景氣對策信號對台灣房地產之研究

The Study of the Relationship between the Monitoring Indicators and Real Estate Market in Taiwan

何肇榮(Chao-Rung Ho)

指導教授 ： 陳若暉

中原大學/商學院/企業管理學系/碩士(2006年)

https://doi.org/10.6840/cycu200600303

摘要

本研究探討從1996年到2005年以來景氣對策信號對台灣股票報酬的衝擊。並使用事件研究法檢視不同的產業，包括：水泥、鋼鐵、營建和玻璃陶瓷產業。在經濟景氣對策信號和房地產景氣對策信號發佈後，檢視各公司股票存有正異常報酬的現象。其次，本研究運用卜瓦松迴歸模型和負二項迴歸模型審視是否財務特徵、財政因素，和市場特徵會影響正異常報酬的家數。
結果支持傳統假說並指出燈號轉換與顯著異常報酬的正確頻率，可導致景氣對策信號發佈後的預測正確性增強。另本研究發現兩景氣對策信號發佈時，財務特徵如房地產貸款、殖利率、和股價淨值比；財政因素如土地增值稅和建築執照；以及市場特徵如租金和股票價格指數，均扮演顯著解釋正異常報酬現象之重要角色。購屋者如能獲得優惠房貸，因較低的財務負擔，較易解決購屋的問題，卻可能導致營建業之建築過剩使空屋率增加。減少土地增值稅使政府土地增值稅收入降低，卻有利公司財務績效的改善。建築材料成本的增加所引發的高鋼鐵價格，可能妨礙不動產市場的發展，並減少異常報酬。結果亦指出即使金融市場短缺資本，貨幣供給量與正異常報酬家數仍呈現負相關。

關鍵字

異常報酬 ； 負二項模型 ； 對策信號

並列摘要

This study aims at investigating the impact of Business Monitoring Indicators on stock returns in Taiwan from 1996 to 2005. This paper uses the event study to check in different industries including cement, steel, construction, and glass-ceramics industries having positive abnormal returns after Economic Monitoring Indicators and Real Estate Monitoring Indicators being released. Next, by using Poison regression model and Negative Binominal Regression model this paper tries to examine whether categories of financial characteristics, fiscal factors, and market characteristics affect the number of positive abnormal returns.

The results support the conventional wisdom that lights transfer and correct frequencies with significant abnormal returns lead to predicting accuracy after releasing monitoring indicators. Subsequently, this study revealed that financial characteristics such as real estate loan, yields, and stock price to net worth; fiscal factors such as land increment tax and permits; and market characteristics such as rent and stock price index play a statistically significant role in explaining positive abnormal return for releasing both monitoring indicators. Interestingly, we found that buyers bought houses easily due to lower financial burden if they could obtain favor loans. However, it may lead construction industry to build excess houses and increase in vacant houses rates. Land increment tax cut makes the government with less increment revenue that benefits companies to improve their financial performance. High steel price which increases in building material costs may impede the development of real estate market and reduce abnormal return. Our results also indicate that money supply is negatively related to the number of positive abnormal returns, even though financial market is short of capital.

並列關鍵字

Monitoring Indicators ； Negative Binominal Model ； Abnormal returns

參考文獻

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