學術產出-學位論文

題名 不動產價格之估值認知與調整-估價行為、大量估價與估值機率之研究
作者 江穎慧
Chiang,Ying Hui
貢獻者 張金鶚
Chang,Chin Oh
江穎慧
Chiang,Ying Hui
關鍵詞 不動產估價
估價行為
大量估價
分量迴歸
估值機率
real estate appraisal
behavior appraisal
mass appraisal
quantile regression
probability valuation
日期 2008
上傳時間 9-四月-2010 18:29:24 (UTC+8)
摘要 長期以來,不動產估價相關研究皆著重在估價理論與技術的改進,以使最後估值能更為精確。然而實際上,估價人員的行為才是影響價格評定的本質因素;尤其國內、外對於市場比較法的相關研究,皆發現估價人員有偏離理論規範的現象。故本文第一部份是分析估價人員系統行為偏誤問題;第二部分探討特徵價格模型的偏誤,並應用分量迴歸改進不同高低價格的估價模型準確度;第三部分比較估價師個別估價與大量估價模型之偏誤與差異;為提升客觀估價方法,第四部分探討以估價師估值樣本產生最可能價格與機率的方式。本研究藉由估價師估價行為與大量估價模型不同面向的研究,重新檢視市場比較法的各種偏誤現象。

一、市場比較法估價之系統行為偏誤
市場比較法是估價人員最常使用的方法,但在估價過程中主觀判斷部分相對較多也最易引起爭議。過去市場比較法研究著重在估價理論與技術改進,以減少主觀判斷造成的隨機偏誤,然而,研究指出行為偏誤造成的系統偏誤,其持續性的偏誤對於估價偏誤有重要影響。過去探討估價行為的研究,受限於資料樣本取得,幾乎都是以問卷或實驗得到結果,而非實證結果。本文則是以實際估價報告書進行實證分析,以鄒檢定(Chow Test)及似無相關檢定(Seemingly Unrelated Regression),發現勘估標的估值與比較標的市場成交值兩模型係數有顯著差異,表示估價人員估值模型起始點高於市場成交值模型,估價人員對於使用類型有高估現象,對於面積估計有低估現象,支持估價人員有系統行為偏誤。此外,也發現評估不同市場時,行為偏誤程度亦不同,估價人員於評估拍賣價格時,因估價經驗與比較案例較少,較傾向參考比較案例,行為偏誤亦較小,僅面積係數有差異;但於評估正常市場價格時,估價行為偏誤較大,區位、使用類型及面積係數皆有差異。

二、不同高低價格不動產估價模型之偏誤改進-分量迴歸模型之應用
隨著國內不動產市場M型化推案趨勢,非典型住宅(如:高總價豪宅和低總價小套房)類型逐漸增多,對於此類型產品的估價精準度也需要提升。從過去研究發現,最小平方迴歸估計忽略各特徵屬性對價格條件分配的差異。本研究乃以分量迴歸方法建立住宅大量估價模型,藉以瞭解住宅特徵對於不同價格分量的差異,實證結果發現以最小平方迴歸模型估計相較於分量迴歸,對於一樓、頂樓、車位、區位等變數有高估或低估的情形。比較估值模型預測精確度,本文透過30次重複實驗,發現分量迴歸對於兩側尾端樣本有較佳的預測能力。從實證方法而言,本文改進以最小平方迴歸模型對兩尾端價格高估或低估問題;就實務應用方面,隨著不動產產品差異度增加,以及新版巴塞爾協定(Basel Ⅱ)實施對不動產價值更新的需求,分量迴歸模型可提升兩尾端估計精確度,並提供住宅大量估價系統另一種資產重估方法。

