTC+8)
    Abstract: 國外住宅租金普遍具有復歸性質,理性投資者應考慮此性質,於市場高峰期預期較低的未來租金成長率,而以較高資本化率進行評價,於市場谷底期預期較高的未來租金成長率,以較低的資本化率進行評價。故理性預期將導致市場波動穩定。近年相關研究發現,英國投資者對未來租金成長的預期相對較美國及澳洲的投資者理性,投資者理性程度可能具地區差異。本研究利用向量自我迴歸模型驗證台北地區住宅租金具有復歸性質。利用追蹤資料迴歸分析實證台北地區住宅資本化率資料,探討投資者是否具理性預期;研究發現投資者的評價未考慮租金的賦歸性質,不具理性預期,於市場租金低迷時期過於悲觀,於市場租金快速成長時期過於樂觀。此外,本研究探討投資者理性預期的地區差異,發現市場資訊流通較高的台北市,投資者預期相對較台北縣合理,其市場資本化率波動亦較穩定。顯示投資者理性程度對於住宅市場的穩定性具有重要意義。
    Housing rents are widely considered to be mean or trend reverting overseas. Rational investors should consider the reverting potential of rents so that they would expect lower / higher future rental growth rates at rental cyclic peaks / troughs, hence higher / lower capitalization rates. Investors with rationality could appropriately value their housing property, hence they help stability of housing market. Recent studies have found more rationality in the expectations of rental growth of English investors relative to the U.S. and Australian investors. In this study, we use a vector autoregression model to examine the reverting nature of housing rents in Taipei. We use a panel data regression analysis to explore the rationality of housing investors by examining the relationship between current rent level and capitalization rates. The empirical results suggest that investors were too pessimistic / optimistic while rent level is relatively low / high, they have not built the reverting nature of rents into their valuations / or their capitalization rates. Further, we have found more irrationality in Taipei County than that in Taipei City, as a result of the information sufficiency in Taipei City. Hence the volatility of capitalization rates in Taipei County is greater than in Taipei City, indicating that investor rationality plays an important role in housing market.
    Reference: 一、 中文文獻
    李昀叡,2006,「收益資本化率之分析與應用─以台北市住宅為例」,國立臺北大學不動產與城鄉環境學系碩士論文:台北。
    林祖嘉,1992,「台灣地區房租與房價關係之研究」,『台灣銀行季刊』,43(1):279-312。
    張金鶚、楊宗憲,2000,「台灣住宅價格指數之編制─台北市、台北縣、台中市、高雄市指數之分析」,『中國房地產研究』,1: 97-117。
    梁仁旭、陳奉瑤,2006,『不動產估價』,台北:陳奉瑤,頁218。
    陳旭昇,2007,『時間序列分析─總體經濟與財務金融之應用』,台北:東華書局,頁157。
    曾建穎、張金鶚、花敬群,2005,「不同空間、時間住宅租金與其房價關聯性之研究-台北地區之實證現象分析」,『住宅學報』,12(2):27-49。
    楊奕農,2005,『時間序列分析─經濟與財務上之應用』,台北:雙葉書廊,頁20。
    二、 外文文獻
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    De Bondt, W. F. M. and R. Thaler, 1985, “Does the Stock Market Overreact?”, The Journal of Finance, 40(3) :793-805.
    DiPasquale,D., and Wheaton,W.C., 1996, Urban Economics and Real Estate Markets, Englewood Cliffs, NJ: Prentice-Hall, Inc: 8-11.
    Dunse, N., Jones, C., White, M., Trevillion, E., and Wang, L., 2007, “Modelling Urban Commercial Property Yields: Exogenous and Endogenous Influences”, Journal of Property Research, 24(4) :335-354.
    Gatzlaff, D.H., and Tirtiroglu D., 1995, “Real Estate Market Efficiency: Issues and Evidence”, Journal of Real Estate Literature, 3(2) :157-189.
