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題名 實質選擇權對土地開發時機及其價值影響之實證研究
作者 劉佳侑
貢獻者 陳奉瑤
劉佳侑
關鍵詞 土地開發決策行為
實質選擇權理論
不確定性
存活分析
日期 2006
上傳時間 18-Sep-2009 16:19:59 (UTC+8)
摘要 土地開發決策行為具備不可回復性及可延遲性等特色,於未來情況不確定市場下,土地開發決策包含了選擇權價值。根據Titman(1985)等人將實質選擇權理論應用於土地開發方面之研究指出,土地開發決策中所內含之實質選擇權,將影響土地所有人的開發決策。而根據實質選擇權理論,未來情況的不確定性乃是實質選擇權價值來源,隨著不確定性提高,將延後土地開發時機並增加未開發土地價值。過去二十餘年來,將實質選擇權應用於土地開發之相關理論研究已獲得豐碩成果,然而於臺灣地區,相關實證研究相當稀少,甚至若干分析結果呈現實質選擇權適用程度不顯著的情況。唯過去分析方式多採靜態之迴歸模型進行,且未將不同市場情況區域分開探討,因而導致估計結果可能的不準確,而曲解實質選擇權理論於臺灣地區之應用。針對上述情況,本研究採動態之存活分析方式針對同樣亦屬動態之土地開發決策行為進行分析;並利用迴歸分析方式觀察未來房價不確定性如何影響未開發土地價值。藉由上述分析,探究實質選擇權理論於臺灣地區土地開發市場之適用程度。

本研究利用臺灣地區大規模開發地區土地開發及未開發土地價格資料進行實證分析。結果顯示,於不確定性程度高且變化程度大之地區,房價不確定性的提高將延後土地開發時機並增加未開發土地價值,符合實質選擇權理論所預測。然於不確定性程度低且變化幅度小之地區,由於選擇權價值的淡化,導致其他因素影響了房價不確定性與土地開發時機及未開發土地價值間之關係,使得分析結果未如實質選擇權理論所預期。此外,本研究於土地開發時機方面採存活分析方式進行,並將不同市場情況之地區分開探討,而得出實質選擇權理論於臺灣地區適用之顯著成果,與過去之相關實證研究指出之不顯著情況不符。表示在進行實證研究時,必須選擇最適當之分析方式,並儘可能就不同市場情況加以探討,方能獲得最符合實際情況之分析結果。
Recent theoretical research suggests that land development exercises a real option. Option pricing theory has been successfully applied in the valuation of real investments in the last two decades. According to Option pricing theory, the real option in undeveloped land will effect the development decision of land developer. Because the uncertainty of future condition is the source of real option, this research use the data set of land development and undeveloped land price in Taiwan area to test two predictions of real options with respect to land markets: greater price uncertainty should delay the timing of development and raise vacant land prices.

