Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/28762
標題: 不動產證券化市場潛在投資需求因素之研究
A Study on the Potential Investment Demand Factors of the Real Estate Securitization Market
作者: 吳明哲
Jer, Wu Ming
關鍵字: Real Estate Securitization;不動產證券化;New Equilibrium Theory;Fuzzy Theory;Analytic Hierarchical Process;Fuzzy Analytic Hierarchical Process;新均衡理論;模糊理論;分析階層程序法;模糊分析階層程序法
出版社: 應用經濟學研究所
摘要: 
不動產證券化條例於2003年7月23日由總統發布實施,全國首宗不動產證券化商品亦於2004年6月10日正式掛牌上櫃,但由於不動產證券化商品在我國正處於導入期,潛在投資者之考量因素及投資意願視為此市場成功與否之重要關鍵,故本研究以潛在投資需求因素為主,同時考量總體因素,應用Ibbotson, Diermeier and Siegel於1984年所發表之資本市場新均衡理論(New Equilibrium Theory, NET)做為建立不動產證券化市場潛在投資需求因素之理論基礎,並分別由專家學者、業界及政府官員等三個層面,透過模糊分析階層程序法之評估分析,來建構投資者之投資決策模式及投資標的物排序,並進行敏感度分析以模擬各投資標的物排序之變化是否穩定,另利用複迴歸模式來求出影響不動產證券化潛在投資需求之顯著變數,提供不動產商品設計包裝、推出時機之參考準則,來滿足投資者之需求,並提供政府政策參考與未來法令修正之依據,以及一般投資大眾未來投資之參考,以活絡不動產市場及資本市場,帶動經濟成長。
本研究結果提出影響不動產證券化市場潛在投資需求因素分別為風險屬性之「相對市場風險、通貨膨脹風險、實質利率風險、殘差風險」以及非風險屬性之「稅負優惠性、次級市場流通性、市場資訊透明度、其它(如管理、維修等成本)」,並就我國不動產證券化條例規定之特性及國內外相關文獻,來分析不動產證券化後,投資需求因素變動對市場均衡所產生之影響效果,結果發現,在個別投資者方面,產生投資數量及投資者剩餘增加之現象;至於市場均衡方面,在原先相同報酬時,投資數量必增加,若要維持原來之投資數量,則報酬必需下降。另藉由複迴歸模式找出其顯著變數,結果發現有三項變數呈顯著關係,分別為風險屬性之通貨膨脹風險及非風險屬性之稅負優惠性、次級市場流通性,其中通貨膨脹風險與投資不動產證券化商品是呈負向影響,其餘兩項是呈正向影響;至於投資標的物投資意願排序方面,專家學者組及業界組一致認為「收費公共設施」之投資意願最高,而官員組則認為「商用辦公大樓」居先;整體則以「收費公共設施」之投資意願排序最高。

Recently, the Real Estate Securitization Act was promulgated on July 23, 2003 and the first beneficiary certificates of real estate securitization were posted on June 10, 2004 as well. Because the beneficiary certificates of real estate securitization are in the introductory phase in Taiwan, whether the real estate securitization market will succeed or not depends on the investors' consideration and willingness. Therefore, this study is, from the perspective of potential demand side, to establish theoretic foundation of the potential investment demand factors of the real estate securitization market based on the New Equilibrium Theory proposed by Ibbotson, Diermeier and Siegel in 1984. This study also investigates the evaluation and ranking of the potential investment demand factors of the beneficiary certificates.
With the consideration of the characteristics of the potential investment demand factors, the Fuzzy Analytic Hierarchical Process is applied in this study; the risk characteristics and non-risk characteristics of evaluation objectives are adopted to construct the evaluation framework where eight evaluation criteria and six beneficiary certificates are evaluated by the experts from academy, industries and government agencies to compare their willingness to invest. Furthermore, sensitivity analysis is also used to examine the stability of the ranking and multiple regression method is applied to inspect the significance of the potential investment demand factors of this market as the references of the design and marketing timing of beneficiary certificates in practice, the revision of the Act in the future for the government and the market investors to assist the development of the real estate market and capital market.
We classify the characteristics affecting the potential investment demand factors of the real estate securitization market into the risk characteristic and the non-risk characteristics. The results of the study conclude that the relative market risk, inflation risk, real interest rate risk and residual risk of the risk characteristics and incentive taxation, liquidity, information clarity and others (such as maintenance costs) of the non-risk characteristics are the effectively potential investment demand factors of the real estate securitization market. Based on the regulations of the Real Estate Securitization Act and related literatures, this study analyzes how changes of the investment demand factors affect market equilibrium after the real estate securitization, and concludes that: (1) both the investor's surplus and investment amount will increase for individual investor; (2) the investment amount will increase at the same returns; (3) the returns will decrease if the original investment amount is remained. By applying multiple regression method we find that inflation risk, incentive taxation and liquidity are significant factors of the potential investment demand in the real estate securitization market. Among them, inflation risk and the investment of real estate beneficiary certificates are negatively correlated and the other two variables are both positively related to the investment demand for real estate beneficiary certificates. Moreover, it is not statistically significant for the three groups of experts to rank preference of over six beneficiary certificates. However, the academic expert group and the industrial expert group both prefer investing in the chargeable public facilities while the government agent group prefers investing in the commercial buildings. As a whole, it is the most favorite to invest in the chargeable public facilities.
URI: http://hdl.handle.net/11455/28762
Appears in Collections:應用經濟學系

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