待更新不動產之實質選擇權價值分析

A Study on Real Option Value of Urban Redevelopment Real Estate

丁玟甄(WEN-CHEN TING)

指導教授 ： 彭建文

國立臺北大學/公共事務學院/不動產與城鄉環境學系/碩士(2008年)

摘要

為促進都市土地有計畫之再開發利用，復甦都市機能，改善居住環境，增進公共利益，政府陸續公布都市更新相關法令與獎勵措施，鼓勵公私部門共同參與都市更新事務之推動，此契機是否會使待更新不動產價值產生變化？
本研究認為從不動產持有人的立場來看，都市更新的推動會增加不動產持有人的投資決策彈性，並可透過實質選擇權的概念，探討市場環境與都市更新制度對於待更新不動產價值與更新時機的影響。透過台北市待更新不動產的模擬分析，發現當建築物殘餘耐用年數為20年時，參與都市更新雖可獲得正報酬，但納入租金不確定性風險後仍未達更新門檻，持有人將不會提前更新。其次，若ㄧ個地區的市場租金成長率與變異數較低(例如大同區與萬華區)，通常代表其市場未來發展不熱絡，此將抵銷容積獎勵誘因的效果，顯示市場發展性仍為影響更新政策能否有效推行的主因。此外，殘餘耐用年數、容積獎勵倍數、租金成長率變異數、以及租金折舊率增加時，會使選擇權價值增加，而更新門檻則會降低，並以殘餘耐用年數的影響最為顯著。交易成本、建築成本、以及貸款利率增加時，會使選擇權價值減少，並延後進行更新。租金成長率增加時選擇權價值會增加，但租金成長率過高或過低都將延後更新時機。
為更進ㄧ步了解目前市場交易價格是否已反映待更新選擇權的價值，本研究利用2000年至2007年台北市不動產實際交易資料進行實證分析，結果發現大部分行政區的屋齡與屋齡平方變數對不動產價格有顯著影響，內湖區、中正區、中山區、文山區、南港區、大安區、北投區與信義區等八個行政區的殘價比率線有反轉情況，其中內湖區、中正區、中山區、文山區與南港區的殘價比率線向前偏移，顯示都市更新確實會使得老舊不動產價格提升，但其提升幅度並不如預期般明顯。

關鍵字

實質選擇權 ； 都市更新 ； 待更新不動產

並列摘要

In order to promote a well-planned urban land redevelopment, revitalize urban functions, improve urban living environments, and to increase public interest, the government has continually declared laws to encourage private sectors to participate in urban redevelopment business. For the owners of real estate, urban redevelopment policies increase the flexibility of a real estate investment project. Will the value of the redevelopment real estate change?
This study analyzes the influences of market conditions and urban redevelopment policies on the value and optimal timing of renewal real estate via the concept of real option. The simulation results reveal that the renewal project can generate positive revenue when the remaining economic life of the structure is twenty years. However, since the market rent can not reach the redevelopment hurdle value when considering the risk of rent uncertainty, the owners will not execute the renewal project immediately. Moreover, if the rent appreciation rate and variance of rent are too low (for example in Datong District and Wanhua District), which also implies the market conditions will not be good in the near future, the additional building incentives of redevelopment policies will be decreased. We also find that remaining economic life, additional building bulk, variance of rent, and building depreciation are positively related to option value, but negatively related to the optimal timing. Transaction cost, construction cost, and interest rate are negatively related to option value, but positively related to the optimal timing. Finally, the appreciation rate of rent is positively related to option value, but either higher or lower than the average market level will delay the optimal timing.
To further examine whether the market transaction prices have reflected the option value of redevelopment policies, we use actual transaction data in Taipei city during 2000 to 2007 for empirical work. The results show that age and age square influence transaction prices significantly in most districts and the depreciation path will be convex instead of decreasing as the age of structure increase in Neihu, Zhongzheng, Zhongshan, Wenshan, Nangang, Daan, Beitou, and Xinyi district. The depreciation path moves leftward in Neihu, Zhongzheng, Zhongshan, Wenshan, and Nangang district which may reflect, though not as significant as expected, the positive influence of urban redevelopment policies on housing prices.

並列關鍵字

Real Option ； Urban Redevelopment ； Redevelopment Real Estate

參考文獻

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