Different from other empirical studies, this research uses the survival analysis method to test the prediction of real option theory. The result of our research is consistent with the prediction of the real option theory. It shows that greater price uncertainty lowers the likelihood of development and raises vacant land prices in the area of higher price uncertainty. This finding suggests that in the area of high uncertainty, we would expect land developer in the property market to be more prudent and decreasing the current investment activities compared with the area of a relatively stable market environment.
參考文獻 一、中文部分
王健安(1998),資本投資計畫評核術的一個新觀念—實質選擇權之理論與實證方法的文獻回顧,台灣土地金融季刊,第35卷,第四期,第75-98頁。
王健安(1999),從等待價值與融資限制的觀點探討不動產投資開發的決策過程,中華民國住宅學會第八屆年會論文集,第221-237頁。
吳秉蓁(2000),都市更新容積獎勵對開發時機的影響,政治大學地政系碩士論文。
梁仁旭(2003),不確定市場下以地價稅調節土地利用之研究,都市與計畫, 第三十卷,第二期,第145-155頁。
梁仁旭(2005),土地選擇權時間價值比之研究,都市與計畫,第三十二卷,第四期,第371-386頁。
梁仁旭、陳奉瑤(2005),土地選擇權價值之實證分析,2005年海峽兩岸土地學術研討會。
陳冠華(1999),不確定市場下建商投資行為之研究,政治大學地政系碩士論文。
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,臺灣大學財務金融研究所碩士論文。
二、外文部分
Abel, A. B.(1983), “Optimal Investment under Uncertainty”, The American Economic Review, Vol.73, No.1, pp.228-233.
Bulan, L., Mayer, C. and Somerville, C. T.(2004), “Irreversible Investment, Real Options, and Competition: Evidence From Real Estate Development”, Working Paper.
Caballero, R. J.(1991), “On the Sign of the Investment-Uncertainty Relationship”, American Economic Review, 81(1), pp.279-288.
Capozza, D. R. and Helsley, R. W.(1990), “The Stochastic City”, Journal of Urban Economics, Vol.28, pp.187-203.
Capozza, D. R. and Li, Y.(1994), “The Intensity and Timing of investment: The Case of Land”, The American Economic Review, Vol.84, No.4, pp.889-904.
Capozza, D. R. and Sick, G. A.(1994), “The Risk Structure of Land Market”, Journal of Urban Economics, Vol.35, pp.297-319.
Capozza, D. R. and Li, Y.(2001), “Residential Investment and Interest Rates: An Empirical Test of Land Development as a Real Option”, Real Estate Economics, Vol.29, 3, pp.503-519.
Capozza, D. R. and Li, Y.(2002), “Optimal Land Development Decisions”, Journal of Urban Economics, 51, pp.123-142.
Case, K. E. and Shiller, R. J.(1989)“The Efficiency of the Market for Single-Family Homes”, The American Economic Review, Vol.79, No.1, pp.125-137.
Cauley, S. D. and Pavlov, A. D.(2002), “Rational Delays: The Case of Real Estate”, Journal of Real Estate Finance and Economics, 24:1/2, pp.143-165.
Cox, D. R.(1972), “Regression Models and Life-Tables”, Journal of The Royal Statistical Society, Series B (Methodological) 34, pp.187-220.
Cox, D. R. and Oakes, D.(1984), “Analysis of Survival Data”, Chapman and Hall: London.
Cunningham, C. R.(2006), “House Price Uncertainty, Timing of Development, and Vacant Land Prices: Evidence for Real Options in Seattle”, Journal of Urban Economics, Vol.59, Issue1, pp.1-31.
Dixit, A. K. and Pindyck, R. S.(1994), “Investment under Uncertainty”, Princeton University Press.。
Episcopos, A.(1995), “Evidence on the Relationship between Uncertainty and Irreversible Investment”, The Quarterly Review of Economics and Finance, Vol.35, No.1, Spring, pp. 41-52.
Gillen, K.(2004), “An Empirical Test of Property Valuation in a Real Option-Pricing Framework”, Working Paper.
Grenadier, S. R.(1996), “The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets”, The Journal of Finance, Vol.51, No.5, pp.1653-1679.
Grenadier, S. R.(2002), “Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms”, Review of Financial Studies, 15, pp.691-721.
Gu, A. Y. and Cannady, R. E.(2004), “Value of the Option to Develop Residential Land: An Empirical Estimate”, Real Estate Review, 32, 4, pp.60-65.
Hartman, R.(1972), “The Effects of Price and Cost Uncertainty on Investment”, Journal of Economic Theory, 5, pp.258-266.
Huang, Chia-Hsing(1999), “an options-based real estate development strategy”, 1999年中華民國住宅學會第八屆年會論文集,pp.239-249。
Kleinbaum, D. G..(1995), “Survival Analysis”, Boca Raton : Chapman & Hall/CRC, ©2003.
Lancaster, K. J.(1966),“A New Approach to Consumer Theory”, Journal of Political Economy ,74, pp.132-157.
Lawless, J. F.(2003), “Statistical Models and Methods for Lifetime Data”, 2nd Ed.
Leung, B. Y. P. and Hui, E. C. M.(2002), “Option Pricing for Real Estate Development: Hong Kong Disneyland”, Journal of Property Investment&Finance, Vol.20, No.6, pp.473-495.
Lucius, D. I.(2001), “Real options in real estate development”, Journal of Property Investment&Finance, Vol.19, No.1, pp.73-78.
Mcdonald, R. and Siegel, D.(1986), “The Value of Waiting to Invest”, The Quarterly Journal of Economics, November, pp.187-203.
Myers, S. C.(1977), “Determinants of Corporate Borrowing”, Journal of Financial Economics, 5, pp.147-175.
Ott, S. H. and Yi, H. C.(2001), “Real Options and Development: A Model of Regional Supply and Demand”, Real Estate Finance, 18, 1, pp.47-55.
Patel, K. and Sing, T. F.(2001), “Evidence of Irreversibility in the UK Property Market”, The Quarterly Review of Economics and Finance, Vol.41, Issue3, pp.313-334.
Quigg, L.(1993), “Empirical Testing of Real Option-Pricing Models”, The Journal of Finance, Vol.48, No.2, pp.621-640.
Rosen, S.(1974),"Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition", Journal of Political Economy,82, pp.34-55.
Shilling, J. D., Sirmans, C.F., Turnbull, G. K. and Benjamin, J. D.(1990), “The Theory and Empirical Test of Land Option Pricing”, Journal of Urban Economics, 28, pp.178-186.
Sing, T. F. and Patel, K.(2001), “Empirical evaluation of the value of waiting to invest”, Journal of Property Investment&Finance, Vol.19, No.6, pp.535-553.
Somerville, C.T. (2001)“Permits, Starts, and Completions: Structural Relationships vs. Real Options” Real Estate Economics, 29(1), 2001.
Trigeorgis, L(1996), “Real Options” Cambridge, MA: MIT Press.
Trigeorgis, L(2005), “Making Use of Real Options Simple: An Overview and Applications in Flexible/Modular Decision Making”, The Engineering Economist, 50: pp.25–53
Titman, S.(1985), “Urban Land Prices under Uncertainty”, The American Economic Review, June,pp.505-514.
Williams, J. T.(1991), “Real Estate Development as an Option”, Journal of Real Estate Finance and Economics, 4: pp.191-208.
Washington, S. P. , Karlaftis, M. G. and Mannering, F. L.(2003), “statistical and econometric methods for transportation data analysis”, Boca Raton, FL: Chapman & Hall/CRC.
描述 碩士
國立政治大學
地政研究所
94257019
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094257019
資料類型 thesis
dc.contributor.advisor 陳奉瑤zh_TW
dc.contributor.author (Authors) 劉佳侑zh_TW
dc.creator (作者) 劉佳侑zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 18-Sep-2009 16:19:59 (UTC+8)-
dc.date.available 18-Sep-2009 16:19:59 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 16:19:59 (UTC+8)-
dc.identifier (Other Identifiers) G0094257019en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/35897-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 地政研究所zh_TW
dc.description (描述) 94257019zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) 土地開發決策行為具備不可回復性及可延遲性等特色,於未來情況不確定市場下,土地開發決策包含了選擇權價值。根據Titman(1985)等人將實質選擇權理論應用於土地開發方面之研究指出,土地開發決策中所內含之實質選擇權,將影響土地所有人的開發決策。而根據實質選擇權理論,未來情況的不確定性乃是實質選擇權價值來源,隨著不確定性提高,將延後土地開發時機並增加未開發土地價值。過去二十餘年來,將實質選擇權應用於土地開發之相關理論研究已獲得豐碩成果,然而於臺灣地區,相關實證研究相當稀少,甚至若干分析結果呈現實質選擇權適用程度不顯著的情況。唯過去分析方式多採靜態之迴歸模型進行,且未將不同市場情況區域分開探討,因而導致估計結果可能的不準確,而曲解實質選擇權理論於臺灣地區之應用。針對上述情況,本研究採動態之存活分析方式針對同樣亦屬動態之土地開發決策行為進行分析;並利用迴歸分析方式觀察未來房價不確定性如何影響未開發土地價值。藉由上述分析,探究實質選擇權理論於臺灣地區土地開發市場之適用程度。

