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題名 臺灣壽險業投資不動產決定因素與績效表現之研究
Real Estate Investment Decision Factor and Performance for the Taiwan Life Insurance Industry
作者 黃孝民
貢獻者 屠美亞
Twu, Mia
黃孝民
關鍵詞 壽險業資金運用
不動產投資
建設公司
追蹤資料回歸
事件研究法
Life Insurance Company
Real Estate Investment
Construction Company
Panel Data
Event Study
日期 2015
上傳時間 3-二月-2016 11:17:25 (UTC+8)
摘要 受到政府禁令、房價所得比達 8.41 倍以及房價租金比達全球之冠 64 倍的情況下，壽險業投資不動產是否具有比較利益值得深思，而鑒於不動產具有資訊不對稱的問題，是否壽險業者與建設公司的異業結盟會提升不動產投資的報酬亦為本研究探討的主題之一。本研究以追蹤資料回歸、事件分析法以及研究結果發現具有建設公司關係企業之壽險業者顯著具有較高的不動產投資比重，且不動產實際投資確實較不具建設公司關係企業之壽險業者報酬高。此外具有建設公司關係企業之壽險業者普遍有規模較大的趨勢，但在經營能力與獲利能力上卻無顯著突出。但無論有無建設公司關係企業之壽險業者在購買不動產時，市場皆無正面的反應，事件分析法顯示有無建設公司關係企業之壽險業者在累積異常報酬上皆具有顯著負報酬，此結果代表市場認為壽險業者投資於臺灣不動產並無超額報酬。但有建設公司關係企業之壽險業者在投資不動產時的股價反應較無建設公司關係企業之壽險業者來的好，顯示投資人仍認為具建設公司關係企業對於投資不動產有相對優勢。
In the circumstance of both price to rent ratio and price to income ratio have peaked at 8.41x and 64x, government prohibited Taiwan Life Insurance Company from real estate investment and implemented the law of registering the actual selling price of real estate, try to lower the house price and mitigate the problem of information
asymmetry. The rising question about Taiwan Life Insurance Company real estate investment performance and will the affiliation between life insurance and construction Company mitigate the problem of information asymmetry and further rising the return of real estate investment is the issues of the article. First, we provides the evidence that Taiwan Life Insurance Company would have higher real estate investment proportion and higher return when affiliated with Construction Company. Second, we find that Taiwan Life Insurance Company affiliated with Construction Company tend to have larger total asset than don’t affiliated with Construction Company. But the total asset turnover and return on equity show no evidence higher than don’t affiliate with Construction Company. Finally, the event study show negatively cumulative average return (CAR) when Life Insurance Company investing in real estate, but the Life Insurance Company affiliated with Construction Company will have higher CAR than not affiliated with.
參考文獻 Bailey, A. (1862). On the principles on which the funds of life assurance societies should be invested. The Journal of the Institute of Actuaries, 10, 142-147.
Campbell III, C. M., & Kamlani, K. S. (1997). The reasons for wage rigidity: evidence from a survey of firms. The Quarterly Journal of Economics, 759- 789.
Chaney, A., & Hoesli, M. (2010). The interest rate sensitivity of real estate. Journal of Property Research, 27(1), 61-85.
Constantinescu, M. (2010). What is the “duration” of Swiss direct real estate? Journal of Property Investment & Finance, 28(3), 181-197.
De Wit, D. (1996). Real estate portfolio management practices of pension funds and insurance companies in the Netherlands: a survey. Journal of Real Estate Research, 11(2), 131-148.
Fama, E. F., & Jensen, M. C. (1983). Agency problems and residual claims. Journal of law and Economics, 327-349.
Finkelstein, A., & Poterba, J. (2004). Adverse selection in insurance markets: Policyholder evidence from the UK annuity market. Journal of Political Economy, 112(1), 183-208.
Fisher, J., Gatzlaff, D., Geltner, D., & Haurin, D. (2004). An analysis of the determinants of transaction frequency of institutional commercial real estate investment property. Real Estate Economics, 32(2), 239-264.
Friedman, H. C. (1971). Real estate investment and portfolio theory. Journal of Financial and Quantitative Analysis, 6(02), 861-874.
Garmaise, M. J., & Moskowitz, T. J. (2004). Confronting information asymmetries: Evidence from real estate markets. Review of Financial Studies, 17(2), 405- 437.
Genesove, D. (1993). Adverse Selection in the Wholesale Used Car Market. Journal of Political Economy, 101(4), 644-665.
Georgiev, G., Gupta, B., & Kunkel, T. (2003). Benefits of real estate investment. The journal of portfolio management, 29(5), 28-33.
Hoesli, M., Lekander, J., & Witkiewicz, W. (2004). Real estate in the institutional portfolio: An international analysis. Ekonomiska Samfundets Tidskrift, 57(1- 2), 7-+.
