利用實質選擇模型來評估不動產價值與最適租金──以台北小套房為例

Applying the Concept of Real Options to the Pricing of Houses and Rent in Taipei

過往探討不動產價值的文獻，僅是從租金收益的單一角度去衡量不動產價值，並未以實質選擇權的角度來考慮未來不動產預期的出售價格，所以本研究是以實質選擇權的方法，同時考慮租金收益與未來預期的資本利得情況下，並且假設投資人在極大化自己財富，則評估出不動產的最適出售價值，再根據不動產的最適出售價值來估計不動產的實質價值與合理租金，並且探討不動產泡沫化程度。本研究發現租金與不動產價格的波動率越高，則不動產的實質價格會越大。當租金成長的速度小於不動產價格成長的速度，則會造成不動產的價格泡沫化。本研究根據台北市不動產資料為模擬基礎，發現台北市的租金價格可能被低估，也就是台北不動產的價格可能被高估。

This study not only focuses on fundamental models that derive the market housing price as a sum of the expected present value of rental income, but also focuses on real estate capital gains. This study applies the concept of real options to future housing prices, and uses the real options pricing model to price the houses. It assumes that the real estate investors are rational, that they will maximize their own wealth, and that they will then appraise the real estate in terms of the most suitable sales value, the real estate theoretical value and the extent of the real estate bubble. This study discovers that the higher is the rent and the volatility of real estate prices, then the higher will be the theoretical price of real estate. When the interest rate is lower, then the interest rate and the theoretical value of real estate will be negatively correlated. However, when the interest rate is rising over time, the interest rate and the real estate theoretical value will not necessarily have the same relevance. This study, which is based on Taipei real estate data, not only discovers that Taipei rental prices are underestimated, but also finds that Taipei real estate prices are overestimated.