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題名 應用實質選擇權評估畸零地價值
The Application of Real Option for the Valuation of Deformed Land作者 柴又瑄
Tsai, Yu-Hsuan貢獻者 林左裕
Lin, Tso-Yu
柴又瑄
Tsai, Yu-Hsuan關鍵詞 畸零地
實質選擇權
模擬分析
土地合併
合併時機
拿翹行為
Deformed land
Real Option
Simulation analysis
Land assembly
Assembly timing
Holdout日期 2020 上傳時間 2-Mar-2021 14:44:21 (UTC+8) 摘要 畸零地係土地合併開發時會遇到的問題之一，社會大眾對於畸零地地主的拿翹行為亦不陌生。過往文獻多朝都市計畫和法律制度方面來探討畸零地，較少以投資分析之角度研究畸零地價值，故本研究希望藉由實質選擇權之概念，探討畸零地地主和鄰地開發商對於畸零地價值之認知，透過建立隱含選擇權價值之畸零地評價模型，分析模擬個案不同情境下之合併決策，並藉由探討市場因素變動下對於選擇權價值、畸零地價值和合併時機之影響，來解釋在面臨未來不確定性時，鄰地開發商之合併決策和畸零地地主之遞延決策，進而提供畸零地價值評估上一個新的考量因素，以期增加雙方對於畸零地價值之共識，並從選擇權價值和遞延成本之角度，提供畸零地地主拿翹行為之解套方法。透過模擬分析之結果發現，考慮遞延成本後，並非遞延合併時機越久，畸零地價值越高，而是存在最適遞延期間，且地價波動率、房價成長率與選擇權價值、畸零地價值和合併時機呈現正向關係；與地價稅或利息則為負向關係，符合理論預期。然而，拿翹程度越高，雖選擇權價值、畸零地價值越高，但合併時機卻越晚越不利。此外，目前之房價水準對於合併時機則沒有明顯的影響。
Deformed land and holdout are the problems of land assembly. By reviewing past literature, most of discussions about deformed land were focus on the aspect of urban planning and legislation, however, there is no research on analyzing the value of deformed land in view of investment decision. Therefore, the purpose of this study is to discuss the cognition of deformed land value for landlord and developer by applying the concept of real option, and to analyze the assembly decision making in different situations by establishing deformed land value model and imitated case. In addition, this study discusses the impact of market factors change on real option value, deformed land value and assembly timing, and hope to provide a new consideration for evaluating deformed land, reach a consensus and suggest a solution of holdout problem in view of real option and deferral cost.According to simulation analysis, there are several outcomes as followed. First of all, when considering deferral cost, it isn’t the longer the deferral period, the higher the deformed land value, but exist an appropriate deferral period. Secondly, land price volatility and housing price growth rate have a positive impact on real option value, deformed land value and assembly timing, while land tax and interest have a negative impact, but they are all in line with theoretical expectation; however, holdout level has a negative impact on assembly timing, which is different from theoretical expectation. Besides, housing price level has no significant impact on assembly timing.參考文獻 王原智（1998）。以實質選擇權評估土地開發價值之實證研究─以台北市為例。 靜宜大學管理科學研究所學位論文，臺中市。李俊緯（2012）。近代都市規劃對晚清台南府署周邊市區的衝擊.。成功大學建築學系學位論文，臺南市。林子欽與許明芳（2003）。個別土地開發前的產權調整─市地重劃區個案觀察。台灣土地研究，6(2)，1-16。林左裕（2009）。衍生性金融商品。臺北市：智勝文化。林左裕（2001）。不動產投資管理。臺北市：智勝文化。林彥良（2008）。實質選擇權在土地開發投資計畫之評估應用。國立台灣科技大學營建工程學系學位論文，臺北市。施啟章（2011）。建地開發之最佳時機及模式分析。國立聯合大學土木與防災工程學系學位論文，苗栗縣。柯俊禎、賴國樑與林左裕（2010）。應用實質選擇權於工業區優惠投資專案之研究。東海管理評論，11(1)，1-33。張森林與何振文（2002）。蒙地卡羅模擬法在美式選擇權評價之應用。中國財務學刊，10(3)，33-61。曹潘素雲（2002）。實質選擇權在土地入股投資決策上之應用。國立台灣大學財務金融學研究所學位論文，臺北市。梁仁旭（2003）。不確定市場下以地價稅調節土地利用之研究。都市與計劃，30(2)，145-155。梁仁旭（2007）。不動產開發選擇權時間價值比之實證分析。都市與計劃，34(1)，1-12。陳奉瑤（2003）。可更新土地開發價值之研究.。台灣土地研究， 6(1)，1-16。陳威光（2000）。選擇權—理論、實務與應用。臺北市：智勝文化。彭建文、馮靖博與丁玟甄（2011）。待更新不動產之實質選擇權價值分析。住宅學報，20(2)，1-26。黃郁庭（2011）。台南市清水寺與馬公廟周邊歷史市區之空間變遷研究.。成功大學建築學系學位論文，臺南市。