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    Title: 實質選擇權對土地開發時機及其價值影響之實證研究
    Authors: 劉佳侑
    Contributors: 陳奉瑤
    劉佳侑
    Keywords: 土地開發決策行為
    實質選擇權理論
    不確定性
    存活分析
    Date: 2006
    Issue Date: 2009-09-18 16:19:59 (UTC+8)
    Abstract: 土地開發決策行為具備不可回復性及可延遲性等特色,於未來情況不確定市場下,土地開發決策包含了選擇權價值。根據Titman(1985)等人將實質選擇權理論應用於土地開發方面之研究指出,土地開發決策中所內含之實質選擇權,將影響土地所有人的開發決策。而根據實質選擇權理論,未來情況的不確定性乃是實質選擇權價值來源,隨著不確定性提高,將延後土地開發時機並增加未開發土地價值。過去二十餘年來,將實質選擇權應用於土地開發之相關理論研究已獲得豐碩成果,然而於臺灣地區,相關實證研究相當稀少,甚至若干分析結果呈現實質選擇權適用程度不顯著的情況。唯過去分析方式多採靜態之迴歸模型進行,且未將不同市場情況區域分開探討,因而導致估計結果可能的不準確,而曲解實質選擇權理論於臺灣地區之應用。針對上述情況,本研究採動態之存活分析方式針對同樣亦屬動態之土地開發決策行為進行分析;並利用迴歸分析方式觀察未來房價不確定性如何影響未開發土地價值。藉由上述分析,探究實質選擇權理論於臺灣地區土地開發市場之適用程度。

    本研究利用臺灣地區大規模開發地區土地開發及未開發土地價格資料進行實證分析。結果顯示,於不確定性程度高且變化程度大之地區,房價不確定性的提高將延後土地開發時機並增加未開發土地價值,符合實質選擇權理論所預測。然於不確定性程度低且變化幅度小之地區,由於選擇權價值的淡化,導致其他因素影響了房價不確定性與土地開發時機及未開發土地價值間之關係,使得分析結果未如實質選擇權理論所預期。此外,本研究於土地開發時機方面採存活分析方式進行,並將不同市場情況之地區分開探討,而得出實質選擇權理論於臺灣地區適用之顯著成果,與過去之相關實證研究指出之不顯著情況不符。表示在進行實證研究時,必須選擇最適當之分析方式,並儘可能就不同市場情況加以探討,方能獲得最符合實際情況之分析結果。
    Recent theoretical research suggests that land development exercises a real option. Option pricing theory has been successfully applied in the valuation of real investments in the last two decades. According to Option pricing theory, the real option in undeveloped land will effect the development decision of land developer. Because the uncertainty of future condition is the source of real option, this research use the data set of land development and undeveloped land price in Taiwan area to test two predictions of real options with respect to land markets: greater price uncertainty should delay the timing of development and raise vacant land prices.

    Different from other empirical studies, this research uses the survival analysis method to test the prediction of real option theory. The result of our research is consistent with the prediction of the real option theory. It shows that greater price uncertainty lowers the likelihood of development and raises vacant land prices in the area of higher price uncertainty. This finding suggests that in the area of high uncertainty, we would expect land developer in the property market to be more prudent and decreasing the current investment activities compared with the area of a relatively stable market environment.
    Reference: 一、中文部分
    王健安(1998),資本投資計畫評核術的一個新觀念—實質選擇權之理論與實證方法的文獻回顧,台灣土地金融季刊,第35卷,第四期,第75-98頁。
    王健安(1999),從等待價值與融資限制的觀點探討不動產投資開發的決策過程,中華民國住宅學會第八屆年會論文集,第221-237頁。
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    二、外文部分
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    Description: 碩士
    國立政治大學
    地政研究所
    94257019
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094257019
    Data Type: thesis
    Appears in Collections:[地政學系] 學位論文

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