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題名 運用土地開發分析法建立地價評估機率模型
The use of the land development analysis to establish the probability model of premium assessment作者 林俊豪 貢獻者 張金鶚
林俊豪關鍵詞 不動產估價
土地開發分析法
蒙地卡羅
valuation of real estate
land development analysis
Monte Carlo日期 2009 上傳時間 3-九月-2013 14:49:28 (UTC+8) 摘要 土地開發分析法是開發人員與估價師評估土地價格的重要方法之一，然而不同從業人員針對相同標的估值往往不盡相同，是估價人員的偏誤造成價格上的差異？抑或是估價人員運用土地開發分析法時，各項投入參數差異所產生？本研究以台北市公開標售成交地價與上市建設公司評估台北市地價分別分析，利用@Risk尋找土地開發分析法各項投入參數可能的機率分配型態，再以蒙地卡羅模擬分析建立土地開發分析價格的機率模型，並利用平均絕對百分比誤差（MAPE）、命中率（hit Rate）及交插驗證(cross-validation)做為機率模型預測估值優劣程度的衡量標準，比較「公開標售」組與「評估地價」組兩者機率模型何者預測能力。結果發現「評估資料」組的估值準確性較佳，「公開標售」組所建立之機率模型較不具預測效果。而三種適合度檢定之機率模型則是以A-D適合度檢定所建立之機率模型表現最佳(MAPE為14.98%，誤差±10% Hit-rate為38.46%，誤差±20% Hit-rate為71.43%)。本文透過機率模型的建立，考量不動產開發隱含之風險，呈現估值的結果由定值轉變為區間；考量不同估價人員或開發業者間，對於相同投入參數不同認知的情形；本模型將對地價敏感性較大之投入參數由定值轉為機率密度函數，較估價人員或開發業者主觀認定各項投入參數之變動更為客觀；可應用於大量估價，亦可作為估價人員或開發業者評估土地時，價格之參考
Land development analysis is one of the developers and valuers assessment of land price method, different practitioners, however, is often not the same for the valuation of the same subject, valuers bias caused by the difference in price? Or valuers use of the land development analysis, the various input parameters the differences? In this study, turnover in Taipei sale by public tender premium and public listed construction company to assess the land value of Taipei City were analyzed, Looking for land development analysis the probability distribution of possible input parameters using the @ Risk, useing Monte Carlo simulation analysis to establish the land development analysis of the price of the probability model, and using the mean absolute percentage error (MAPE), the hit rate and cross-validation as a probability model to predict the measure of the quality and extent of the valuation, "open auction” group and “assess the premium” group between the two probability model may be predictive ability. The results showed that the valuation accuracy of the assessment information group better probability model created by the sale by public tender group compared with no predictive effect. Three kinds of fit test of the probability model is based on the AD for degree verification to establish the probability model the best performing (MAPE of 14.98%, the error is ± 10% Hit-the rate is 38.46%, the error is ± 20% the Hit-the rate is 71.43% ). Through the establishment of the probability model, consider the real estate development implied the risk of showing the results of the valuation by the valuation change interval; considerations between the different valuation or development industry, for the same input parameters of different cognitive situations; this model will have premium The larger sensitivity of the input parameters from the given value to the probability density function over valuation or development industry subjective judgments more objective changes of the input parameters; can be applied to a large number of valuation, assessment of land may be used as the valuation or development industryWhen the reference price.參考文獻 1. 王慶煌、馬婉容、黃明達、邱銓城，1993，「建築投資風險性報酬模式」，建築學報第八期，P.29-582. 王慶煌、馬婉容，1992，「建築投資報酬與風險之初步分析」3. 