Default Option and Optimal Capital Structure in Real Estate Investment

房地產投資之違約選擇權與最適資本結構

周治邦(Jyh-Bang Jou) ； 李丹(Tan Charlene Lee)

《財務金融學刊》 25卷1期 (2017/03) Pp. 1-38

https://doi.org/10.6545/JFS.2017.25(1).1

摘要

This article investigates the determinants of optimal capital structure in real estate investment by using a real options framework. An investor chooses a purchase date and a loan-to-value (LTV) ratio that balances the tax shield benefit and the transaction costs. After the purchase, the investor acquires the option to default. Greater uncertainty in housing price inflation will enhance this option value such that the investor will purchase earlier and reduce debt financing. This is consistent with the recent U.S. experience in which high LTV ratios were observed before and low LTV ratios were observed around the subprime mortgage crisis.

關鍵字

Default ； optimal capital structure ； real estate investment ； real options ； transaction costs

並列摘要

本文採用實質選擇權的架構，探討房地產投資的最適資本結構決定因素。投資人選擇購買時點與房貸比例，以便平衡稅盾利益與交易成本。房價上漲不確定性越高，會提高投資人未來違約選擇權的價值，因而促使其提早購買房屋且減少貸款比例。此與美國近來在次級房貸危機爆發前，貸款比例較高，而在爆發時，貸款比例較低的狀況吻合。

並列關鍵字

違約 ； 最適資本結構 ； 房地產投資 ； 實質選擇權 ； 交易成本

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