三、大量估價與個別估價之差異分析
不動產估價研究可分為個別估價與大量估價兩類,過去有關個別估價研究多為估價行為或估價方法改進,而大量估價研究則多是運用數量方法建立模型,由於兩者建構方式不同,欲同時進行兩者實證比較並不容易。本文藉由相同勘估標的,取得估價師個別估價資料,與資料庫建立的自動估價系統,進行案例選取、權重調整及最後估值三階段的比較分析。經本文差異比較發現,前二個階段的比較結果,皆是自動估價系統優於個別估價,從估價行為觀點,顯示自動估價系統具有較客觀且符合估價理論程序優點。然而第三階段的估值比較,發現自動估價系統的表現並不如預期,此結果與過去研究結論不同,分析兩者差異值大的案例,發現資料庫樣本較少地區以及非典型住宅類型(面積過大或過小),是造成個別估價估值與自動估價系統估值差異大的原因,顯示自動估價系統有其適用限制,未來若增加資料庫樣本或次市場模型,兩者估值差異將可獲得改善。

四、不動產估值認知與估值機率
本章以估價師估值資料為樣本,藉由蒙地卡羅模擬估值機率模型,其模擬結果可客觀估計最可能價格(the most probable price)與機率。由於資料樣本來自於專業估價師的判斷,估值分配代表的是估價師所估計的可能估值結果;相較於過去僅以單一估值決定資產價值,藉由多位專業估價師所判斷結果而建立的估值區間與最可能價格及機率,應該是更具客觀性且接近市場價值,而且估值機率的呈現將有助於估價報告書使用者評估存在於資產價值的上方(upside risk)及下方風險(downside risk)。
In the real estate appraisal research, appraisers and mass appraisal are the two methods most often used in the sales comparison approach. Past studies focused on appraisers behavior and mass appraisal model, lack of compared the difference by appraisers for the same objects as well as mass.

The first essay reviews the behavior literature regarding real estate appraisers and summarizes the two hypotheses for departure from normative models. The study is based on appraisers’ reports analyzes for the appraisal valuation and the market transaction by hedonic price models. Among the 112 appraisal reports of the transaction data of 230 comparables and the valuations of 224 subjects, the results reveal the effect of the variables on the appraisal valuation are not consistent with those of the market transaction. In addition, comparing the appraisers’ behavior on the general market with the auction market, the result found is the differences between the valuation models and the transaction models are less than the models on the auction market. The empirical evidences support the two hypotheses and can be explained plausibly by the appraisers’ behavioral contention.

The second essay analize the current domestic trend of residential types, it is easy to find that high-priced dwelling units and low-priced dwelling units keep gaining popularity. Thus, the estimation of these two types of residences should be more precise. Since ordinary least square regression can not signify the variation caused by different quantile functions of a conditional distribution, this study estimates the housing price by quantile regression. We compare the models by using ordinary least square regression and quantile regression. The empirical results show that the distributions of some variables, such as first floor, top floor, parking lot, location, are different between two models. These are easily to be underestimated or overestimated when ordinary least square regression is applied. Based on thirty repeated experiments using random sampling, the results of hit rate and mean absolute percentage error show that quantile regression estimates more accurately on two-tailed distribution. For mass appraisal application, a quantile regression advances the estimate on two-tailed price and provides a new method on assets reevaluation of banks.
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描述 博士
國立政治大學
地政研究所
91257505
97
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091257505
資料類型 thesis
dc.contributor.advisor 張金鶚zh_TW
dc.contributor.advisor Chang,Chin Ohen_US
dc.contributor.author (作者) 江穎慧zh_TW
dc.contributor.author (作者) Chiang,Ying Huien_US
dc.creator (作者) 江穎慧zh_TW
dc.creator (作者) Chiang,Ying Huien_US
dc.date (日期) 2008en_US
dc.date.accessioned 9-四月-2010 18:29:24 (UTC+8)-
dc.date.available 9-四月-2010 18:29:24 (UTC+8)-
dc.date.issued (上傳時間) 9-四月-2010 18:29:24 (UTC+8)-
dc.identifier (其他 識別碼) G0091257505en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/38835-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 地政研究所zh_TW
dc.description (描述) 91257505zh_TW
dc.description (描述) 97zh_TW
dc.description.abstract (摘要) 長期以來,不動產估價相關研究皆著重在估價理論與技術的改進,以使最後估值能更為精確。然而實際上,估價人員的行為才是影響價格評定的本質因素;尤其國內、外對於市場比較法的相關研究,皆發現估價人員有偏離理論規範的現象。故本文第一部份是分析估價人員系統行為偏誤問題;第二部分探討特徵價格模型的偏誤,並應用分量迴歸改進不同高低價格的估價模型準確度;第三部分比較估價師個別估價與大量估價模型之偏誤與差異;為提升客觀估價方法,第四部分探討以估價師估值樣本產生最可能價格與機率的方式。本研究藉由估價師估價行為與大量估價模型不同面向的研究,重新檢視市場比較法的各種偏誤現象。