江青穗，1996，「土地開發之財務分析」，國立政治大學地政研究所，碩士論文4. 卓輝華，2007，「不動產估價」，台北，五南出版社5. 金家禾，1998，「土地開發分析法功能之研究」，經社法制論叢第二十二期6. 李泓見，2004，「台北都會區不同住宅類型及其面積價差之研究」，國立政治大學地政研究所，碩士論文7. 林育聖，2003，「建商商譽與產品訂價之差異分析」，國立政治大學地政研究所，碩士論文8. 徐士堯，2006，「土地開發分析法之探析」，土地問題研究季刊4卷2期9. 張芳玲，1997，「不動產評價模式特徵價格法與逼近調整法之比較」，住宅學報，5 期，頁17-35。10. 張金鶚，2007，「房地產投資與市場分析」，台北，華泰書局11. 張能政，2004，「不動產估價行為研究-行為理論之應用」，國立台北大學地政研究所，碩士論文12. 張義君，2002，「以數值方法評價商業不動產證券化」，國立政治大學財務管理研究所碩士論文13. 黃至民，2002，「利率可調整之不動產抵押貸款證券之評價與分析─CIR 利率模型與邏輯斯蹄提前還本模型之結合」，國立臺灣大學財務金融學研究所碩士論文14. 黃良充，2004，「土地開發分析法評估方式之探討」，土地問題研究季刊3卷3期15. 黃勝榮，1989，「不確定情況下台北市不動產開發投資決策之研究─蒙地卡羅模擬方法之運用」，國立政治大學地政研究所，碩士論文16. 游適銘，2006，不動產估價理論與實務，大日出版社17. 顏信輝、丁緯，2004，由心理學經驗法則關點探討盈餘預測之偏誤類型：併論盈餘水準之影響，「當代會計」，第五卷，第二期，第139-174 頁18. 蘇國榮，2003，「建設公司商譽對住宅價格影響之研究」，國立政治大學地政研究所，碩士論文19. Byren, P. & Cadman,D ,1984,”Risk, Uncertainty and Decision-making in Property Development”, London: E. & F.N.Spon.20. Cadman, D. and Austin-Crowe, L. ,1991, Property Development, London: E&F.N. Spon. 21. Colborne, A.& Hall, P.,1993,”The profits Method of Valuation”, Journal of Property Valuation & Investment, 11(2):43-4922. Sirmans, C. F. & Geoffrey K. Turnbull and Jonathan Dombrow, 2002,”Residential Development, Risk, And Land Prices”, Journal of Regional Science, 37(4):613-62823. Diaz, J., 1990a ,”How Appraisers Do Their Work: A Test of the Appraisal Process and the Development of a Descriptive Model＂, The Journal of Real Estate Research,5(1):1-15.24. Diaz, J., 1990b ,” The process of selecting comparable sales＂, The Appraisal Journal, 4:533~540.25. Downing, P. B.,1973, ” Factors Affecting Commercial Land Values: An Empirical Study of Milwaukee, Wisconsin, Land Economics” ,pp.44-56.26. Knight, Frank H.,1921,”Risk, Uncertainty, and Profit”27. Gallimore, P.,1996,“Confirmation Bias in the Valuation Process: a Test for Corroborating Evidence”, Journal of Property research, 13(4):261-73.28. Geoffrey, K. Turnbull and Jonathan Dombrow, C. F. Sirmans, 2006,“Big House, Little House: Relative Size and Value”, Real Estate Economics. 34(3):439-456.29. Hirshleifer, David, 2001, “Investor psychology and asset pricing”, Journal of Finance, 56:1533-1597.30. Kahneman, D. & Riepe, M.W., 1998, “Aspects of investor psychology”, Journal of Portfolio Management, summer,52-65.31. Kelliher, Charles F. and Mahoney, Lois S.,2000,,”Using Monte Carlo Simulation to Improve Long-Term Investment Decisions”, The Appraisal Journal, Jan, 68(1):44-56.32. Willis, K. G., 1980,”The Economics of Town and Country Planning, Granada Publishong Limited”33. Li, Ling Hin, 2000,”Simple Computer Applications Improve the Versatility of Discounted Cash Flow Analysis”, The Appraisal journal, 68:86-92 34. Lin, T. C. and Evan, A. W., 2000,“An Empirical Test of the Relationship between the Price of Land and Size of Plot”, Annual Meeting of American Real Estate Society, Santa Barbara, USA.35. Marshall, P. & Kennedy, C., 1993,”Development Valuation Techniques.”Journal of Property Valuation & Investment, 11(2):57-6636. Wolverton ,Marvin L., 1997,”Empirical study of the relationship between residential lot price, size and view” 15:48-5737. Millington, A.F., 1988,“An introduction to Property