本研究利用臺灣地區大規模開發地區土地開發及未開發土地價格資料進行實證分析。結果顯示,於不確定性程度高且變化程度大之地區,房價不確定性的提高將延後土地開發時機並增加未開發土地價值,符合實質選擇權理論所預測。然於不確定性程度低且變化幅度小之地區,由於選擇權價值的淡化,導致其他因素影響了房價不確定性與土地開發時機及未開發土地價值間之關係,使得分析結果未如實質選擇權理論所預期。此外,本研究於土地開發時機方面採存活分析方式進行,並將不同市場情況之地區分開探討,而得出實質選擇權理論於臺灣地區適用之顯著成果,與過去之相關實證研究指出之不顯著情況不符。表示在進行實證研究時,必須選擇最適當之分析方式,並儘可能就不同市場情況加以探討,方能獲得最符合實際情況之分析結果。
zh_TW
dc.description.abstract (摘要) Recent theoretical research suggests that land development exercises a real option. Option pricing theory has been successfully applied in the valuation of real investments in the last two decades. According to Option pricing theory, the real option in undeveloped land will effect the development decision of land developer. Because the uncertainty of future condition is the source of real option, this research use the data set of land development and undeveloped land price in Taiwan area to test two predictions of real options with respect to land markets: greater price uncertainty should delay the timing of development and raise vacant land prices.

