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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/71558
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/71558


    Title: 台灣REITs價位合理嗎?
    Other Titles: Are REITs Prices Reasonable in Taiwan?
    Authors: 陳明吉;蔡怡純;杜采萍
    Chen, Ming-Chi;Tsai, I-Chun;Tu, Tsai-Ping
    Contributors: 財管系
    Keywords: 不動產投資信託基金;自由現金流量;實質選擇權;定錨效果
    REITs;free cash flow;real-option;anchoring
    Date: 2009-09
    Issue Date: 2014-11-19 15:53:11 (UTC+8)
    Abstract: 金融資產的真實價值一直是個重要議題,其關乎交易者是否理性、市場是否具有效率,而台灣的新興金融商品不動產投資信託基金,更由於受到證券化前不動產實體資產市場獨佔性競爭市場特性的影響,其真實價值較一般金融商品難尋。故本研究以不動產投資信託主要估價方法收益還原法為基礎,更進一步去比較自由現金流量法,以及二項式實質選擇權法,觀察此新開放的市場是否具有效率,資產的價格能否充分反應其價值,投資人對此資產是否有足夠的認知,能夠合理的評價此資產。我們選擇台灣三檔上市最久的REITs(富邦、國泰、新光)做比較分析,研究發現三檔REITs過去的價格波動不大且均和其面額皆相當接近,採用傳統現金流量折現法,估出股價約高於當前股價一成,而自由現金流量法所估算出的理論股價較平均實際股價高出約五成,而在加入實質選擇權的價值後所計算出來之理論價格則平均而言較過去歷史股價高出一倍。我們認為目前股價均偏低,所以有其潛在價值存在,而目前股價偏低推論其原因之一為投資人對於台灣REITs有「注意力定錨現象」,另外本文觀察這三檔基金在次貸風暴後的過度反應,認為在市場仍未能充份反應資產的價值變動及投資人交易仍不理性。
    Evaluating the real value of financial assets is an important but difficult issue. Pricing REITs is even more difficult because REITs are securitization products of real estate which has some unique properties. Based on the discounted cash flow model, this paper uses the free cash flow method and real-option model to evaluate the real value of REITs in Taiwan. The case studies in this paper include Fubon No.1, Cathy No.1, Shin Kong No. 1. Results show that the real values estimated from the basic discounted cash flow model, free cash flow model, and real option are 10 percent, 50 percent, and 100 percent higher than the historical average market price, respectively. These findings suggest that the market prices for these REITs are below their actual values. A possible explanation for this undervaluation could be the anchoring tendency of REIT investors. An analysis of price reactions to the subprime crises further implies that REIT investors may not have acted rationally.
    Relation: 台灣金融財務季刊, 10(3), 59-86
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

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