Valuation”, London: Estates Gazette.38. Morley, S. et al., 1989, Industrial and Business Space Development, London: E&F.N. Spon.39. Myers, D., 1994,”Economics and property”, London: Estates Gazette.40. Northcraft, G. B. and M. A. Neale ,1987,”Experts, Amateurs, and Real Estate: An Anchoring-and-Adjustment Perspective on Property Pricing Decisions＂,Organizational Behavior and Human Decision Processes, 39:84-97.41. PAUL THORSNES and DANIEL P. MCMILLEN, 1998,” Land Value and Parcel Size: A Semiparametric Analysis”, Journal of Real Estate Finance and Economics, 17:3, 233-24442. Rabin, Matthew, 1996, “Psychology and economics”, Journal of Economic Literature, 36:11-46.43. Richard J. Buttimer Jr. & Steven P. Clark and Steven H. Ott, 2008,”Land Development: Risk, Return and Risk Management” ,Journal of Real Estate Finance and Economics, 36(1)44. Sheard, E.M.,1993,“Valuation of Contaminated Land: Current Theory and Practice”, Journal of Property Valuation & Investment, 11(2):17-2745. Shiller, R.J., 1998, Human behavior and the efficiency of the financial system, Handbook of Macroeconomics.46. Stull , W.J.,1975, ”Land Use and Zoning in an Urban Economy.”47. Tversky, A. and D. Kahneman , 1974,”Judgment Under Uncertainty: Heuristics and Biases＂, science, 185(4157): 1124-1131.48. Weaver, William and Michelson, Stuart,2003, ”A Practical Tool to Assist in Analyzing Risk Associated with Income Capitalization Approach Valuation or Investment Analysis,” The Appraisal journal, 71(4):335-343. 描述 碩士
國立政治大學
地政研究所
96923025
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096923025 資料類型 thesis dc.contributor.advisor 張金鶚 zh_TW dc.contributor.author (作者) 林俊豪 zh_TW dc.creator (作者) 林俊豪 zh_TW dc.date (日期) 2009 en_US dc.date.accessioned 3-九月-2013 14:49:28 (UTC+8) - dc.date.available 3-九月-2013 14:49:28 (UTC+8) - dc.date.issued (上傳時間) 3-九月-2013 14:49:28 (UTC+8) - dc.identifier (其他 識別碼) G0096923025 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59808 - 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) 96923025 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 土地開發分析法是開發人員與估價師評估土地價格的重要方法之一，然而不同從業人員針對相同標的估值往往不盡相同，是估價人員的偏誤造成價格上的差異？抑或是估價人員運用土地開發分析法時，各項投入參數差異所產生？本研究以台北市公開標售成交地價與上市建設公司評估台北市地價分別分析，利用@Risk尋找土地開發分析法各項投入參數可能的機率分配型態，再以蒙地卡羅模擬分析建立土地開發分析價格的機率模型，並利用平均絕對百分比誤差（MAPE）、命中率（hit Rate）及交插驗證(cross-validation)做為機率模型預測估值優劣程度的衡量標準，比較「公開標售」組與「評估地價」組兩者機率模型何者預測能力。結果發現「評估資料」組的估值準確性較佳，「公開標售」組所建立之機率模型較不具預測效果。而三種適合度檢定之機率模型則是以A-D適合度檢定所建立之機率模型表現最佳(MAPE為14.98%，誤差±10% Hit-rate為38.46%，誤差±20% Hit-rate為71.43%)。本文透過機率模型的建立，考量不動產開發隱含之風險，呈現估值的結果由定值轉變為區間；考量不同估價人員或開發業者間，對於相同投入參數不同認知的情形；本模型將對地價敏感性較大之投入參數由定值轉為機率密度函數，較估價人員或開發業者主觀認定各項投入參數之變動更為客觀；可應用於大量估價，亦可作為估價人員或開發業者評估土地時，價格之參考 zh_TW dc.description.abstract (摘要) Land development analysis is one of the developers and valuers assessment of land price method, different practitioners, however, is often not the same for the valuation of the same subject, valuers bias caused by the difference in price? Or valuers use of the land development analysis, the various input parameters the differences? In this study, turnover in Taipei sale by public tender premium and public listed construction company to assess