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題名 不動產證卷市場效率之研究 : 由房地產重大訊息與股價報酬率觀點探討
作者 王靖
貢獻者 林元興
王靖
日期 1999
上傳時間 2016-05-11
參考文獻 一、中文部份
1.王健安， 1995 ，"房地產景氣與總體經濟景氣關條之研究" 國立政治大
學地政研究所碩士論文。
2. 江明宜， 1987 ，"營建類股價及其影響因素波動關係之研究━誤差修正模型
之應用"，國立政治大學地政研究所碩士論文。
3. 林炯垚， “財務管理━━━理論與實務，華泰書局，民國七十九年二月初版。
4. 廖咸興、李阿乙、梅建平， 1995 , "不動產投資概論"華泰書局總經銷。
5. 劉維琪等， 1995 ，“台灣股市投資行為與績效"中華民國管理科學學
會出版。
6. 羅國南， 1991 ，"台灣房地產景氣與股價關條性之研究"國立中興大學企
業管理研究所碩士論文。
7. 林秋瑾、彭建文， 1998 ，“台灣住宅與股票市場間區隔驗詮之研究"亞太
地區國家環境規劃、土地開發與管理國際學術研討會論文集。
8. 吳定，“公共行政論叢"天一圖書公司，民國七十七年一月，三版。
9. 張金穗，“房地產投資與決策分析━理論與實務" 華泰書局，民國八十
五年。
10. 翁霓，劉維琪，陳隆麒，“投資績效分析:低股價效果及小股本效果之實
證研究"管理科學學報，第十二卷，第三期，民國八十四年十一月，
pp.335-359 。
11.林菁菁， 1997 ， "泡沫現象、貸款成數及抵押貸款需求"國立政治大學經
濟研究所伯博士論文。
1 1.鐘玉美， 1996 ，“房地價格及房地市場效率之研究━━━以台北市住宅用房地為例" 國立政治大學地政研究所碩士論文。
12. 林英彥， “土地經濟學通論"文笙書局印行，民國八十年六月，四版。
13. 陸民仁，“個體經濟理論"三民書局股份有限公司，民國七十六年九月，
三版。
14. 許文昌， “土地經濟學新論"文笙書局，民國七十八年元月，二版。
15. 蕭錚，“平均地權之理論體系"中國地政研究所印行，民國七十八年六月，
三.版。
16. 來璋， “平均地權理論與實踐" 中國地政研究所印行，民國七十四年元
月，初版。
17. 張齡松、羅俊著， “股票操作學" ，證券出版社股份有限公司，民國76 年
10 月，六版。
18. 中國信託投資公司、台灣經濟研究院合辨，“台灣區各產業79 年度景氣
趨勢調查報告"民國78 年12 月15 日編印。

二、英文部份
1.Ambrose ` B. ` E. Ancel and M. Griffiths, " The Fractal Structure of Real Estate
Investment trust returns : A Search for Evidence of Market Segmentation and
Nonlinear Dependency", Journal of AREUEA 20(1) ,1992 ` pp.25-54.
2.Arrow ,K.1.` "Risk Perception In Psychology and Economics " , Economic
Inquiry 20, January 1982,pp.1-9.
3.Blume ` Marshall e. ` A. Craig Mackinlay and BruceTerker` "Order Imbalances
and Stock Price movements on October 19 and 20,1987 " , Journal of Finance`
September 1989 ` pp.827-848。
4. Brennan `Michael1. and Thomas E. Copeland, "Stock Splits` Stock Prices`
and Transaction Costs" , Journal of Financial Economics` Vol. 22 ` No 1 ` 1988 `
pp.83-101．
5. Colwell, P. F. & Park H. Y., "Seasonality and Size Effect: The Case of
Real-Estate-Related Investment", Journal of Real Estate Finance and
Economics, 3, 1990, pp.251-259.
6. Copeland, Thomas E. and J. Fred Weston` "Financial Theory and Corporate
Policy " , 2nd ` 1983 ` by Addison Wesley Publishing Company.
7. Cuthbertson , Keith, "Quantitative Financial Economics-Stocks , Bonds and
Foreign Exchange", 1996,John Wiley & Sons Ltd.
8.Damodar N. Gujarati , "Basic Econometrics" ,3rd, 1995 , Mcgraw-Hill, Inc .
9.Darrat , A.F. and Glascock , 1.L. "Real Estate Returns , Money and Fiscal
Deficits: Is the Real Estate Market Efficient ?" Journal of Real Estate Finance
and Economics 2, September 1989 , pp.197-208.
