影響不動產報酬率之風險因素及其敏感度之研究

On the Factors Fluencing Real Esate Returns

本研究是基於套利定價理論（Arbitrage Pricing Theory，或APT）的基礎，應用已知經濟因素法的APT模式透過二階段迴歸，來分析台北地區住宅報酬率的風險因素及因素敏感度。研究期間是自76年1月至82年12月，又細分為前期（76.1～79.2），後期（79.3～82.12）。住宅報酬率共分為北市，北縣及大台北區三種。變數是採用APT未預期型態的因素來定義。包括未預期貨幣供給變動率、未預期美金匯率變動率、未預期海關出口值變動率、未預期通貨膨脹率、預期通貨膨脹率變動、未預期市場風險貼水、未預期利率期限結構及發行量加權股價指數報酬率等八個因素。研究發現：1.在全期及前期中不論北市、北縣、大台北區，未預期通貨膨脹率與未預期市場風險貼水均有顯著的影響，且其影響方向均為正向；2.在全期中，預期通貨膨脹率變動對北市、北縣及大台北區均有顯著的影響，且其影響方向均為正向；3.此模式對全期及前期均有很好的解釋能力，但對後期解釋力很弱；4.後期僅有未預期通貨膨脹率及未預期市場風險貼水對北縣住宅報酬率有影響力，北市及大台北區均無顯著影響之因素，且未預期通貨膨脹率的影響方向為負，故可能後期的住宅市場有了結構上的改變。

Within the framework of Arbitrage Pricing Theory, we employ the method used by Chen, Roll and Ross (1986) (a factors pre-specified method) to study the factors influencing the rate of returns of Taiwan's real estate. Following Chen, Roll and Ross, a two stage regression is used. The sample assets are the residential real estates in the Taipei metropolitan area. The data period is from January 1987 to December 1992. According to market conditions, we divided the study period into three sub period. The pre-specified factors are unexpected money supply, unexpected inflation, expected change of inflation, unexpected foreign exchange rate, unexpected risk premium, unexpected export, unexpected term structure change and the valued weighted stock index return. We found that (1) unexpected inflation and unexpected risk premium have significantly positive influence in the residential real estate returns; and (2) in different market conditions (boom or recession) and different areas, the influencing factors may change.