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題名 房地產景氣對保險公司股價報酬之影響－台灣市場實證
Real Estate Sensitivity of Stock Returns--Evidence from Listed Insurance Companies in Taiwan
作者 謝維澤
貢獻者 鄧家駒
謝維澤
關鍵詞 房地產
日期 2001
上傳時間 18-Apr-2016 16:28:59 (UTC+8)
摘要 在「有土斯有財」的觀念下，國內保險公司對於不動產相關投資向來非常熱衷，佔資金運用比重亦明顯高於國外同業，保險法修正條文於90年6月26日三讀通過，將保險業不動產投資上限由現行資本額的百分之十九，再度放寬為百分之卅，希望為低迷的房地產市場注入新的活水。然而受到房地產不景氣的波及，保險公司面臨不動產跌價損失及逾放比攀升，是否因此增加經營風險，進而影響股價表現，值得進一步研究。
With the idea of "Property equal to wealth", Taiwan`s insurance company are always put a lots of interest in the real estate related investment. The percentage of the total investment in a Taiwan insurance company is also much higher than same type of companies in other countries. The bill was third vote passed on June 26, 2001, is going to raise the limitation of real estate investment percentage from 19% to 30%, hoping that can help the defeated real estate market. It is necessary to take a closer look to find out if the investment in real estate market will take more risk because of the losing value of the real estate and the bad debt, and further influent the performance of insurance companies` stock.
參考文獻 一、中文部分
1. 「保險業資金運用之研究」，保險事業發展中心，民國78年
2. 江朝國，「保險業之資金運用」，保險事業發展中心，民國88年7月
3. 林茂文，「時間數列分析與預測」，台北，華泰
4. 袁宗蔚，「保險學」，台北，三民
5. 張金鶚，「房地產投資與決策分析」，台北，華泰，民國86年7月
6. 張金鶚、洪慧燕、賴璧瑩、羅人仙、陳荔芬，「房地產景氣指標之研究」，國科會研究計劃，民國78年10月
7. 陳雲中，「保險學」，台北，五南
8. 廖咸興、李阿乙、梅建平，「不動產投資概論」，台北，華泰
9. 王健安，「房地產景氣與總體經濟景氣關係之研究」，政治大學地政所碩士論文，民國84年6月
10.宋榮晢，「金融機構股票報酬之利率風險衡量實證研究」，中興大學企管所碩士論文，民國84年6月
11.呂明珠，「利率變動對台灣上市銀行股票報酬及獲利之影響」，台灣大學財金所碩士論文，民國82年7月
12.李虹瑾，「壽險業資金投入不動產市場之方式與模擬投資組合績效評估」，政治大學保研所碩士論文，民國87年7月
13.徐有維，「利率及利率波動對銀行股票超額報酬之影響—GARCH-M模型之應用」，高雄第一科技大學金融所碩士論文，民國87年7月
14.張佩湘，「壽險公司可用資金之結構分析」，政治大學保研所碩士論文，民國86年6月
15.張欣惠，「利率變動對台灣上市銀行股價之影響—二因子模型之實證研究」，東海大學管研所碩士論文，民國86年5月
16.陳文燦，「利率變動對股票價格影響之實證研究」，政治大學企管所碩士論文，民國76年6月
17.陳忠勤，「利率變動對銀行價值影響之研究」，中興大學企管所碩士論文，民國81年6月
18.游岩星，「上市銀行普通股報酬之利率敏感性分析—期限差距假說的檢定」，台灣大學財金所碩士論文，民國82年6月
19.曾雅梅，「我國壽險業從事房貸業務之研究」，政治大學保研所碩士論文，民國85年6月
20.黃淑芳，「上市保險公司股票報酬之利率敏感性—台灣市場之實證」，逢甲大學保險所碩士論文，民國89年7月
21.葉純言，「上市銀行股票報酬之利率敏感性分析」，淡江大學管科所碩士論文，民國84年7月
22.蔣榮源，「壽險公司資金運用於不動產投資之研究」，政治大學保研所碩士論文，民國83年5月
23.羅國南，「台灣房地產景氣與股價關係性之研究」，中興大學企研所碩士論文，民國80年6月
二、英文部分
1. Akella, Srinivas R., and Su-Jane Chen,“Interest Rate Sensitivity of Bank Stock Returns: Specification Effects and Structural Changes”, Journal of Financial Research, Vol. 13, Summer 1990, pp.147~154.
2. Bae, Sung C. ,“Interest Rate Changes and Common Stock Returns of Financial Institution:Revisited” , Journal of Financial Research, Vol. 13, No. 1, Spring 1990, pp.71~79.
3. Booth, J. R., D. Tennis Officer,“Expectations, Interest Rates, and Commerial Bank Stocks”, Journal of Financial Research, Spring 1984, pp51~58.
