住宅增值參與證券之定價模型

Pricing Model for Home Appreciation Participation Notes

本文為“住宅增值參與證券”設計更具彈性且符合實務之定價模型及推導出“均衡屋主持分率”，以順暢投資者與購屋者各取所需之交易平台。本文應是首先將“房產持有期間”設為隨機變數，並按實際房屋售價的落點，設計投資者“階段式分配”房價漲跌盈虧的機制，置入於HAPNs定價模型的文章。如此可排除既有之類似商品“分享增值抵押貸款”（Shared Appreciation Mortgages）所導致“投資不足”及“道德風險”的問題。本文並針對投資者分配盈虧比率及無風險利率等關鍵參數，對於HAPNs價值與“均衡屋主持分率”的影響，進行比較靜態分析。模擬結果將有助於HAPNs市場化的持續發展。

We propose a pricing model for Home Appreciation Participation Notes (HAPNs) to efficiently promote the HAPNs transaction platform. In addition to housing prices and interest rates, our paper may be the first to consider the “house-holding period” as a stochastic process in pricing HAPNs. Another feature of our model is the design of the stratified sharing scheme for HAPNs investors to share the cash flows after house owners sell the houses, thereby mitigating the concerns with underinvestment and moral hazard embedded in Shared Appreciation Mortgages (SAMs). We simulate the impact of key parameters or determinants on the value of ex-ante HAPNs to investors and house owners' “optimal sharing percentages”. Our simulation results can shed light on the implementation of securitization in the real estate market and the future development of the HAPNs market in Taiwan.