10.Darrat , A.F. and Glascock, J.L. , "On the Real Estate Market Efficiency",
Journal of Real Estate Finance and Economics 7, 1993,pp.55-72 .
II.David Blake, 1990, " Financial Market Analysis" ,Mcgraw-Hill. Book Co.
12.Debondt, W. F. M , and R.H. Thaler. "Does the Stock Market Overreact?" ,
Journal of Finance , 40 , July1985 , pp.793-805.
13 .Debondt, W. F. M., and R. H. Thaler., "Further Evidence on Investor
Overreaction and Stock Market Seasonality ", Journal of Finance, July 1987 ,
pp.557-580.
14. Dezhbakhsh , Hashem and Asli , Demirguc-Kunt, " On the Presence of
Speculative Bubbles in Stock Prices", Journal of Financial and Quantitative
Analysis, Vol. 25, No.1, March 1990 , pp. 101-125.
15.Diba, Behzad T. and Herschel I. Grossman ," On the Inception of
Rational Bubbles ", The Quarterly Journal of Economics ,August 1987,
pp.697-701.
16. Diba, Behzad T. & Hershel 1. Grossman, "Explosive Rational Bubbles In
Stock Prices ?",American Economic Review, Vol. 78, No. 3, June
1988, pp. 520-530.
17.Fabozzi `Frank J. and Jack Clear Francis` "Stability Tests For
Alphas and Betas Over Bull and Bear Market Condi tions ", Journal of
Finance` September1977 ` pp.1093-1020 0
I8.Fama. Eugene F., "Efficient Capital Markets : A Review of Theory and
Empirical Work" Journal of Finance 25, May 1970, pp.383-417.
19.Fama Eugene F., " Efficient Capital Markets: II " , Journal of Finance. 50
December 1991 , pp.1575-1617 .
20.French ` Kenneth R. and Richard Roll` "Stock Return Variances: The Arrival
of Information and the Reaction of Traders " ,Journal of Financial Econonlics
17 ` 1986 ` pp.7-26.
21. Gatzlaff ,Dean H. and Dogan Tirtiroglu , "Real Estate Market
Efficiency : Issues and Evidence ", Journal of Real Estate Li terature,
3, 1995, pp. 157-189.
22. Jensen` M.C. ` "Some Anomalous Evidence Regarding Market Efficiency "
Journal of Financial Economics 6 ` 1978 ` pp.95-10I.
23.Jensen ` M.C. and R. S. Ruback, "The Market for Corporate Control: The
Scientific Evidence " , Journal of Financial Economics 11, 1983,pp.5-50.
24. Jensen` M.C. and lB. Warner` "The Distribution of Power among Corporate
Managers` Shareholders` Directors ", Journal of Financial Economics 20 ` 1988 `
pp.3-24.
25.Kleidon ` A.W.` "Variance Bounds Tests and Stock Price Valuation Models
" , Journal of Political Economy` Vo1. 94 ` 1986 ` pp.953-1001.
26. LeRoy` S.F.` "Efficient Capital Markets and Martingales`" Journal of
Economic Literature ` Vol. 27, dec. 1989 `pp.1583-1621.
27.LeRoy , S.P. and Parke` W.R.` "Stock Market Volatility: Tests Based on
the Geometric Random Walk" , American Economic Review `Vol. 82 ` NO.4 `
1992 ` pp.981-992.
28. Levy, Haim & Marshall Samat, 1994," Capital Investment & Financial
Decisions ", Fifth Edition ,Prentice Hall International (UK) Ltd.
29.Liu` C.H. ,D. Hartzell, D.W. Greig and T.Y. Grissom` 1990, "The Integration
of the Real Estate Market and the Stock Market: Some Preliminary Evidence "
Journal of Real Estate Finance and Economics 3(3) : pp.261-282.
30.Maddala `G.S., "Introduction to Econometrics " , 2nd ed. ` 1992,by Prentice-
Hall` Inc.
31.Mcintosh` Willard and Glenn Y. Henderson` "Efficiency of The Office Properties
Market" , Journal of Real Estate Finance and Economics,2,1989,pp.61-70 .
32.McQueen` Grant and Thorley` Steven` "Bubbles` Stuck Returns` and Duration
Dependence`" Journal of Financial and Quantitative Analysis` Yol. 29, NO.3 `
Septen1ber 1994, pp. 379-401.
33.Miles ` M. ` R. Cole and Guikey D., "A Different Look At Commercial Real
Estate Turns" ,Journal of AREUEA 18(4) , 1990 , pp.403-430.