劉佳侑（2006）。實質選擇權對土地開發時機及其價值影響之實證研究.。政治大學地政研究所學位論文，臺北市。蔡進國（1997）。實質選擇權在土地評價上之應用: 傳統評估方法與實質選擇權法之分析比較。國立台灣大學金融學系學位論文，臺北市。盧建霖（2012）。建商土地開發及房屋銷售時機選擇分析。國立臺北大學不動產與城鄉環境學系學位論文，新北市。蕭紋安（2013）。近代都市計畫對臺南府城道署南側市區的影響.。成功大學建築學系學位論文，臺南市。羅浚杰（2008）。以賽局理論探討民間土地整合開發之地主拿翹行為。國立臺北大學不動產與城鄉環境學系學位論文，新北市。蘇昱彰（2004）。國有畸零地讓售方式的探討。土地問題研究季刊，3(4)，74-88。Adams, C. D., & May, H. G. (1991). Active and passive behavior in land ownership. Urban Studies, 28(5), 687-705.Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637-654.Brownstone, D., & De Vany, A. (1991). Zoning, returns to scale, and the value of undeveloped land. The Review of Economics and Statistics, 699-704.Cadigan, J., Schmitt, P., Shupp, R., & Swope, K. (2011). The holdout problem and urban sprawl: Experimental evidence. Journal of Urban Economics, 69(1), 72-81.Capozza, D. R., & Helsley, R. W. (1990). The stochastic city. Journal of urban Economics, 28(2), 187-203.Capozza, D. R., & Li, Y. (2002). Optimal land development decisions. Journal of Urban Economics, 51(1), 123-142.Capozza, D. R., & Sick, G. A. (1994). The risk structure of land markets. Journal of urban Economics, 35(3), 297-319.Capozza, D., & Li, Y. (1994). The intensity and timing of investment: The case of land. The American Economic Review, 889-904.Čirjevskis, A., & Tatevosjans, E. (2015). Empirical testing of real option in the real estate market. Procedia Economics and Finance, 24, 50-59.Cohen, L. (1991). Holdouts and free riders. The Journal of Legal Studies, 20(2), 351-362.Colwell, D. M., & Colwell, P. F. (2004). The timing of development revealed by the market: an options approach. The Appraisal Journal, 72(2), 121.Colwell, P. F., & Munneke, H. J. (1997). The structure of urban land prices. Journal of Urban Economics, 41(3), 321-336.Colwell, P. F., & Munneke, H. J. (1999). Land prices and land assembly in the CBD. The Journal of Real Estate Finance and Economics, 18(2), 163-180.Colwell, P. F., & Sirmans, C. F. (1978). Area, time, centrality and the value of urban land. Land Economics, 54(4), 514-519.Colwell, P. F., & Sirmans, C. F. (1980). Nonlinear urban land prices. Urban Geography, 1(2), 141-152.Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of financial Economics, 7(3), 229-263.Dixit, A. K., Dixit, R. K., & Pindyck, R. S. (1994). Investment under uncertainty. Princeton university press.Eckart, W. (1985). On the land assembly problem. Journal of Urban Economics, 18(3), 364-378.Heller, M., & Hills, R. (2008). Land assembly districts, 121 Harv. L. Rev, 1465(1469), 1488-96.Lin, T. C., & Evans, A. W. (2000). The relationship between the price of land and size of plot when plots are small. Land Economics, 386-394.Lin, T. C., Huang, F. H., & Lin, S. E. (2018). Land assembly for urban development in Taipei City with particular reference to old neighborhoods. Land use policy, 78, 555-561.Menezes, F., & Pitchford, R. (2004). The land assembly problem revisited. Regional Science and Urban Economics, 34(2), 155-162.Miceli, T. J., & Sirmans, C. F. (2007). The holdout problem, urban sprawl, and eminent domain. Journal of Housing Economics, 16(3-4), 309-319.Ott, S. H., & Yi, H. C. (2001). Real