政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/52367

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/52367

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政大典藏 > College of Social Science > Department of Land Economics > NSC Projects > Item 140.119/52367

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/52367

Title:	不動產證券化與實體不動產之交易價格之探討---台美之比較分析
Other Titles:	The Examination of the Prices of REIT and Real Estate--- The Comparison of Taiwan and US
Authors:	林左裕
Contributors:	行政院國家科學委員會國立政治大學地政學系
Keywords:	經濟學;不動產
Date:	2010
Issue Date:	2012-01-02 10:01:52 (UTC+8)
Abstract:	中文摘要不動產證券化與實體不動產交易價格之探討---台美之比較分析不動產價格由供給與需求決定，然不動產之獨特性在於兼具「消費」及「投資」需求，其中投資需求受總體經濟之影響甚鉅，在總體經濟波動性擴大之下，不動產價格也隨之震盪，亦將反饋至金融秩序，即當價格遽跌時，將引發不動產之違約行為，影響放款金融機構之獲利性及穩定性，2007 年起於美國爆發之次級房貸違約潮所導致之全球金融海嘯，可為殷鑑，因此影響不動產價格之重要因素，值得深入探討。而隨著金融市場的發達及降低風險與提高市場性的需求，金融商品的設計推陳出新，為了提高不動產的流動性，不動產與金融資產證券化等架構陸續因應而生，美國自1960 年代即發展不動產證券化，台灣則至2005 年才有第一檔不動產投資信託之發行(Taiwan Real Estate Investment Trust, T-REIT)，然自2005 年至今(2009)，T-REIT 的價格表現始終未如國際類似市場有亮麗的表現，即不論是在實體不動產景氣與否，T-REIT 的表現均不如當時立法通過後及發行當初時熱潮之預期，亦即其價格普遍低於應有之正常價格或預期，部分原因可能歸因於管理機構屬於與不動產標的母集團相關之子公司或人選，亦即「代理問題」，導致T-REIT 之表現不如國際。若果真有前述之「代理問題」，則投資者之權益受損問題，即有必要以實證分析佐證，再進行制度上之改革。有鑑於此，本研究擬以台灣及美國為比較對象，進行實體不動產與不動產證券化(權益面，即REIT) 之價格實證探討，再進而討論不動產證券化架構與制度面之可改善之處。在美國，不動產證券化在金融體系中蓬勃發展，學術上對於不動產證券化，尤其在不動產投資信託（REITs）方面已有廣泛的討論，而在亞洲，日本不動產投資信託也有穩定的發展，因此國內在探討REITs 相關議題時，多以美國與日本作為討論的對象。台灣第一件不動產投資信託商品「富邦一號」於2005 年上市，發行至今已屆四年，然而過去國內關於REITs 的研究多集中在法令與制度面的探討，針對市場實際表現的討論仍較缺乏。以投資的角度而言，REITs 的價格波動與報酬率是影響投資意願的主要因素，而價格與報酬的變化又與其他經濟市場之互動有關，唯目前針對REITs 實際市場狀況之研究仍為少數，僅有少數研究探討台灣REITs（以下簡稱T-REITs）的績效表現與風險衡量及參與投資組合的可行性，因此對於國內不動產證券化的施行現況之研究仍有其必要性。其次，台灣不動產證券化發展至今少有探討其與實體不動產之間的關係，且由於過去T-REITs 的實證研究受限於發行時間較短，無法看出其與總體市場及商用不動產市場的長期關係，因此台灣不動產證券化在此方面仍有討論的空間。此外，過去國內對於不動產證券化與實體不動產市場關聯性之討論多以營建類股價指數作為不動產市場的替代變數與T-REITs 進行探討，而較少用實體不動產之價格或租金進行分析，因此在這部分有進一步的研究空間。本研究之實證模型將運用共整合可探討不動產證券化與實體不動產價格之長期均衡關係，並以誤差修正模型說明實體不動產價格對不動產證券化價格波動的影響，而向量誤差修正模型與衝擊反應及變異分解則探討不同變數間的短期影響關係與程度。本計畫希冀藉由研究結果檢視影響台灣實體不動產及不動產證券化商品之因素，並了解不動產價格之波動對金融秩序之影響。並藉由不動產證券化市場價格指數之建立，以期提升投資人之投資意願，並活絡不動產證券化市場，建全不動產證券化市場商品設計與運作機制。藉由上述研究成果改善台灣不動產證券化市場資訊透明度、商品設計之周詳，進而提升不動產證券商品交易的流動性，將對一般投資人、法人與銀行業等帶來正面效益，以及對金融市場之穩定性有正面之貢獻，並同步活絡台灣金融市場之發展 The examination of the prices of REIT and real estate --- The comparison of Taiwan and US Abstract The price of real estate is determined by the supply and demand. However, the demand for real estate can be divided into consumption (i.e., living) and investment demand. The investment demand is affected by the macro economy factors, such as macro economy growth, interest rates and inflation… and so on. As the real estate prices fluctuate, it affects the stability of financial markets. The US subprime mortgage crisis in 2007 is a worth-noting example. Therefore, this study intends to explore the factors affecting the real estate prices, and the extent to which the real estate influencing the stability of financial markets. Taiwan promulgated the “Real Estate Securitization Act” in 2003 and issued the first T-REIT in 2005. T-REITs tend to under-perform other REIT markets in the world, no matter during the boom or slump period. Some attributed this price behavior to the “agency problem” of the “management institutions” of T-REITs, i.e., the “management institutions” of T-REITs are designated by the “mother group” of investment properties, and consequently leading to the “agency problem”. This study thus attempts to explore the factors affecting the prices of T-REITs, and discover the potential flaws behind the market inefficiency. The purpose of this study aims to compare the factors affecting the prices of real estate and REITs in Taiwan and US for comparison. The ultimate goal is enhance the market efficiency of real estate securitization mechanism in Taiwan, and reduce the potential likelihood of financial crisis caused by real estate sector
Relation:	應用研究學術補助研究期間:9908~ 10007 研究經費:424仟元
Source URI:	http://grbsearch.stpi.narl.org.tw/GRB/result.jsp?id=1710025&plan_no=NSC99-2410-H004-181&plan_year=99&projkey=PF9907-7286&target=plan&highStr=*&check=0&pnchDesc=%E4%B8%8D%E5%8B%95%E7%94%A2%E8%AD%89%E5%88%B8%E5%8C%96%E8%88%87%E5%AF%A6%E9%AB%94%E4%B8%8D%E5%8B%95%E7%94%A2%E4%B9%8B%E4%BA%A4%E6%98%93%E5%83%B9%E6%A0%BC%E4%B9%8B%E6%8E%A2%E8%A8%8E---%E5%8F%B0%E7%BE%8E%E4%B9%8B%E6%AF%94%E8%BC%83%E5%88%86%E6%9E%90
Data Type:	report
Appears in Collections:	[Department of Land Economics] NSC Projects

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