一、市場比較法估價之系統行為偏誤
市場比較法是估價人員最常使用的方法,但在估價過程中主觀判斷部分相對較多也最易引起爭議。過去市場比較法研究著重在估價理論與技術改進,以減少主觀判斷造成的隨機偏誤,然而,研究指出行為偏誤造成的系統偏誤,其持續性的偏誤對於估價偏誤有重要影響。過去探討估價行為的研究,受限於資料樣本取得,幾乎都是以問卷或實驗得到結果,而非實證結果。本文則是以實際估價報告書進行實證分析,以鄒檢定(Chow Test)及似無相關檢定(Seemingly Unrelated Regression),發現勘估標的估值與比較標的市場成交值兩模型係數有顯著差異,表示估價人員估值模型起始點高於市場成交值模型,估價人員對於使用類型有高估現象,對於面積估計有低估現象,支持估價人員有系統行為偏誤。此外,也發現評估不同市場時,行為偏誤程度亦不同,估價人員於評估拍賣價格時,因估價經驗與比較案例較少,較傾向參考比較案例,行為偏誤亦較小,僅面積係數有差異;但於評估正常市場價格時,估價行為偏誤較大,區位、使用類型及面積係數皆有差異。

二、不同高低價格不動產估價模型之偏誤改進-分量迴歸模型之應用
隨著國內不動產市場M型化推案趨勢,非典型住宅(如:高總價豪宅和低總價小套房)類型逐漸增多,對於此類型產品的估價精準度也需要提升。從過去研究發現,最小平方迴歸估計忽略各特徵屬性對價格條件分配的差異。本研究乃以分量迴歸方法建立住宅大量估價模型,藉以瞭解住宅特徵對於不同價格分量的差異,實證結果發現以最小平方迴歸模型估計相較於分量迴歸,對於一樓、頂樓、車位、區位等變數有高估或低估的情形。比較估值模型預測精確度,本文透過30次重複實驗,發現分量迴歸對於兩側尾端樣本有較佳的預測能力。從實證方法而言,本文改進以最小平方迴歸模型對兩尾端價格高估或低估問題;就實務應用方面,隨著不動產產品差異度增加,以及新版巴塞爾協定(Basel Ⅱ)實施對不動產價值更新的需求,分量迴歸模型可提升兩尾端估計精確度,並提供住宅大量估價系統另一種資產重估方法。

三、大量估價與個別估價之差異分析
不動產估價研究可分為個別估價與大量估價兩類,過去有關個別估價研究多為估價行為或估價方法改進,而大量估價研究則多是運用數量方法建立模型,由於兩者建構方式不同,欲同時進行兩者實證比較並不容易。本文藉由相同勘估標的,取得估價師個別估價資料,與資料庫建立的自動估價系統,進行案例選取、權重調整及最後估值三階段的比較分析。經本文差異比較發現,前二個階段的比較結果,皆是自動估價系統優於個別估價,從估價行為觀點,顯示自動估價系統具有較客觀且符合估價理論程序優點。然而第三階段的估值比較,發現自動估價系統的表現並不如預期,此結果與過去研究結論不同,分析兩者差異值大的案例,發現資料庫樣本較少地區以及非典型住宅類型(面積過大或過小),是造成個別估價估值與自動估價系統估值差異大的原因,顯示自動估價系統有其適用限制,未來若增加資料庫樣本或次市場模型,兩者估值差異將可獲得改善。

四、不動產估值認知與估值機率
本章以估價師估值資料為樣本,藉由蒙地卡羅模擬估值機率模型,其模擬結果可客觀估計最可能價格(the most probable price)與機率。由於資料樣本來自於專業估價師的判斷,估值分配代表的是估價師所估計的可能估值結果;相較於過去僅以單一估值決定資產價值,藉由多位專業估價師所判斷結果而建立的估值區間與最可能價格及機率,應該是更具客觀性且接近市場價值,而且估值機率的呈現將有助於估價報告書使用者評估存在於資產價值的上方(upside risk)及下方風險(downside risk)。
zh_TW
dc.description.abstract (摘要) In the real estate appraisal research, appraisers and mass appraisal are the two methods most often used in the sales comparison approach. Past studies focused on appraisers behavior and mass appraisal model, lack of compared the difference by appraisers for the same objects as well as mass.

