從遠期契約和現貨的角度論預售屋和成屋的價格關係──以台北市為例

Applying the Theoretical Relationship Between Forward and Spot Prices to the Pre-sale and Existing Housing Markets - A Case in Taipei

本文的目的是利用期貨／現貨價格理論來探討預售屋價格和成屋價格間的關係。首先，應用特徵價格方程式均等化各住宅間的品質差異及地域性所造成的價格差異，經調整後具相同特質的預售差價格與成屋價格就可以相互比較。其次，再利用預期風險貼水的迴歸式，檢定基差中是否包含了投資者（或投機者）承接風險貼水的訊息，再進一步檢視Normal Backwardation理論是否成立。最後，從實證的結果發現：台北市的當期預售屋價格與成屋價格之差（基差）包含了預售屋市場投機者風險貼水的訊息；而Normal Backwardation理論在民國77年至78年之間的台北市房屋市場亦成立。換句話說，在77年至78年這一段期間內，敢於承擔風險的投機者，平均獲得約百分之四十的報酬率，並且，台北市區的預售屋投機者比台北市郊的預售屋投機者得到更多的預期報酬。

The purpose of this paper is to discuss the relationship between pre-sale and existing house prices by applying the theory of forward pricing. Because no two houses are just the same, this paper uses hedonic pricing equations to equalize the differences caused by the different housing characteristics, location and time trend, makes the prices of pre-sale and existing house under comparable situation (both have the same characteristics and location). Econometrically, expected risk premiums and basis are estimated by the results of the first-step hedonic regressions. Then, we test if the normal backwardation theory is supported in Taipei housing market. Finally, we find that the differeces between current presale prices and existing house prices actually contain the information about the premiums to the speculators in housing market, and the theory of normal backwardation is supported in Taipei housing market during 1988-1989. The speculators' gross returns rate was about 40% on average. The urban pre-sale housing market provided more returns than the suburban one did.