土地選擇權時間價值比之研究

On the Ratio of Time Value to Land Value

梁仁旭(Ren-Shiuh Liang)

《都市與計劃》 32卷4期 (2005/12) Pp. 371-386

https://doi.org/10.6128/CP.32.4.371

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)之實證研究中估計為6%，Sing and Patel (2001)的推估為16~29%，兩者差異頗大。本文依理論推述，時間價值比因計算基礎不同而有差異、且隨土地位處之開發成熟階段而變動。就時間價值佔選擇權價值比而言，其價值比可為100%~0%，故數額估計意義不大；另就時間價值佔土地價值百分比而言，其價值比則呈先增後減之變動，而於完全預期最適開發時機前，存在極限值。此外，於可開發地區土地越接近開發成熟階段、比值越低。

關鍵字

實質選擇權 ； 時間價值 ； 土地價值 ； 土地開發

並列摘要

The time value of an option is primarily derived from the uncertainty of future income. Estimates of the time value to land value ratio obtained in the literature vary substantially. For example, Quigg (1993) yields a 6% estimate, whereas Sing and Patel (2001) obtain estimates in the range of 16-29%. This study develops a model to explain the difference in the estimates of the ratio. Depending on the stages of land development and locations, time value can vary between 0-100% of the option value. The proposed model suggests that as a percentage of the land value, time value increases prior to the optimal development time under an assumption of perfect foresight, and decreases afterwards. Additionally, the percentage approaches zero as the land development approaches completion.

並列關鍵字

Real option ； Time value ； Land value ； Land development

參考文獻

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.Princeton, NJ:Princeton University Press.

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

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

Sing, T. F.(2001).Optimal timing of a real estate development under uncertainty.Journal of Property Investment and Finance.19(1),35-53.