Ibbotson, R. G., Sindelar, J. L., & Ritter, J. R. (1994). The market`s problems with the pricing of initial public offerings. Journal of Applied Corporate Finance, 7(1), 66-74.
Jensen, M. C. (1986). Agency cost of free cash flow, corporate finance, and takeovers. Corporate Finance, and Takeovers. American Economic Review, 76(2).
Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360.
Jensen, M. C., & Ruback, R. S. (1983). The market for corporate control: The scientific evidence. Journal of Financial Economics, 11(1), 5-50.
Ling, D. C., & Ryngaert, M. (1997). Valuation uncertainty, institutional involvement, and the underpricing of IPOs: the case of REITs. Journal of Financial Economics, 43(3), 433-456.
Maclean, J. B. (1932). Life insurance: McGraw-Hill.
Mayers, D., & Smith Jr, C. W. (1981). Contractual provisions, organizational structure, and conflict control in insurance markets. Journal of Business, 407- 434.
Mayers, D., & Smith Jr, C. W. (1988). Ownership structure across lines of property- casualty insurance. JL & Econ., 31, 351.
Mayers, D., & Smith Jr, C. W. (1994). Managerial discretion, regulation, and stock insurer ownership structure. Journal of risk and insurance, 638-655.
Muller III, K. A., Riedl, E. J., & Sellhorn, T. (2011). Mandatory fair value accounting and information asymmetry: Evidence from the European real estate industry. Management Science, 57(6), 1138-1153.
Ong, S.-E., & Yong, Y. (2000). Real estate exposure and asset intensity. Journal of Real Estate Portfolio Management, 6(1), 27-35.
Porter, R. H., & Sattler, P. (1999). Patterns of trade in the market for used durables: Theory and evidence: National bureau of economic research.
Quan, D. C., & Titman, S. (1999). Do real estate prices and stock prices move together? An international analysis. Real Estate Economics, 27(2), 183-207
Samuells, J. (2001). Putting knowledge management to work for real estate organizations. Real Estate Issues, 26(1), 35-38.
Wang, K., Chan, S. H., & Gau, G. W. (1992). Initial public offerings of equity securities: Anomalous evidence using REITs. Journal of Financial Economics, 31(3), 381-410.
Wells, B. P., Cox, L. A., & Gaver, K. M. (1995). Free cash flow in the life insurance industry. Journal of risk and insurance, 50-66.
Yin, J.-C. (2013). Analyzing How Insurance Company Invest in Fixed Income Product and Its Return by Cathay Life Insurance Case.

吳森田. (1994). 所得, 貨幣與房價-近二十年台北地區的觀察. 住宅學報 (2), 49-65.
張金鶚, & 章定. (2000). 從財務特徵分析建設公司投資土地之意向--以國泰建設 與國揚建設為例. 中華民國住宅學會第九屆年會 .
張金鶚, & 章定煊. (2001). 上市櫃建設公司績效評估與影響因素探討.
章定煊, & 張金鶚. (2005). 上市櫃建設公司土地投資與開發策略對經營績效影響之探討. 住宅學報 , 14(1), 41-65.
傅英芬. (2008). 通貨膨脹與台灣不動產相關類股動能現象之探討. 住宅學報 , 17, 35-62.
蔡政憲, & 王為倩. (2001). 銀行跨業兼營保險之模擬分析. Journal of Risk Management, 3(1), 71-97.