34.Nancy L Jacob and R . Richardson Pettit, " Investments " ,1st, Shun Ta
Publishing Co. , Taiwan.
35.Neil Cam,Joseph Rabianski,Ronald Racster & Maury Seldin,"Real Estate Market
Analysis Techniques and Applications" ,1988,by Prentice-Hall,Inc.
36.0hlson ` 1. A. and Penman`S. H.` "Yariance Increases Subsequent to Stock
Splits: An Empirical Aberration " , Working Paper` Graduate School of
Business` Columbia University, September` 1983 0
37. Sanford 1. Grossman , " Dynami c Asset Allocation and the Infonnational
Efficiency of Markets" , Journal of Finance ,3 , July 1995 , pp.773-787 .
38. Scott, Louis 0., "Do Prices Ref lect Market Fundamentals in Real Estate
Markets?" , Journal of Real Estate Finance and Economics, 3, March 1990,
pp5-23.
39.Shiller` Robert J. ,1981, "Do Stock Prices Move too Much to be Justified by
Subsequent Change in Dividends? ", American Economic Review` Vol. 71 `
pp.421-436.
40.Sununers, Lawrence H., Does the Stock Market Rationally Reflect Fundamental
Values? ", Journal of Finance ,Vol.XLI,No.3 , July 1986, pp. 591-602.
4 1. Sunder S.," Relationship between Accounting Changes and Stock Prices:
Problems of Measuren1ent and Some Empirical Evidence" , Empirical
Research in accounting: selected studies, 1973, pp. 1-45.
42. West, Kenneth D., "Bubbles, Fads and Stock Price Volatility Tests : A Partial
Evaluation", Journal of Finance ,July 1988,pp.639-660.
描述 博士
國立政治大學
地政學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCV9522012
資料類型 thesis
dc.contributor.advisor 林元興zh_TW
dc.contributor.author (Authors) 王靖zh_TW
dc.creator (作者) 王靖zh_TW
dc.date (日期) 1999en_US
dc.date.accessioned 2016-05-11-
dc.date.available 2016-05-11-
dc.date.issued (上傳時間) 2016-05-11-
dc.identifier (Other Identifiers) G91NCCV9522012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/96423-
dc.description (描述) 博士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.tableofcontents 第一章緒論..........1
第一節研究動機與問題
第二節研究目的
第三節研究範圍
第四節論文架構與研究流程
第二章相關理論與文獻..........11
第一節平均地權與土地相關政策
第二節土地使用與管制措施
第三節效率市場與市場效率假說
第四節不動產證券股價報酬率與市場效率關係
第五節市場效率相關理論
第六節文獻回顧
第三章理論架構與研究方法..........42
第一節理論架構
第二節研究假說
第三節房地產業重大訊息之操作性定義
第四節不動產證券市場利多與利空影響評估原則
第五節研究方法及影響區隔設計
第四章房地產業政策訊息與不動產證券市場關係探討..........57
第一節房地產業氣循環與政策關係
第二節房地產業政策對不動產供需影響分析
第三節房地產業政策訊息分析
第四節房地產業政策訊息與不動產證券市場關係分析
第五章不動產證券市場效率實證分析..........76
第一節不動產證券相關與共整合分析
第二節不動產證券市場利空與利多訊息影響實證分析
第三節房地產業政策分類訊息對不動產證券市場效率之影響
第四節房地產業政策事件分析
第五節房地產需求面政策影響分析
第六節房地產供給面政策影響分析
第六章結論與建議..........110
第一節結論
第二節建議		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCV9522012en_US
dc.title (題名) 不動產證卷市場效率之研究 : 由房地產重大訊息與股價報酬率觀點探討zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份
1.王健安， 1995 ，"房地產景氣與總體經濟景氣關條之研究" 國立政治大
學地政研究所碩士論文。
2. 江明宜， 1987 ，"營建類股價及其影響因素波動關係之研究━誤差修正模型
之應用"，國立政治大學地政研究所碩士論文。
3. 林炯垚， “財務管理━━━理論與實務，華泰書局，民國七十九年二月初版。
4. 廖咸興、李阿乙、梅建平， 1995 , "不動產投資概論"華泰書局總經銷。
