不動產開發選擇權時間價值比之實證分析

An Empirical Study on the Ratio of Time Value to Land Value

梁仁旭(Ren-Shiuh Liang)

《都市與計劃》 34卷1期 (2007/03) Pp. 1-12

https://doi.org/10.6128/CP.34.1.1

摘要

選擇權時間價值為未來收益不確定所產生之權利價值，Quigg(1993)、Sing and Patel(2001)及Anthony and Roger(2004)等以不同地區之資料實證推估，選擇權價值中時間價值比分別為6%至32%間。本文以台南市安南區九十年度至九十四年第二季之已開發及未開發住宅用不動產交易價格資料進行實證分析，除推估其選擇權時間價值佔土地價值比為11.96%外，並驗證梁仁旭(2005)土地時間價值於可開發地區越接近開發成熟階段、比值越低之推論。

關鍵字

實質選擇權 ； 選擇權價值 ； 土地價值 ； 土地開發

並列摘要

The time value of an option is primarily derived from future income uncertainty. Empirical results obtained by Quigg (1993), Sing and Patel (2001), and Anthony and Roger (2004) indicate that the ratios of time value to land value are 6-32%. This study empirically estimates the ratio of time value to land value for Tainan residential property transaction data during 2001-2005. Empirical results indicate that the ratio of time value to land value is 11.96% on average, and the ratio of time value to land value decreases over time as land development approaches completion.

並列關鍵字

Real option ； Option value ； Land value ； Land development

參考文獻

梁仁旭(2005)。土地選擇權時間價值之研究。都市與計劃。32(4)，427-442。

Anthony, Y. G.,Roger, E. C.(2004).Value of the option to develop residential land: An empirical estimate.Real Estate Review.34(4),60-66.

Dixit, A. K.,Pindyck, R. S.(1994).Investment Under Uncertainty.

Grenadier, S.R.(1996).The strategic exercise of option: development cascades and overboilding in real estate markets.Journal of Finance.51(5),1653-1679.

Quigg, L.(1993).Empirical testing of real option pricing models.Journal of Finance.48(2),621-640.