不動產市場逐市者行為之研究-以台北市為例

Abstract

自 2007 年次貸風暴後，不動產價格產生劇烈的波動，過往不動產價格之預\n測模型大多係以傳統財務模型為基礎，市場假設基礎係依據效率市場假說，假設\n市場參與者為理性且追求利潤極大化，然而自 1980 年代後，部分學者提出對傳\n統經濟模型的反思，即所謂著重於探討市場參與者之決策行為之行為財務學，其\n中異質代理模型係一種可使行為財務理論具體化的一種方法，異質代理透過假設\n市場參與者有不同投資策略進行分析，其中分為逐市者(Chartist)與基本面分析\n者(Fundamentalist)。\n本文將透過行為財務理論，假設不動產市場存有不同之異質參與者，並將\n需求者分為逐市者與基礎分析者，透過異質代理模型進行假設運算，使用台北市\n各區實際租金資料作為市場基本價值之計算依據，市場價格採用國泰房價指數作\n為計算基準，研究結果發現台灣之不動場市場中，逐市者對價格之影響程度遠大\n於一般投資者，且台灣不動產市場價值偏離基礎價值情況嚴重，有泡沫化之隱憂，\n經觀察實證結果，發現原本因對價格產生負面影響之基本面分析者於台灣市場中，\n對於價格之影響為正，因此本研究認為有以下推論，總體經濟因素推升市場，導\n致基本面分析者對於期望未來租金成長，因此對不動產之價格產生正向影響。

Since Subprime mortgage crisis in 2007, the price of real estate has chan\nged extremely. The forecast models of real estate price in the past were mostl\ny based on traditional financial models, and market assumption is according to\nEfficient-market hypothesis, which assumes that participants are rational and p\nursuit the maximum profit in the market. However, after 1980s some scholars\nhad reflections on traditional financial models. As known as Behavioral Financ\ne that focuses on the decision-making of market participants and heterogeneous\nagent-based model is one of methods to make Behavioral Finance concrete. H\neterogeneous agent analyzes market participants on the hypothesis that they hav\ne different invest strategies and they can be classified into Chartist and Funda\nmentalist.\nThis study based on Behavioral Finance and heterogeneous agent-based m\nodel, assuming that there are different heterogeneous participants in real estate\nmarket, classifying the demand into Chartist and Fundamentalist. We used actu\nal rent data of each district in Taipei to calculate the underlying value and Ca\nthay housing index to calculate the market price. We found that the effect on\nreal estate price of Chartist is far more than that of Fundamentalist in real est\nate market in Taiwan. Furthermore, the situation of market price deviating fro\nm underlying value is very serious and there is a potential problem of burst.\nThe empirical results show that Fundamentalist which originally has negative ef\nfect on market price turns out to have positive effect on market price. Accordi\nngly, this study proposed the inference that macroeconomic factors push the m\narket price, making Fundamentalist expects the rent would grow in the future s\no as to have positive effect on market price.