4. Booth, J. R., D. T. Officer, and Glenn V. Henderson,“Commercial Bank Stocks, Interest Rates, and Systematic Risk”, Journal of Economics & Business, Vol. 37, Dec 1985, pp.303~310.
5. Brewer, Elijah, and Cheng Few Lee,“An Intra-cyclical Analysis of the Risk Sensitivity of Bank Stock Returns”,Quarterly Journal of Business & Economics, Vol. 29, Autumn 1990, pp.125~143.
6. Chance, D. M., and W. R. Lane,“A Re-Examination of Interest Rate Sensitivity in the Common Stock of Financial Institutions”, Journal of Financial Research, Vol. 13, Spring 1980, pp.49~56.
7. Chen, Carl R., and Chan,“Interest Rate Sensitivity, Asymmetry, and the Stock Returns of Financial Institutions”, Financial Review, Vol.24, Aug 1989, pp.457~473.
8. Ferson, W. E.,“Changes in Expected Security Returns, Risk, and the level of Interest Rates”, The Journal of Finance, Vol. XLIV, No.5, December 1989, pp.1191~1217.
9. Flannery, Mark J., and Christopher M. James,“The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions”, The Journal of Finance, Vol.39. No. 4, September 1984, pp.1141~1153.
10. He, Ling T., F. C. Neil Myer, and James R. Webb,“The Sensitivity of Bank Stock Returns to Real Estate”, Journal of Real Estate Finance and Economics, Vol.12, 1996, pp203~220.
11. Kallberg, Jarl C., Crocker H. Liu and D. Wylie Greig,“The Role of Real Estate Investment in Insurance Company Portfolios” , The financial dynamics of the Insurance Industry, pp. 379~399.
12. Kohers, Theodor, and Robert Nagy,“An Examination of the Interest Rate Sensitivity of Commercial Bank Stock”, Review of Financial Economics, Vol. 1, Fall 1991, pp23~34.
13. Liu, Crocker H., and Jianping Mei,“The Predictability of Returns on Equity REITs and Their Co-movement with other assets”, Journal of Real Estate Finance and Economics, Vol. 5,1992, pp.400~418.
14. Lloyd, W. P., and R. A. Shick,“A Test of Stone’s Two Index Model of Return”, Journal of Financial and Quantitative Analysis, Vol. 11, Sept 1977, pp363~376.
15. Lynge, Morgan J., and J. Kenton Zumwalt,“An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-index Approach”, Journal of Financial and Quantitative Analysis ,Vol. 15, No.3, Sept 1980, pp731~742.
16. Mei, Jianping and Ahyee Lee,“Is Three a Real Estate Factor Premium”, Journal of Real Estate Finance and Economics, Vol. 9, 1994, pp.113~126.
17. Mei, Jianping, and Anthony Saunders,“Bank Risk and Real Estate: An Asset Pricing Perspective”, Journal of Real Estate Finance and Economics, Vol. 10, 1995, pp.199~224.
18. Mei, Jianping, and Anthony Saunders,“The Time-Variation of Risk Premiums on Insurance Company Stock”, The financial dynamics of the Insurance Industry, pp. 399~425.
19. Neuberger, Jonathan A.,“Risk and Return in Banking: Evidence from Bank Stock Returns” Economic Review. Fall 1991, pp18~30.
20. Stone, Bernell K.,“Systemic Interest Rate Risk in a Two-index Model of Returns” Journal of Financial and Quantitative Analysis. Nov 1974, pp.709~721.
21. Sweeney Richard J. and Arthur D. Warga,“The Pricing of Interest Rate Risk: Evidence from the Stone Model”, The Journal of Finance, June 1986, pp. 393~410.
22. Yourougou, Pierre,“Interest Rate Risk and the Pricing of Depository Financial Intermediary Common Stock: Empirical Evidence”, The Journal of Banking & Finance, Vol. 14, Oct 1990, pp.803~820.