    Grenadier, S. R., 1995, “The persistence of real estate cycles”, Journal of Real Estate Finance and Economics, 10(2) : 95-119.
    Gujarati, D. N., 2003, Basic Econometrics, New York: McGraw-Hill/Irwin, Inc: 637.
    Grossman, S. J., 1981, “An Introduction to the Theory of Rational Expectations Under Asymmetric Information”, The Review of Economic Studies, 48(4) : 541-559.
    Hall, R. E., 2001, “Struggling to Understand the Stock Market” The American Economic Review, 91(2) : 1-11.
    Hendershott , P. H., Hendershott, R. J., and MacGregor, B. D., 2006, “Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique”, Journal of Real Estate Literature, 91(2) : 149-172.
    Hendershott, P. H., 1996, “Rental Adjustment and Valuation in Overbuilt Markets: Evidence from the Sydney Office Market”, Journal of Urban Economics, 39 (1) :51-67.
    ──, 2000, “Property Asset Bubbles: Evidence from the Sydney Office Market”, Journal of Real Estate Finance and Economics, 20(1) :67-81.
    Hendershott, P. H., and B. Turner, 1999, “Estimating Constant-Quality Capitalization Rates and Capitalization Effects of Below Market Financing”, Journal of Property Research, 16(2) :109-123.
    Hendershott, P. H., Lizieri, C. M., and Matysiak, G. A., 1999, “The Workings of the London Office Market”, Real Estate Economics, 27(2) :365-387.
    Hendershott, P.H., and B. D. MacGregor, 2005a, “Investor Rationality: Evidence from U.K. Property Capitalization Rates”, Real Estate Economics, 33 (2) :299-322.
    ──, 2005b, “Investor Rationality: An Analysis of NCREIF Commercial Property Data”, Journal of Real Estate Research, 27 (4) :445-475.
    Hendershott, P.H., MacGregor, B.D., and White, M., 2002, “Explaining Real Commercial Rents Using an Error Correction Model with Panel Data”, Journal of Real Estate Finance and Economics, 24(1/2) : 59-87.
    Hui, E. and T. Y. Lui, 2002, “Rational expectations and market fumdamentals: Evidence from Hong Kong’s boom and bust cycles,” Journal of Property Investment and Finance, 20(1) :9-22
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    Phillips, R.S., 1988, “Residential capitalization rates: Explaining intermetropolitan variation, 1974-1979”, Journal of Urban Economics, 23(3) :278-290.
    Sivitanides, P., Southard, J., Torto, R.G., and Wheaton, W.C., 2001, “The Determinants of Appraisal-Based Capitalization Rates”, Real Estate Finance, 18(2) :27-37.
    Sivitanidou, R., 2002, “Office Rent Processes: The Case of U.S. Metropolitan Markets”, Real Estate Economics, 30(2) :317-344.
    Sivitanidou, R., and P. Sivitanides, 1999, “Office Capitalization Rates: Real estate and Capital Market Influences”, Journal of Real Estate Finance and Economics, 18(3) :297-322.
    Summers, L. H., 1986, “Does the Stock Market Rationally Reflect Fundamental Values? ” The Journal of Finance, 41(3) :591-601.
    Wheaton, W. C., 1999, “Real Estate "Cycles": Some Fundamentals”, Real Estate Economics, 27(2) :209-230.
    Wheaton, W. C., and R. G. Torto, 1994, “Office Rent Indices and Their Behavior over Time,” Journal of Urban Economics, 35(2) :121-139.
    Wheaton, W. C., Torto, R. G., and Evans, P., 1997, “The Cyclic Behavior of the Greater London Office Market”, Journal of Real Estate Finance and Economics, 15(1) : 77-92.
    Description: 碩士
    國立政治大學
    地政研究所
    95257019
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095257019
    Data Type: thesis
    Appears in Collections:[地政學系] 學位論文

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