options and development: A model of regional supply and demand. Real Estate Finance, 18(1), 47-55.Plassmann, F., & Tideman, T. N. (2007). Efficient urban renewal without takings: Two solutions to the land assembly problem. version of March, 12, 2007.Quigg, L. (1993). Empirical testing of real option‐pricing models. The Journal of Finance, 48(2), 621-640.Shoup, D. C. (1970, December). The optimal timing of urban land development. In Papers of the Regional Science Association (Vol. 25, No. 1, pp. 33-44). Springer-Verlag.Strange, W. C. (1995). Information, holdouts, and land assembly. Journal of urban Economics, 38(3), 317-332.Titman, S. (1985). Urban land prices under uncertainty. American Economic Review, 75(3), 505-514.Trigeorgis, L. (Ed.). (1995). Real options in capital investment: Models, strategies, and applications. Greenwood Publishing Group.Trigeorgis, L. (2005). Making use of real options simple: An overview and applications in flexible/modular decision making. The Engineering Economist, 50(1), 25-53.Williams, J. T. (1991). Real estate development as an option. The Journal of Real Estate Finance and Economics, 4(2), 191-208.Yamazaki, K., Takahashi, S., Kikuchi, N., Matsumoto, K., Hayakawa, T., Miyashita, Y., ... & Otsuka, H. (1996). U.S. Patent No. 5,585,896. Washington, DC: U.S. Patent and Trademark Office. 描述 碩士
國立政治大學
地政學系
107257031資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107257031 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.advisor Lin, Tso-Yu en_US dc.contributor.author (Authors) 柴又瑄 zh_TW dc.contributor.author (Authors) Tsai, Yu-Hsuan en_US dc.creator (作者) 柴又瑄 zh_TW dc.creator (作者) Tsai, Yu-Hsuan en_US dc.date (日期) 2020 en_US dc.date.accessioned 2-Mar-2021 14:44:21 (UTC+8) - dc.date.available 2-Mar-2021 14:44:21 (UTC+8) - dc.date.issued (上傳時間) 2-Mar-2021 14:44:21 (UTC+8) - dc.identifier (Other Identifiers) G0107257031 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/134135 - 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) 107257031 zh_TW dc.description.abstract (摘要) 畸零地係土地合併開發時會遇到的問題之一，社會大眾對於畸零地地主的拿翹行為亦不陌生。過往文獻多朝都市計畫和法律制度方面來探討畸零地，較少以投資分析之角度研究畸零地價值，故本研究希望藉由實質選擇權之概念，探討畸零地地主和鄰地開發商對於畸零地價值之認知，透過建立隱含選擇權價值之畸零地評價模型，分析模擬個案不同情境下之合併決策，並藉由探討市場因素變動下對於選擇權價值、畸零地價值和合併時機之影響，來解釋在面臨未來不確定性時，鄰地開發商之合併決策和畸零地地主之遞延決策，進而提供畸零地價值評估上一個新的考量因素，以期增加雙方對於畸零地價值之共識，並從選擇權價值和遞延成本之角度，提供畸零地地主拿翹行為之解套方法。透過模擬分析之結果發現，考慮遞延成本後，並非遞延合併時機越久，畸零地價值越高，而是存在最適遞延期間，且地價波動率、房價成長率與選擇權價值、畸零地價值和合併時機呈現正向關係；與地價稅或利息則為負向關係，符合理論預期。然而，拿翹程度越高，雖選擇權價值、畸零地價值越高，但合併時機卻越晚越不利。此外，目前之房價水準對於合併時機則沒有明顯的影響。 zh_TW dc.description.abstract (摘要) Deformed land and holdout are the problems of land assembly. By reviewing past literature, most of discussions about deformed land were focus on the aspect of urban planning and legislation, however, there is no research on analyzing the value of deformed land in view of investment decision. Therefore, the purpose of this study is to discuss the cognition of deformed land value for landlord and developer by applying the concept of real option, and to analyze the assembly decision making in different situations by establishing deformed land value model and imitated case. In