描述 碩士
國立政治大學
風險管理與保險研究所
87358022
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001476
資料類型 thesis
dc.contributor.advisor 鄧家駒zh_TW
dc.contributor.author (Authors) 謝維澤zh_TW
dc.creator (作者) 謝維澤zh_TW
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:28:59 (UTC+8)-
dc.date.available 18-Apr-2016 16:28:59 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:28:59 (UTC+8)-
dc.identifier (Other Identifiers) A2002001476en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85425-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 87358022zh_TW
dc.description.abstract (摘要) 在「有土斯有財」的觀念下，國內保險公司對於不動產相關投資向來非常熱衷，佔資金運用比重亦明顯高於國外同業，保險法修正條文於90年6月26日三讀通過，將保險業不動產投資上限由現行資本額的百分之十九，再度放寬為百分之卅，希望為低迷的房地產市場注入新的活水。然而受到房地產不景氣的波及，保險公司面臨不動產跌價損失及逾放比攀升，是否因此增加經營風險，進而影響股價表現，值得進一步研究。zh_TW
dc.description.abstract (摘要) With the idea of "Property equal to wealth", Taiwan`s insurance company are always put a lots of interest in the real estate related investment. The percentage of the total investment in a Taiwan insurance company is also much higher than same type of companies in other countries. The bill was third vote passed on June 26, 2001, is going to raise the limitation of real estate investment percentage from 19% to 30%, hoping that can help the defeated real estate market. It is necessary to take a closer look to find out if the investment in real estate market will take more risk because of the losing value of the real estate and the bad debt, and further influent the performance of insurance companies` stock.en_US
dc.description.tableofcontents 封面頁
證明書
致謝詞
論文摘要
目錄
圖表目錄
第一章 緒論
1.1 研究動機與目的
1.2 研究架構與流程
第二章 保險業資金來源與運用
2.1 保險業可運用資金之構成
2.2 保險業資金運用原則與限制
2.3 我國保險業歷年資金運用情形
2.4 國內外壽險資金運用之比較
第三章 房地產市場與保險經營
3.1 房地產的定義與特性
3.2 台灣房地產發展過程
3.3 房地產市場資金來源
3.4 我國保險法不動產投資規定立法沿革
3.5 不動產與保險業經營之探討
3.6 文獻探討
第四章 研究設計與方法
4.1 研究方法
4.2 資料選取與變數定義
4.3 研究假設與研究限制
第五章 實證結果與分析
5.1 相關性分析
5.2 三因子模型實證結果與分析
5.3 房地產敏感性之差異分析
5.4 景氣變動下之差別分析
第六章 結論與建議
6.1 研究結論
6.2 研究建議
參考文獻
附錄		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001476en_US
dc.subject (關鍵詞) 房地產zh_TW
dc.title (題名) 房地產景氣對保險公司股價報酬之影響－台灣市場實證zh_TW
dc.title (題名) Real Estate Sensitivity of Stock Returns--Evidence from Listed Insurance Companies in Taiwanen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部分
1. 「保險業資金運用之研究」，保險事業發展中心，民國78年
2. 江朝國，「保險業之資金運用」，保險事業發展中心，民國88年7月
3. 林茂文，「時間數列分析與預測」，台北，華泰
4. 袁宗蔚，「保險學」，台北，三民
5. 張金鶚，「房地產投資與決策分析」，台北，華泰，民國86年7月
6. 張金鶚、洪慧燕、賴璧瑩、羅人仙、陳荔芬，「房地產景氣指標之研究」，國科會研究計劃，民國78年10月
7. 陳雲中，「保險學」，台北，五南
8. 廖咸興、李阿乙、梅建平，「不動產投資概論」，台北，華泰
9. 王健安，「房地產景氣與總體經濟景氣關係之研究」，政治大學地政所碩士論文，民國84年6月
10.宋榮晢，「金融機構股票報酬之利率風險衡量實證研究」，中興大學企管所碩士論文，民國84年6月
11.呂明珠，「利率變動對台灣上市銀行股票報酬及獲利之影響」，台灣大學財金所碩士論文，民國82年7月
12.李虹瑾，「壽險業資金投入不動產市場之方式與模擬投資組合績效評估」，政治大學保研所碩士論文，民國87年7月
13.徐有維，「利率及利率波動對銀行股票超額報酬之影響—GARCH-M模型之應用」，高雄第一科技大學金融所碩士論文，民國87年7月
14.張佩湘，「壽險公司可用資金之結構分析」，政治大學保研所碩士論文，民國86年6月
15.張欣惠，「利率變動對台灣上市銀行股價之影響—二因子模型之實證研究」，東海大學管研所碩士論文，民國86年5月
16.陳文燦，「利率變動對股票價格影響之實證研究」，政治大學企管所碩士論文，民國76年6月
17.陳忠勤，「利率變動對銀行價值影響之研究」，中興大學企管所碩士論文，民國81年6月
18.游岩星，「上市銀行普通股報酬之利率敏感性分析—期限差距假說的檢定」，台灣大學財金所碩士論文，民國82年6月
19.曾雅梅，「我國壽險業從事房貸業務之研究」，政治大學保研所碩士論文，民國85年6月
20.黃淑芳，「上市保險公司股票報酬之利率敏感性—台灣市場之實證」，逢甲大學保險所碩士論文，民國89年7月
21.葉純言，「上市銀行股票報酬之利率敏感性分析」，淡江大學管科所碩士論文，民國84年7月
22.蔣榮源，「壽險公司資金運用於不動產投資之研究」，政治大學保研所碩士論文，民國83年5月
23.羅國南，「台灣房地產景氣與股價關係性之研究」，中興大學企研所碩士論文，民國80年6月
二、英文部分
1. Akella, Srinivas R., and Su-Jane Chen,“Interest Rate Sensitivity of Bank Stock Returns: Specification Effects and Structural Changes”, Journal of Financial Research, Vol. 13, Summer 1990, pp.147~154.