5. 劉維琪等， 1995 ，“台灣股市投資行為與績效"中華民國管理科學學
會出版。
6. 羅國南， 1991 ，"台灣房地產景氣與股價關條性之研究"國立中興大學企
業管理研究所碩士論文。
7. 林秋瑾、彭建文， 1998 ，“台灣住宅與股票市場間區隔驗詮之研究"亞太
地區國家環境規劃、土地開發與管理國際學術研討會論文集。
8. 吳定，“公共行政論叢"天一圖書公司，民國七十七年一月，三版。
9. 張金穗，“房地產投資與決策分析━理論與實務" 華泰書局，民國八十
五年。
10. 翁霓，劉維琪，陳隆麒，“投資績效分析:低股價效果及小股本效果之實
證研究"管理科學學報，第十二卷，第三期，民國八十四年十一月，
pp.335-359 。
11.林菁菁， 1997 ， "泡沫現象、貸款成數及抵押貸款需求"國立政治大學經
濟研究所伯博士論文。
1 1.鐘玉美， 1996 ，“房地價格及房地市場效率之研究━━━以台北市住宅用房地為例" 國立政治大學地政研究所碩士論文。
12. 林英彥， “土地經濟學通論"文笙書局印行，民國八十年六月，四版。
13. 陸民仁，“個體經濟理論"三民書局股份有限公司，民國七十六年九月，
三版。
14. 許文昌， “土地經濟學新論"文笙書局，民國七十八年元月，二版。
15. 蕭錚，“平均地權之理論體系"中國地政研究所印行，民國七十八年六月，
三.版。
16. 來璋， “平均地權理論與實踐" 中國地政研究所印行，民國七十四年元
月，初版。
17. 張齡松、羅俊著， “股票操作學" ，證券出版社股份有限公司，民國76 年
10 月，六版。
18. 中國信託投資公司、台灣經濟研究院合辨，“台灣區各產業79 年度景氣
趨勢調查報告"民國78 年12 月15 日編印。

二、英文部份
1.Ambrose ` B. ` E. Ancel and M. Griffiths, " The Fractal Structure of Real Estate
Investment trust returns : A Search for Evidence of Market Segmentation and
Nonlinear Dependency", Journal of AREUEA 20(1) ,1992 ` pp.25-54.
2.Arrow ,K.1.` "Risk Perception In Psychology and Economics " , Economic
Inquiry 20, January 1982,pp.1-9.
3.Blume ` Marshall e. ` A. Craig Mackinlay and BruceTerker` "Order Imbalances
and Stock Price movements on October 19 and 20,1987 " , Journal of Finance`
September 1989 ` pp.827-848。
4. Brennan `Michael1. and Thomas E. Copeland, "Stock Splits` Stock Prices`
and Transaction Costs" , Journal of Financial Economics` Vol. 22 ` No 1 ` 1988 `
pp.83-101．
5. Colwell, P. F. & Park H. Y., "Seasonality and Size Effect: The Case of
Real-Estate-Related Investment", Journal of Real Estate Finance and
Economics, 3, 1990, pp.251-259.
6. Copeland, Thomas E. and J. Fred Weston` "Financial Theory and Corporate
Policy " , 2nd ` 1983 ` by Addison Wesley Publishing Company.
7. Cuthbertson , Keith, "Quantitative Financial Economics-Stocks , Bonds and
Foreign Exchange", 1996,John Wiley & Sons Ltd.
8.Damodar N. Gujarati , "Basic Econometrics" ,3rd, 1995 , Mcgraw-Hill, Inc .
9.Darrat , A.F. and Glascock , 1.L. "Real Estate Returns , Money and Fiscal
Deficits: Is the Real Estate Market Efficient ?" Journal of Real Estate Finance
and Economics 2, September 1989 , pp.197-208.
10.Darrat , A.F. and Glascock, J.L. , "On the Real Estate Market Efficiency",
Journal of Real Estate Finance and Economics 7, 1993,pp.55-72 .
II.David Blake, 1990, " Financial Market Analysis" ,Mcgraw-Hill. Book Co.
12.Debondt, W. F. M , and R.H. Thaler. "Does the Stock Market Overreact?" ,
Journal of Finance , 40 , July1985 , pp.793-805.
13 .Debondt, W. F. M., and R. H. Thaler., "Further Evidence on Investor
Overreaction and Stock Market Seasonality ", Journal of Finance, July 1987 ,
pp.557-580.
14. Dezhbakhsh , Hashem and Asli , Demirguc-Kunt, " On the Presence of
Speculative Bubbles in Stock Prices", Journal of Financial and Quantitative
Analysis, Vol. 25, No.1, March 1990 , pp. 101-125.