Different from other empirical studies, this research uses the survival analysis method to test the prediction of real option theory. The result of our research is consistent with the prediction of the real option theory. It shows that greater price uncertainty lowers the likelihood of development and raises vacant land prices in the area of higher price uncertainty. This finding suggests that in the area of high uncertainty, we would expect land developer in the property market to be more prudent and decreasing the current investment activities compared with the area of a relatively stable market environment.
en_US
dc.description.tableofcontents 第一章 緒論
第一節 研究動機與目的
第二節 研究方法與研究限制
第三節 研究架構與流程

第二章 相關理論與文獻回顧
第一節 實質選擇權之意涵
第二節 實質選擇權相關文獻回顧
第三節 小結

第三章 研究設計
第一節 存活分析理論介紹
第二節 Cox等比例危險模型
第三節 研究地區分析
第四節 未來不確定性之衡量

第四章 實證分析
第一節 不確定性與土地開發時機
第二節 不確定性與未開發土地價格
第三節 小結

第五章 結論與建議
第一節 結論
第二節 後續研究建議

參考文獻
zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094257019en_US
dc.subject (關鍵詞) 土地開發決策行為zh_TW
dc.subject (關鍵詞) 實質選擇權理論zh_TW
dc.subject (關鍵詞) 不確定性zh_TW
dc.subject (關鍵詞) 存活分析zh_TW
dc.title (題名) 實質選擇權對土地開發時機及其價值影響之實證研究zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、中文部分zh_TW
dc.relation.reference (參考文獻) 王健安(1998),資本投資計畫評核術的一個新觀念—實質選擇權之理論與實證方法的文獻回顧,台灣土地金融季刊,第35卷,第四期,第75-98頁。zh_TW
dc.relation.reference (參考文獻) 王健安(1999),從等待價值與融資限制的觀點探討不動產投資開發的決策過程,中華民國住宅學會第八屆年會論文集,第221-237頁。zh_TW
dc.relation.reference (參考文獻) 吳秉蓁(2000),都市更新容積獎勵對開發時機的影響,政治大學地政系碩士論文。zh_TW
dc.relation.reference (參考文獻) 梁仁旭(2003),不確定市場下以地價稅調節土地利用之研究,都市與計畫, 第三十卷,第二期,第145-155頁。zh_TW
dc.relation.reference (參考文獻) 梁仁旭(2005),土地選擇權時間價值比之研究,都市與計畫,第三十二卷,第四期,第371-386頁。zh_TW
dc.relation.reference (參考文獻) 梁仁旭、陳奉瑤(2005),土地選擇權價值之實證分析,2005年海峽兩岸土地學術研討會。zh_TW
dc.relation.reference (參考文獻) 陳冠華(1999),不確定市場下建商投資行為之研究,政治大學地政系碩士論文。zh_TW
dc.relation.reference (參考文獻) 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,臺灣大學財務金融研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 二、外文部分zh_TW
dc.relation.reference (參考文獻) Abel, A. B.(1983), “Optimal Investment under Uncertainty”, The American Economic Review, Vol.73, No.1, pp.228-233.zh_TW
dc.relation.reference (參考文獻) Bulan, L., Mayer, C. and Somerville, C. T.(2004), “Irreversible Investment, Real Options, and Competition: Evidence From Real Estate Development”, Working Paper.zh_TW
dc.relation.reference (參考文獻) Caballero, R. J.(1991), “On the Sign of the Investment-Uncertainty Relationship”, American Economic Review, 81(1), pp.279-288.zh_TW
dc.relation.reference (參考文獻) Capozza, D. R. and Helsley, R. W.(1990), “The Stochastic City”, Journal of Urban Economics, Vol.28, pp.187-203.zh_TW
dc.relation.reference (參考文獻) Capozza, D. R. and Li, Y.(1994), “The Intensity and Timing of investment: The Case of Land”, The American Economic Review, Vol.84, No.4, pp.889-904.zh_TW
dc.relation.reference (參考文獻) Capozza, D. R. and Sick, G. A.(1994), “The Risk Structure of Land Market”, Journal of Urban Economics, Vol.35, pp.297-319.zh_TW
dc.relation.reference (參考文獻) Capozza, D. R. and Li, Y.(2001), “Residential Investment and Interest Rates: An Empirical Test of Land Development as a Real Option”, Real Estate Economics, Vol.29, 3, pp.503-519.zh_TW
dc.relation.reference (參考文獻) Capozza, D. R. and Li, Y.(2002), “Optimal Land Development Decisions”, Journal of Urban Economics, 51, pp.123-142.zh_TW
dc.relation.reference (參考文獻) Case, K. E. and Shiller, R. J.(1989)“The Efficiency of the Market for Single-Family Homes”, The American Economic Review, Vol.79, No.1, pp.125-137.zh_TW
dc.relation.reference (參考文獻) Cauley, S. D. and Pavlov, A. D.(2002), “Rational Delays: The Case of Real Estate”, Journal of Real Estate Finance and Economics, 24:1/2, pp.143-165.zh_TW
dc.relation.reference (參考文獻) Cox, D. R.(1972), “Regression Models and Life-Tables”, Journal of The Royal Statistical Society, Series B (Methodological) 34, pp.187-220.zh_TW
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