2. Bae, Sung C. ,“Interest Rate Changes and Common Stock Returns of Financial Institution:Revisited” , Journal of Financial Research, Vol. 13, No. 1, Spring 1990, pp.71~79.
3. Booth, J. R., D. Tennis Officer,“Expectations, Interest Rates, and Commerial Bank Stocks”, Journal of Financial Research, Spring 1984, pp51~58.
4. Booth, J. R., D. T. Officer, and Glenn V. Henderson,“Commercial Bank Stocks, Interest Rates, and Systematic Risk”, Journal of Economics & Business, Vol. 37, Dec 1985, pp.303~310.
5. Brewer, Elijah, and Cheng Few Lee,“An Intra-cyclical Analysis of the Risk Sensitivity of Bank Stock Returns”,Quarterly Journal of Business & Economics, Vol. 29, Autumn 1990, pp.125~143.
6. Chance, D. M., and W. R. Lane,“A Re-Examination of Interest Rate Sensitivity in the Common Stock of Financial Institutions”, Journal of Financial Research, Vol. 13, Spring 1980, pp.49~56.
7. Chen, Carl R., and Chan,“Interest Rate Sensitivity, Asymmetry, and the Stock Returns of Financial Institutions”, Financial Review, Vol.24, Aug 1989, pp.457~473.
8. Ferson, W. E.,“Changes in Expected Security Returns, Risk, and the level of Interest Rates”, The Journal of Finance, Vol. XLIV, No.5, December 1989, pp.1191~1217.
9. Flannery, Mark J., and Christopher M. James,“The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions”, The Journal of Finance, Vol.39. No. 4, September 1984, pp.1141~1153.
10. He, Ling T., F. C. Neil Myer, and James R. Webb,“The Sensitivity of Bank Stock Returns to Real Estate”, Journal of Real Estate Finance and Economics, Vol.12, 1996, pp203~220.
11. Kallberg, Jarl C., Crocker H. Liu and D. Wylie Greig,“The Role of Real Estate Investment in Insurance Company Portfolios” , The financial dynamics of the Insurance Industry, pp. 379~399.
12. Kohers, Theodor, and Robert Nagy,“An Examination of the Interest Rate Sensitivity of Commercial Bank Stock”, Review of Financial Economics, Vol. 1, Fall 1991, pp23~34.
13. Liu, Crocker H., and Jianping Mei,“The Predictability of Returns on Equity REITs and Their Co-movement with other assets”, Journal of Real Estate Finance and Economics, Vol. 5,1992, pp.400~418.
14. Lloyd, W. P., and R. A. Shick,“A Test of Stone’s Two Index Model of Return”, Journal of Financial and Quantitative Analysis, Vol. 11, Sept 1977, pp363~376.
15. Lynge, Morgan J., and J. Kenton Zumwalt,“An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-index Approach”, Journal of Financial and Quantitative Analysis ,Vol. 15, No.3, Sept 1980, pp731~742.
16. Mei, Jianping and Ahyee Lee,“Is Three a Real Estate Factor Premium”, Journal of Real Estate Finance and Economics, Vol. 9, 1994, pp.113~126.
17. Mei, Jianping, and Anthony Saunders,“Bank Risk and Real Estate: An Asset Pricing Perspective”, Journal of Real Estate Finance and Economics, Vol. 10, 1995, pp.199~224.
18. Mei, Jianping, and Anthony Saunders,“The Time-Variation of Risk Premiums on Insurance Company Stock”, The financial dynamics of the Insurance Industry, pp. 399~425.
19. Neuberger, Jonathan A.,“Risk and Return in Banking: Evidence from Bank Stock Returns” Economic Review. Fall 1991, pp18~30.
20. Stone, Bernell K.,“Systemic Interest Rate Risk in a Two-index Model of Returns” Journal of Financial and Quantitative Analysis. Nov 1974, pp.709~721.
21. Sweeney Richard J. and Arthur D. Warga,“The Pricing of Interest Rate Risk: Evidence from the Stone Model”, The Journal of Finance, June 1986, pp. 393~410.
22. Yourougou, Pierre,“Interest Rate Risk and the Pricing of Depository Financial Intermediary Common Stock: Empirical Evidence”, The Journal of Banking & Finance, Vol. 14, Oct 1990, pp.803~820.		zh_TW