addition, this study discusses the impact of market factors change on real option value, deformed land value and assembly timing, and hope to provide a new consideration for evaluating deformed land, reach a consensus and suggest a solution of holdout problem in view of real option and deferral cost.According to simulation analysis, there are several outcomes as followed. First of all, when considering deferral cost, it isn’t the longer the deferral period, the higher the deformed land value, but exist an appropriate deferral period. Secondly, land price volatility and housing price growth rate have a positive impact on real option value, deformed land value and assembly timing, while land tax and interest have a negative impact, but they are all in line with theoretical expectation; however, holdout level has a negative impact on assembly timing, which is different from theoretical expectation. Besides, housing price level has no significant impact on assembly timing. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機與目的 1第二節 研究方法與限制 5第三節 研究架構與流程 6第二章 相關理論與文獻回顧 9第一節 土地合併與地主行為 9第二節 實質選擇權理論 15第三節 實質選擇權於土地價值之應用 21第四節 二項式選擇權評價模型簡介 26第三章 研究設計 31第一節 鄰地開發商可接受之畸零地成本上限值模型 31第二節 畸零地價值模型 39第三節 合併決策與合併時機 42第四節 變數選取和參數設定 46第四章 個案簡介與模擬分析 51第一節 模擬個案基本資料 51第二節 遞延選擇權於合併決策之應用 59第三節 市場變動因素對合併時機之影響 67第五章 結論與建議 81第一節 結論 81第二節 後續研究建議 83參考文獻 84附錄 88 zh_TW dc.format.extent 4494581 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107257031 en_US dc.subject (關鍵詞) 畸零地 zh_TW dc.subject (關鍵詞) 實質選擇權 zh_TW dc.subject (關鍵詞) 模擬分析 zh_TW dc.subject (關鍵詞) 土地合併 zh_TW dc.subject (關鍵詞) 合併時機 zh_TW dc.subject (關鍵詞) 拿翹行為 zh_TW dc.subject (關鍵詞) Deformed land en_US dc.subject (關鍵詞) Real Option en_US dc.subject (關鍵詞) Simulation analysis en_US dc.subject (關鍵詞) Land assembly en_US dc.subject (關鍵詞) Assembly timing en_US dc.subject (關鍵詞) Holdout en_US dc.title (題名) 應用實質選擇權評估畸零地價值 zh_TW dc.title (題名) The Application of Real Option for the Valuation of Deformed Land en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 王原智（1998）。以實質選擇權評估土地開發價值之實證研究─以台北市為例。 靜宜大學管理科學研究所學位論文，臺中市。李俊緯（2012）。近代都市規劃對晚清台南府署周邊市區的衝擊.。成功大學建築學系學位論文，臺南市。林子欽與許明芳（2003）。個別土地開發前的產權調整─市地重劃區個案觀察。台灣土地研究，6(2)，1-16。林左裕（2009）。衍生性金融商品。臺北市：智勝文化。林左裕（2001）。不動產投資管理。臺北市：智勝文化。林彥良（2008）。實質選擇權在土地開發投資計畫之評估應用。國立台灣科技大學營建工程學系學位論文，臺北市。施啟章（2011）。建地開發之最佳時機及模式分析。國立聯合大學土木與防災工程學系學位論文，苗栗縣。柯俊禎、賴國樑與林左裕（2010）。應用實質選擇權於工業區優惠投資專案之研究。東海管理評論，11(1)，1-33。張森林與何振文（2002）。蒙地卡羅模擬法在美式選擇權評價之應用。中國財務學刊，10(3)，33-61。曹潘素雲（2002）。實質選擇權在土地入股投資決策上之應用。國立台灣大學財務金融學研究所學位論文，臺北市。梁仁旭（2003）。不確定市場下以地價稅調節土地利用之研究。都市與計劃，30(2)，145-155。梁仁旭（2007）。不動產開發選擇權時間價值比之實證分析。都市與計劃，34(1)，1-12。陳奉瑤（2003）。可更新土地開發價值之研究.。台灣土地研究， 6(1)，1-16。陳威光（2000）。選擇權—理論、實務與應用。臺北市：智勝文化。彭建文、馮靖博與丁玟甄（2011）。待更新不動產之實質選擇權價值分析。住宅學報，20(2)，1-26。黃郁庭（2011）。台南市清水寺與馬公廟周邊歷史市區之空間變遷研究.。成功大學建築學系學位論文，臺南市。劉佳侑（2006）。實質選擇權對土地開發時機及其價值影響之實證研究.。政治大學地政研究所學位論文，臺北市。蔡進國（1997）。實質選擇權在土地評價上之應用: 傳統評估方法與實質選擇權法之分析比較。國立台灣大學金融學系學位論文，臺北市。盧建霖（2012）。建商土地開發及房屋銷售時機選擇分析。國立臺北大學不動產與城鄉環境學系學位論文，新北市。蕭紋安（2013）。近代都市計畫對臺南府城道署南側市區的影響.。成功大學建築學系學位論文，臺南市。羅浚杰（2008）。以賽局理論探討民間土地整合開發之地主拿翹行為。國立臺北大學不動產與城鄉環境學系學位論文，新北市。蘇昱彰（2004）。國有畸零地讓售方式的探討。土地問題研究季刊，3(4)，74-88。Adams, C. 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