15.Diba, Behzad T. and Herschel I. Grossman ," On the Inception of
Rational Bubbles ", The Quarterly Journal of Economics ,August 1987,
pp.697-701.
16. Diba, Behzad T. & Hershel 1. Grossman, "Explosive Rational Bubbles In
Stock Prices ?",American Economic Review, Vol. 78, No. 3, June
1988, pp. 520-530.
17.Fabozzi `Frank J. and Jack Clear Francis` "Stability Tests For
Alphas and Betas Over Bull and Bear Market Condi tions ", Journal of
Finance` September1977 ` pp.1093-1020 0
I8.Fama. Eugene F., "Efficient Capital Markets : A Review of Theory and
Empirical Work" Journal of Finance 25, May 1970, pp.383-417.
19.Fama Eugene F., " Efficient Capital Markets: II " , Journal of Finance. 50
December 1991 , pp.1575-1617 .
20.French ` Kenneth R. and Richard Roll` "Stock Return Variances: The Arrival
of Information and the Reaction of Traders " ,Journal of Financial Econonlics
17 ` 1986 ` pp.7-26.
21. Gatzlaff ,Dean H. and Dogan Tirtiroglu , "Real Estate Market
Efficiency : Issues and Evidence ", Journal of Real Estate Li terature,
3, 1995, pp. 157-189.
22. Jensen` M.C. ` "Some Anomalous Evidence Regarding Market Efficiency "
Journal of Financial Economics 6 ` 1978 ` pp.95-10I.
23.Jensen ` M.C. and R. S. Ruback, "The Market for Corporate Control: The
Scientific Evidence " , Journal of Financial Economics 11, 1983,pp.5-50.
24. Jensen` M.C. and lB. Warner` "The Distribution of Power among Corporate
Managers` Shareholders` Directors ", Journal of Financial Economics 20 ` 1988 `
pp.3-24.
25.Kleidon ` A.W.` "Variance Bounds Tests and Stock Price Valuation Models
" , Journal of Political Economy` Vo1. 94 ` 1986 ` pp.953-1001.
26. LeRoy` S.F.` "Efficient Capital Markets and Martingales`" Journal of
Economic Literature ` Vol. 27, dec. 1989 `pp.1583-1621.
27.LeRoy , S.P. and Parke` W.R.` "Stock Market Volatility: Tests Based on
the Geometric Random Walk" , American Economic Review `Vol. 82 ` NO.4 `
1992 ` pp.981-992.
28. Levy, Haim & Marshall Samat, 1994," Capital Investment & Financial
Decisions ", Fifth Edition ,Prentice Hall International (UK) Ltd.
29.Liu` C.H. ,D. Hartzell, D.W. Greig and T.Y. Grissom` 1990, "The Integration
of the Real Estate Market and the Stock Market: Some Preliminary Evidence "
Journal of Real Estate Finance and Economics 3(3) : pp.261-282.
30.Maddala `G.S., "Introduction to Econometrics " , 2nd ed. ` 1992,by Prentice-
Hall` Inc.
31.Mcintosh` Willard and Glenn Y. Henderson` "Efficiency of The Office Properties
Market" , Journal of Real Estate Finance and Economics,2,1989,pp.61-70 .
32.McQueen` Grant and Thorley` Steven` "Bubbles` Stuck Returns` and Duration
Dependence`" Journal of Financial and Quantitative Analysis` Yol. 29, NO.3 `
Septen1ber 1994, pp. 379-401.
33.Miles ` M. ` R. Cole and Guikey D., "A Different Look At Commercial Real
Estate Turns" ,Journal of AREUEA 18(4) , 1990 , pp.403-430.
34.Nancy L Jacob and R . Richardson Pettit, " Investments " ,1st, Shun Ta
Publishing Co. , Taiwan.
35.Neil Cam,Joseph Rabianski,Ronald Racster & Maury Seldin,"Real Estate Market
Analysis Techniques and Applications" ,1988,by Prentice-Hall,Inc.
36.0hlson ` 1. A. and Penman`S. H.` "Yariance Increases Subsequent to Stock
Splits: An Empirical Aberration " , Working Paper` Graduate School of
Business` Columbia University, September` 1983 0
37. Sanford 1. Grossman , " Dynami c Asset Allocation and the Infonnational
Efficiency of Markets" , Journal of Finance ,3 , July 1995 , pp.773-787 .
38. Scott, Louis 0., "Do Prices Ref lect Market Fundamentals in Real Estate
Markets?" , Journal of Real Estate Finance and Economics, 3, March 1990,
pp5-23.
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