謝明瑞(2011)。台灣房價偏高及其對策之探討，台北安和扶輪社演講稿。
羅靖霖(2014)。投資性不動產採用公允價值入帳
描述 碩士
國立政治大學
財務管理研究所
102357035
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102357035
資料類型 thesis
dc.contributor.advisor 屠美亞zh_TW
dc.contributor.advisor Twu, Miaen_US
dc.contributor.author (作者) 黃孝民zh_TW
dc.creator (作者) 黃孝民zh_TW
dc.date (日期) 2015en_US
dc.date.accessioned 3-二月-2016 11:17:25 (UTC+8)-
dc.date.available 3-二月-2016 11:17:25 (UTC+8)-
dc.date.issued (上傳時間) 3-二月-2016 11:17:25 (UTC+8)-
dc.identifier (其他 識別碼) G0102357035en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/81115-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 102357035zh_TW
dc.description.abstract (摘要) 受到政府禁令、房價所得比達 8.41 倍以及房價租金比達全球之冠 64 倍的情況下，壽險業投資不動產是否具有比較利益值得深思，而鑒於不動產具有資訊不對稱的問題，是否壽險業者與建設公司的異業結盟會提升不動產投資的報酬亦為本研究探討的主題之一。本研究以追蹤資料回歸、事件分析法以及研究結果發現具有建設公司關係企業之壽險業者顯著具有較高的不動產投資比重，且不動產實際投資確實較不具建設公司關係企業之壽險業者報酬高。此外具有建設公司關係企業之壽險業者普遍有規模較大的趨勢，但在經營能力與獲利能力上卻無顯著突出。但無論有無建設公司關係企業之壽險業者在購買不動產時，市場皆無正面的反應，事件分析法顯示有無建設公司關係企業之壽險業者在累積異常報酬上皆具有顯著負報酬，此結果代表市場認為壽險業者投資於臺灣不動產並無超額報酬。但有建設公司關係企業之壽險業者在投資不動產時的股價反應較無建設公司關係企業之壽險業者來的好，顯示投資人仍認為具建設公司關係企業對於投資不動產有相對優勢。zh_TW
dc.description.abstract (摘要) In the circumstance of both price to rent ratio and price to income ratio have peaked at 8.41x and 64x, government prohibited Taiwan Life Insurance Company from real estate investment and implemented the law of registering the actual selling price of real estate, try to lower the house price and mitigate the problem of information
asymmetry. The rising question about Taiwan Life Insurance Company real estate investment performance and will the affiliation between life insurance and construction Company mitigate the problem of information asymmetry and further rising the return of real estate investment is the issues of the article. First, we provides the evidence that Taiwan Life Insurance Company would have higher real estate investment proportion and higher return when affiliated with Construction Company. Second, we find that Taiwan Life Insurance Company affiliated with Construction Company tend to have larger total asset than don’t affiliated with Construction Company. But the total asset turnover and return on equity show no evidence higher than don’t affiliate with Construction Company. Finally, the event study show negatively cumulative average return (CAR) when Life Insurance Company investing in real estate, but the Life Insurance Company affiliated with Construction Company will have higher CAR than not affiliated with.		en_US
dc.description.tableofcontents 目錄摘要............... i
Abstract........ ii
第一章 緒論...... 1
第一節 研究背景與動機 ................... 1
第二節 研究目的....................... 2
第三節 研究架構 ............ 3
第二章 文獻回顧與法規限制........................... 4
第一節 壽險業投資於不動產之誘因 ............. 4
第二節 不動產資訊不對稱問題 ................. 5
第三節 建設公司經營績效相關文獻探討 ............... 6
第四節 壽險業者投資代理問題 .................... 7
第五節 臺灣壽險業資金運用概況 .................... 8
第六節 現行臺灣壽險業者投資限制 .................. 16
第三章 研究方法.................. 21
第一節 變數說明與回歸模型設定 ................. 21
第二節 事件分析法 .................. 28
第三節 獨立樣本 T 統計檢定 ........... 32
第四章 實證結果................. 34
第一節 壽險業者不動產投資因素檢定 .......... 34
第二節 有無建設公司關係企業敘述統計分析 .... 37
第三節 建設公司關係企業影響不動產投資報酬檢定 ......... 41
第五章 結論與建議............. 45
第一節 結論與建議 ...... 45
第二節 研究限制 .......... 46
參考文獻.... 50		zh_TW
dc.format.extent 1627406 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102357035en_US
dc.subject (關鍵詞) 壽險業資金運用zh_TW
dc.subject (關鍵詞) 不動產投資zh_TW
dc.subject (關鍵詞) 建設公司zh_TW
dc.subject (關鍵詞) 追蹤資料回歸zh_TW
dc.subject (關鍵詞) 事件研究法zh_TW
dc.subject (關鍵詞) Life Insurance Companyen_US
dc.subject (關鍵詞) Real Estate Investmenten_US
dc.subject (關鍵詞) Construction Companyen_US
dc.subject (關鍵詞) Panel Dataen_US
dc.subject (關鍵詞) Event Studyen_US
dc.title (題名) 臺灣壽險業投資不動產決定因素與績效表現之研究zh_TW
dc.title (題名) Real Estate Investment Decision Factor and Performance for the Taiwan Life Insurance Industryen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bailey, A. (1862). On the principles on which the funds of life assurance societies should be invested. The Journal of the Institute of Actuaries, 10, 142-147.
Campbell III, C. M., & Kamlani, K. S. (1997). The reasons for wage rigidity: evidence from a survey of firms. The Quarterly Journal of Economics, 759- 789.
Chaney, A., & Hoesli, M. (2010). The interest rate sensitivity of real estate. Journal of Property Research, 27(1), 61-85.
Constantinescu, M. (2010). What is the “duration” of Swiss direct real estate? Journal of Property Investment & Finance, 28(3), 181-197.
De Wit, D. (1996). Real estate portfolio management practices of pension funds and insurance companies in the Netherlands: a survey. Journal of Real Estate Research, 11(2), 131-148.
Fama, E. F., & Jensen, M. C. (1983). Agency problems and residual claims. Journal of law and Economics, 327-349.