the land value of Taipei City were analyzed, Looking for land development analysis the probability distribution of possible input parameters using the @ Risk, useing Monte Carlo simulation analysis to establish the land development analysis of the price of the probability model, and using the mean absolute percentage error (MAPE), the hit rate and cross-validation as a probability model to predict the measure of the quality and extent of the valuation, "open auction” group and “assess the premium” group between the two probability model may be predictive ability. The results showed that the valuation accuracy of the assessment information group better probability model created by the sale by public tender group compared with no predictive effect. Three kinds of fit test of the probability model is based on the AD for degree verification to establish the probability model the best performing (MAPE of 14.98%, the error is ± 10% Hit-the rate is 38.46%, the error is ± 20% the Hit-the rate is 71.43% ). Through the establishment of the probability model, consider the real estate development implied the risk of showing the results of the valuation by the valuation change interval; considerations between the different valuation or development industry, for the same input parameters of different cognitive situations; this model will have premium The larger sensitivity of the input parameters from the given value to the probability density function over valuation or development industry subjective judgments more objective changes of the input parameters; can be applied to a large number of valuation, assessment of land may be used as the valuation or development industryWhen the reference price. 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 研究問題與方法 4第三節 資料來源、名詞定義與研究範圍 5第四節 研究架構與研究流程 7第二章 理論基礎與文獻回顧 9第一節 影響不動產價格形成之因素 9第二節 土地開法分析法 13第三節 風險與蒙地卡羅模擬分析 17第四節 小結 21第三章 土地開發分析法運用現況 22第一節 土地開發分析法理論與實務之差異 23第二節 不同業者間運用土地開發分析法之差異 27第三節 個案分析 32第四節 小結 42第四章 地價評估機率模型之建立 44第一節 機率變數機率分配適合度檢定 46第二節 機率模型建立與估值表現 48第五章 結論與建議 54第一節 結論 54第二節 建議 56參考文獻 zh_TW dc.format.extent 5093953 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096923025 en_US dc.subject (關鍵詞) 不動產估價 zh_TW dc.subject (關鍵詞) 土地開發分析法 zh_TW dc.subject (關鍵詞) 蒙地卡羅 zh_TW dc.subject (關鍵詞) valuation of real estate en_US dc.subject (關鍵詞) land development analysis en_US dc.subject (關鍵詞) Monte Carlo en_US dc.title (題名) 運用土地開發分析法建立地價評估機率模型 zh_TW dc.title (題名) The use of the land development analysis to establish the probability model of premium assessment en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. 王慶煌、馬婉容、黃明達、邱銓城，1993，「建築投資風險性報酬模式」，建築學報第八期，P.29-582. 王慶煌、馬婉容，1992，「建築投資報酬與風險之初步分析」3. 江青穗，1996，「土地開發之財務分析」，國立政治大學地政研究所，碩士論文4. 卓輝華，2007，「不動產估價」，台北，五南出版社5. 金家禾，1998，「土地開發分析法功能之研究」，經社法制論叢第二十二期6. 李泓見，2004，「台北都會區不同住宅類型及其面積價差之研究」，國立政治大學地政研究所，碩士論文7. 林育聖，2003，「建商商譽與產品訂價之差異分析」，國立政治大學地政研究所，碩士論文8. 徐士堯，2006，「土地開發分析法之探析」，土地問題研究季刊4卷2期9. 張芳玲，1997，「不動產評價模式特徵價格法與逼近調整法之比較」，住宅學報，5 期，頁17-35。10. 張金鶚，2007，「房地產投資與市場分析」，台北，華泰書局11. 張能政，2004，「不動產估價行為研究-行為理論之應用」，國立台北大學地政研究所，碩士論文12. 張義君，2002，「以數值方法評價商業不動產證券化」，國立政治大學財務管理研究所碩士論文13. 黃至民，2002，「利率可調整之不動產抵押貸款證券之評價與分析─CIR 利率模型與邏輯斯蹄提前還本模型之結合」，國立臺灣大學財務金融學研究所碩士論文14. 