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    題名: 住宅租金報酬率之評估及預測－以不動產景氣指標分析
    Evaluation and Forecast Rate of Return on Residential Real Estate - An Analysis of Real Estate Cycle Indicator
    作者: 賴譽丰
    Lai, Yu-Fong
    貢獻者: 江穎慧
    Chiang, Ying-Hui
    賴譽丰
    Lai, Yu-Fong
    關鍵詞: 毛收益資本化率
    不動產景氣循環
    領先指標
    估價理性
    風險溢酬
    gross capitalization rate
    real estate cycle
    leading indicators
    rational valuation
    risk premium
    日期: 2023
    上傳時間: 2023-09-01 15:15:42 (UTC+8)
    摘要: 收益資本化率之決定以風險溢酬法以及市場萃取法最為不動產估價師使用。但風險溢酬的組成缺少更明確的指標，且主觀判斷各類型風險溢酬的調整幅度可能產生估價平滑，包含定錨現象或調整不足。本文藉由台北市實價登錄之租賃與買賣資料，以市場萃取法的邏輯產製毛收益資本化率，並採用時間序列分析找出影響風險溢酬的房市景氣或總體景氣領先指標。
    實證結果顯示並非所有與房市景氣相關的指標都與市場的風險溢酬變動存在領先、落後關係，說明估價師並不能任意參考房市景氣指標就調整風險溢酬的數值；而總體景氣指標所帶來的衝擊將藉由M2貨幣供給額變動率間接影響到毛收益資本化率的變動百分點。另外，以交易為基礎的毛收益資本化率呈現出長期以來租金皆跟不上房價的漲幅，租、買市場漲跌幅不一致的現象導致了報酬率的假性成長或下跌，且房價的波動會是影響毛收益資本化率變動趨勢的決定性因素。但在景氣過度繁榮的背景下，本文發現風險溢酬的組成出現結構轉變的問題，交易面指標將因為市場出現非理性的交易行為而失靈，說明並不能以房價指數作為解釋風險溢酬變動的唯一變數。經由模型的比較也呈現出在未發生結構轉變的狀況下，基於歷史資訊去預測市場風險溢酬的變動是可行的；但若是發生結構轉變，就會出現在景氣繁榮時過度高估的現象。
    The risk premium method and the market extraction method are commonly used by appraisers while determining the capitalization rate. However, the composition of risk premiums lacks of clear indicators, and subjective judgments regarding the adjustment magnitude of different types of risk premiums may result in appraisal smoothing, including anchoring effects or inadequate adjustments. This study utilizes leasing and sales data from Taipei City`s real price registration to produce the gross capitalization rate using the logic of the market extraction method and employs time series analysis to identify leading indicators of housing market or macroeconomic conditions that affect risk premiums.
    The empirical results indicate that not all indicators related to real estate cycle exhibit a leading or lagging relationship with the market`s fluctuation in risk premiums. This suggests that appraisers cannot arbitrarily adjust risk premium values by referencing housing market indicators. On the other hand, the impact brought by macroeconomic indicators indirectly affects the fluctuation in gross capitalization rates through changes in the rate of M2 money supply. Additionally, the transaction-based gross capitalization rate shows a long-term trend where rental rates have not kept pace with housing price increases. The phenomenon of inconsistent fluctuations between the rental and purchase markets leads to the spurious growth or decline of returns, and housing price volatility becomes a decisive factor influencing the trend of gross capitalization rate variations. In the context of excessive economic prosperity, this study found issues of structural change in the composition of risk premiums. Transaction-based indicators will malfunction due to irrational market behavior, indicating that housing price indices alone cannot serve as the sole variable to explain fluctuations in risk premiums. Through model comparisons, it is also evident that predicting the changes in market risk premiums based on historical information is feasible in the absence of structural changes. However, if structural changes occur, there will be a phenomenon of excessive overvaluation during economic prosperity.
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    描述: 碩士
    國立政治大學
    地政學系
    110257018
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0110257018
    資料類型: thesis
    顯示於類別:[地政學系] 學位論文

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