The first essay reviews the behavior literature regarding real estate appraisers and summarizes the two hypotheses for departure from normative models. The study is based on appraisers’ reports analyzes for the appraisal valuation and the market transaction by hedonic price models. Among the 112 appraisal reports of the transaction data of 230 comparables and the valuations of 224 subjects, the results reveal the effect of the variables on the appraisal valuation are not consistent with those of the market transaction. In addition, comparing the appraisers’ behavior on the general market with the auction market, the result found is the differences between the valuation models and the transaction models are less than the models on the auction market. The empirical evidences support the two hypotheses and can be explained plausibly by the appraisers’ behavioral contention.

The second essay analize the current domestic trend of residential types, it is easy to find that high-priced dwelling units and low-priced dwelling units keep gaining popularity. Thus, the estimation of these two types of residences should be more precise. Since ordinary least square regression can not signify the variation caused by different quantile functions of a conditional distribution, this study estimates the housing price by quantile regression. We compare the models by using ordinary least square regression and quantile regression. The empirical results show that the distributions of some variables, such as first floor, top floor, parking lot, location, are different between two models. These are easily to be underestimated or overestimated when ordinary least square regression is applied. Based on thirty repeated experiments using random sampling, the results of hit rate and mean absolute percentage error show that quantile regression estimates more accurately on two-tailed distribution. For mass appraisal application, a quantile regression advances the estimate on two-tailed price and provides a new method on assets reevaluation of banks.
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dc.description.tableofcontents 摘要 Ⅰ
圖目錄 III
表目錄 Ⅳ
第一章 緒論 1
第一節 研究動機與問題 1
第二節 研究目的 3
第三節 研究方法 4
第四節 資料說明 6
第五節 研究架構 7
第二章 文獻回顧與理論 10
第一節 不動產估價行為研究 10
第二節 大量估價理論與模型 11
第三節 估值認知、估值區間與機率 15
第四節 小結 16
第三章 市場比較法估價之系統行為偏誤 18
第一節 前言 18
第二節 假說建立 19
第三節 資料說明與實證模型 22
第四節 實證結果分析 26
第五節 小結 32
第四章 不同高低價格不動產估價模型之偏誤改進-分量迴歸模型之應用 33
第一節 前言 33
第二節 分量迴歸 34
第三節 資料說明與實證模型 35
第四節 實證結果分析 39
第五節 小結 44
第五章 大量估價與個別估價之差異分析 46
第一節 前言 46
第二節 自動估價系統與個別估價 47
第三節 資料說明與研究設計 51
第四節 實證結果分析 55
第五節 小結 63
第六章 不動產估值認知與估值機率 67
第一節 前言 67
第二節 文獻理論與研究設計 68
第三節 個案研究分析 69
第四節 小結 77
第七章 結論與建議 79
第一節 結論 79
第二節 建議 80
參考文獻 82
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0091257505en_US
dc.subject (關鍵詞) 不動產估價zh_TW
dc.subject (關鍵詞) 估價行為zh_TW
dc.subject (關鍵詞) 大量估價zh_TW
dc.subject (關鍵詞) 分量迴歸zh_TW
dc.subject (關鍵詞) 估值機率zh_TW
dc.subject (關鍵詞) real estate appraisalen_US
dc.subject (關鍵詞) behavior appraisalen_US
dc.subject (關鍵詞) mass appraisalen_US
dc.subject (關鍵詞) quantile regressionen_US
dc.subject (關鍵詞) probability valuationen_US
dc.title (題名) 不動產價格之估值認知與調整-估價行為、大量估價與估值機率之研究zh_TW
dc.type (資料類型) thesisen
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