黃良充，2004，「土地開發分析法評估方式之探討」，土地問題研究季刊3卷3期15. 黃勝榮，1989，「不確定情況下台北市不動產開發投資決策之研究─蒙地卡羅模擬方法之運用」，國立政治大學地政研究所，碩士論文16. 游適銘，2006，不動產估價理論與實務，大日出版社17. 顏信輝、丁緯，2004，由心理學經驗法則關點探討盈餘預測之偏誤類型：併論盈餘水準之影響，「當代會計」，第五卷，第二期，第139-174 頁18. 蘇國榮，2003，「建設公司商譽對住宅價格影響之研究」，國立政治大學地政研究所，碩士論文19. Byren, P. & Cadman,D ,1984,”Risk, Uncertainty and Decision-making in Property Development”, London: E. & F.N.Spon.20. Cadman, D. and Austin-Crowe, L. ,1991, Property Development, London: E&F.N. Spon. 21. Colborne, A.& Hall, P.,1993,”The profits Method of Valuation”, Journal of Property Valuation & Investment, 11(2):43-4922. Sirmans, C. F. & Geoffrey K. Turnbull and Jonathan Dombrow, 2002,”Residential Development, Risk, And Land Prices”, Journal of Regional Science, 37(4):613-62823. Diaz, J., 1990a ,”How Appraisers Do Their Work: A Test of the Appraisal Process and the Development of a Descriptive Model＂, The Journal of Real Estate Research,5(1):1-15.24. Diaz, J., 1990b ,” The process of selecting comparable sales＂, The Appraisal Journal, 4:533~540.25. Downing, P. B.,1973, ” Factors Affecting Commercial Land Values: An Empirical Study of Milwaukee, Wisconsin, Land Economics” ,pp.44-56.26. Knight, Frank H.,1921,”Risk, Uncertainty, and Profit”27. Gallimore, P.,1996,“Confirmation Bias in the Valuation Process: a Test for Corroborating Evidence”, Journal of Property research, 13(4):261-73.28. Geoffrey, K. Turnbull and Jonathan Dombrow, C. F. Sirmans, 2006,“Big House, Little House: Relative Size and Value”, Real Estate Economics. 34(3):439-456.29. Hirshleifer, David, 2001, “Investor psychology and asset pricing”, Journal of Finance, 56:1533-1597.30. Kahneman, D. & Riepe, M.W., 1998, “Aspects of investor psychology”, Journal of Portfolio Management, summer,52-65.31. Kelliher, Charles F. and Mahoney, Lois S.,2000,,”Using Monte Carlo Simulation to Improve Long-Term Investment Decisions”, The Appraisal Journal, Jan, 68(1):44-56.32. Willis, K. G., 1980,”The Economics of Town and Country Planning, Granada Publishong Limited”33. Li, Ling Hin, 2000,”Simple Computer Applications Improve the Versatility of Discounted Cash Flow Analysis”, The Appraisal journal, 68:86-92 34. Lin, T. C. and Evan, A. W., 2000,“An Empirical Test of the Relationship between the Price of Land and Size of Plot”, Annual Meeting of American Real Estate Society, Santa Barbara, USA.35. Marshall, P. & Kennedy, C., 1993,”Development Valuation Techniques.”Journal of Property Valuation & Investment, 11(2):57-6636. Wolverton ,Marvin L., 1997,”Empirical study of the relationship between residential lot price, size and view” 15:48-5737. Millington, A.F., 1988,“An introduction to Property Valuation”, London: Estates Gazette.38. Morley, S. et al., 1989, Industrial and Business Space Development, London: E&F.N. Spon.39. Myers, D., 1994,”Economics and property”, London: Estates Gazette.40. Northcraft, G. B. and M. A. Neale ,1987,”Experts, Amateurs, and Real Estate: An Anchoring-and-Adjustment Perspective on Property Pricing Decisions＂,Organizational Behavior and Human Decision Processes, 39:84-97.41. PAUL THORSNES and DANIEL P. 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