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題名：從投資觀點以選擇權及風險貼水理論探討預售屋價格評估之研究
作者：陳俊合 引用關係
作者(外文)：Chun-Ho Chen
校院名稱：國立中興大學
系所名稱：都市計劃研究所
指導教授：謝潮儀
學位類別：博士
出版日期：1999
主題關鍵詞：預售屋；複合選擇權；風險貼水；共整合模型；誤差修正模型；Pre-sales House；Compound Option；Risk Premium；Cointegration Model；Error Correction Model
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(1) 專書(0) 專書論文(0)
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  • 點閱點閱:38
類似遠期市場或期貨交易之預售方式在台灣之房屋市場佔重要地位，國內自史綱(1992)於無套利市場均衡情況下推求預售屋之訂價模型後，陸續有若干文獻研究。本文之目的即針對相關文獻中尚未探討或仍待深入之論點[如分期付款方式之複利模型推導、預售屋與成屋之品質（特徵）價差、複合選擇權(compound option)考量因頭期款及工程期款等應繳款項之不同對預售屋隱含(implicit)之複合買權價值會導致何種結果？二項式複合選擇權理論如何推導預售屋多期複合買權之一般化評價模式？…等因素對預售屋價格評估之影響差異]加以探討，並對以往模型之推導提出修正與延伸。
另由於期貨理論上具有「價格發現」功能，因此類似遠期交易與期貨之預售屋，其價格波動是否提供對成屋價格有用資訊，且兩者關係為何，值得深入探討。本文另利用特徵價格(Hedonic Price)法固定異質性房地產之品質，使其能於均等化特徵基礎下比較其價格變動差異，進而由共整合與誤差修正模型(Cointegration & Error Correction Model)探討預售屋與成屋價格關係，並以台北都會區房屋市場之實際成交案例為實證，檢視預售屋與成屋價格間之變動趨勢，以釐清預售屋與成屋間之相互關係。經由本研究之探討，實證獲得台北都會區之預售屋價格與成屋價格間具共整合關係且為雙向因果關係。預售屋價格藉由價格評估模式之推演、相關影響因素之考量及其與成屋價格之因果關係將能更精確地加以評估其價值與變化趨勢。
The important trend of the housing market in Taiwan is the pre-sales housing system executed like merchandise transaction of futures or forward market. After Shih (1992) deduced the pricing model of the pre-sales house under no-arbitrage market equilibrium condition, several literatures about that topic were continuously studied. But some issues are deserved to deeply investigate. Those issues are the deduction of installment model with compounding interest rate, the different attribute prices between pre-sales house and existing house, and the influence of implicit compound call option of pre-sales house resulted from the initial payment and installment. The purpose of this paper is not only discussing above issues, but also rectifying and extending the valuation model of the pre-sales house.
Besides owing to the transaction of pre-sales house with the futures character and the futures with the function of "price-finding" theoretically, the price movement of the pre-sales house should also offer useful information to the price of the existing house. This paper is to fix the heterogeneity of real estate by dint of hedonic price method at first, further to investigate and test the relationship between the prices of the pre-sales house and the existing house in the Taipei Metropolitan by means of the Cointegration & Error Correction Model, and finally to identify the mutual relationship between the prices of the pre-sale and the existing houses. After this study, empirical investigation acquires the result that there is cointegration relationship and mutual causality between the prices of the pre-sales house and the existing house in Taipei Metropolitan. The value of the pre-sales house can be more precisely acquired by means of the deduction of valuation model, relative factors, and the causality between the pre-sales house and existing house.
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