Finkelstein, A., & Poterba, J. (2004). Adverse selection in insurance markets: Policyholder evidence from the UK annuity market. Journal of Political Economy, 112(1), 183-208.
Fisher, J., Gatzlaff, D., Geltner, D., & Haurin, D. (2004). An analysis of the determinants of transaction frequency of institutional commercial real estate investment property. Real Estate Economics, 32(2), 239-264.
Friedman, H. C. (1971). Real estate investment and portfolio theory. Journal of Financial and Quantitative Analysis, 6(02), 861-874.
Garmaise, M. J., & Moskowitz, T. J. (2004). Confronting information asymmetries: Evidence from real estate markets. Review of Financial Studies, 17(2), 405- 437.
Genesove, D. (1993). Adverse Selection in the Wholesale Used Car Market. Journal of Political Economy, 101(4), 644-665.
Georgiev, G., Gupta, B., & Kunkel, T. (2003). Benefits of real estate investment. The journal of portfolio management, 29(5), 28-33.
Hoesli, M., Lekander, J., & Witkiewicz, W. (2004). Real estate in the institutional portfolio: An international analysis. Ekonomiska Samfundets Tidskrift, 57(1- 2), 7-+.
Ibbotson, R. G., Sindelar, J. L., & Ritter, J. R. (1994). The market`s problems with the pricing of initial public offerings. Journal of Applied Corporate Finance, 7(1), 66-74.
Jensen, M. C. (1986). Agency cost of free cash flow, corporate finance, and takeovers. Corporate Finance, and Takeovers. American Economic Review, 76(2).
Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360.
Jensen, M. C., & Ruback, R. S. (1983). The market for corporate control: The scientific evidence. Journal of Financial Economics, 11(1), 5-50.
Ling, D. C., & Ryngaert, M. (1997). Valuation uncertainty, institutional involvement, and the underpricing of IPOs: the case of REITs. Journal of Financial Economics, 43(3), 433-456.
Maclean, J. B. (1932). Life insurance: McGraw-Hill.
Mayers, D., & Smith Jr, C. W. (1981). Contractual provisions, organizational structure, and conflict control in insurance markets. Journal of Business, 407- 434.
Mayers, D., & Smith Jr, C. W. (1988). Ownership structure across lines of property- casualty insurance. JL & Econ., 31, 351.
Mayers, D., & Smith Jr, C. W. (1994). Managerial discretion, regulation, and stock insurer ownership structure. Journal of risk and insurance, 638-655.
Muller III, K. A., Riedl, E. J., & Sellhorn, T. (2011). Mandatory fair value accounting and information asymmetry: Evidence from the European real estate industry. Management Science, 57(6), 1138-1153.
Ong, S.-E., & Yong, Y. (2000). Real estate exposure and asset intensity. Journal of Real Estate Portfolio Management, 6(1), 27-35.
Porter, R. H., & Sattler, P. (1999). Patterns of trade in the market for used durables: Theory and evidence: National bureau of economic research.
Quan, D. C., & Titman, S. (1999). Do real estate prices and stock prices move together? An international analysis. Real Estate Economics, 27(2), 183-207
Samuells, J. (2001). Putting knowledge management to work for real estate organizations. Real Estate Issues, 26(1), 35-38.
Wang, K., Chan, S. H., & Gau, G. W. (1992). Initial public offerings of equity securities: Anomalous evidence using REITs. Journal of Financial Economics, 31(3), 381-410.
Wells, B. P., Cox, L. A., & Gaver, K. M. (1995). Free cash flow in the life insurance industry. Journal of risk and insurance, 50-66.
Yin, J.-C. (2013). Analyzing How Insurance Company Invest in Fixed Income Product and Its Return by Cathay Life Insurance Case.

吳森田. (1994). 所得, 貨幣與房價-近二十年台北地區的觀察. 住宅學報 (2), 49-65.
張金鶚, & 章定. (2000). 從財務特徵分析建設公司投資土地之意向--以國泰建設 與國揚建設為例. 中華民國住宅學會第九屆年會 .
張金鶚, & 章定煊. (2001). 上市櫃建設公司績效評估與影響因素探討.
章定煊, & 張金鶚. (2005). 上市櫃建設公司土地投資與開發策略對經營績效影響之探討. 住宅學報 , 14(1), 41-65.
傅英芬. (2008). 通貨膨脹與台灣不動產相關類股動能現象之探討. 住宅學報 , 17, 35-62.
蔡政憲, & 王為倩. (2001). 銀行跨業兼營保險之模擬分析. Journal of Risk Management, 3(1), 71-97.
謝明瑞(2011)。台灣房價偏高及其對策之探討，台北安和扶輪社演講稿。
羅靖霖(2014)。投資性不動產採用公允價值入帳		zh_TW