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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 1-Sep-2023 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. 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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 dc.contributor.advisor 江穎慧 zh_TW dc.contributor.advisor Chiang, Ying-Hui en_US dc.contributor.author (Authors) 賴譽丰 zh_TW dc.contributor.author (Authors) Lai, Yu-Fong en_US dc.creator (作者) 賴譽丰 zh_TW dc.creator (作者) Lai, Yu-Fong en_US dc.date (日期) 2023 en_US dc.date.accessioned 1-Sep-2023 15:15:42 (UTC+8) - dc.date.available 1-Sep-2023 15:15:42 (UTC+8) - dc.date.issued (上傳時間) 1-Sep-2023 15:15:42 (UTC+8) - dc.identifier (Other Identifiers) G0110257018 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146994 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 地政學系 zh_TW dc.description (描述) 110257018 zh_TW dc.description.abstract (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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機與問題 1第二節 研究內容與方法 4第三節 研究架構與流程 7第二章 相關理論與文獻回顧 9第一節 估價平滑 9第二節 不動產景氣循環 12第三節 資本化率與報酬率 19第三章 研究設計 25第一節 實證模型 25第二節 資料說明與處理 34第四章 實證結果與分析 57第一節 毛收益資本化率 57第二節 時間序列分析 62第五章 結論與建議 95第一節 結論 96第二節 建議 98參考文獻 101 zh_TW dc.format.extent 4110881 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110257018 en_US dc.subject (關鍵詞) 毛收益資本化率 zh_TW dc.subject (關鍵詞) 不動產景氣循環 zh_TW dc.subject (關鍵詞) 領先指標 zh_TW dc.subject (關鍵詞) 估價理性 zh_TW dc.subject (關鍵詞) 風險溢酬 zh_TW dc.subject (關鍵詞) gross capitalization rate en_US dc.subject (關鍵詞) real estate cycle en_US dc.subject (關鍵詞) leading indicators en_US dc.subject (關鍵詞) rational valuation en_US dc.subject (關鍵詞) risk premium en_US dc.title (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 zh_TW dc.title (題名) Evaluation and Forecast Rate of Return on Residential Real Estate - An Analysis of Real Estate Cycle Indicator en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文參考文獻林左裕，2018，『不動產投資管理』六版，台北：智勝文化。林秋瑾、王健安、張金鶚，1997，「房地產景氣與總體經濟景氣於時間上領先，同時，落後關係之探討」，『國家科學委員會研究彙刊』，7(1)：35-56。林祖嘉、游士儀，2018，「總體經濟對房地產景氣循環不對稱影響之研究-中國大陸之實證分析」，『住宅學報』，27(1)：23-46。洪鴻智、張能政，2006，「不動產估價人員之價值探索過程:估價程序與參考點的選擇」，『建築與規劃學報』，7(1)：71-90。馬毓駿、林秋瑾，2009，「房地產景氣特性之再確認-多變量馬可夫轉換之應用」，『住宅學報』，18(1)：23-37。張金鶚、詹任偉，2005，「台灣房地產景氣動向預測準確度之研究」，『台灣銀行季刊』，56(4)：43-60。張金鶚、賴碧瑩，1990，「房地產景氣指標之建立與分析」，『國立政治大學學報』，61：333-411。陳奉瑤，2011，「不動產估價師理性行為之探討」，『住宅學報』，20(2)：47-60。陳奉瑤、楊依蓁，2007，「個別估價與大量估價之準確性分析」，『住宅學報』，16(2)：67-84。彭建文，1997，「不動產市場景氣循環，轉變力量與結構變遷」，『住宅學報』，(6)：71-88。彭建文、張金鶚，2000，「總體經濟對房地產景氣影響之研究」，『國家科學委員會研究彙刊』，10(3)：330-343。游適銘，2014，「部分調整行為之估價平滑-以地價基準地重估價為例」，『台灣土地研究』，17(1)：1-21。楊奕農，2017，『時間序列分析：經濟與財務上之應用』三版，台北：雙葉書廊。二、英文參考文獻Agyemang, A., Chowdhury, I., and Balli, F., 2021, “Quantifying return spillovers in global real estate markets”, Journal of Housing Economics, 52: 101781.Ambrose, B., and Nourse, H., 1993, “Factors influencing capitalization rates”, Journal of Real Estate Research, 8(2): 221-237.An, X., and Deng, Y., 2009, “A structural model for capitalization rate”, Real Estate Research.Brown, G. 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