台灣不動產相關股票的價格與風險問題研究

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题名:	台灣不動產相關股票的價格與風險問題研究 A Research on the Price and Risk of Property-Related Stocks- A Taiwan Case
作者:	蔡品嫻 Tsai, Pin-hsien
贡献者:	財務金融學系
关键词:	資產股移動β法不動產不穩定系統風險報酬率產生過程 asset stock unstable systematic risk moving β real estate return generating process
日期:	2013-06
上传时间:	2013-10-29 14:28:00 (UTC+8)
摘要:	資產概念股在台灣是兼具投資與投機的類股，且通貨膨脹、土地重估、土地開發或經貿園區的題材都與其極為相關。但現今對於資產股其市場風險的研究，卻少有人提出。因此，本文主要是探討台灣資產股的系統風險及其股票報酬率的影響因素分析。在研究過程中，我們利用了營建類股作對照。本文研究發現，資產股相對於營建股在過去14年間有較高的月平均報酬率，但其風險卻較小，顯示出資產股相對於營建類股是較值得投資的。在影響資產及營建類股報酬率因素的部分，本文區分為風險因素、總體經濟因素及重大事件發生的部分。在風險部分，使用了每月移動平均β；在總體經濟因素方面，我們使用了消費者物價指數、隔夜拆款利率、匯率、貨幣供給額(M1B)以及台股大盤報酬率，研究結果發現，台股大盤對資產股報酬率有顯著正向的影響；利率變動率與匯率變動率對資產股報酬率則有顯著負向的影響。在重大事件方面，本文選取921集集大地震、SARS疫情、雷曼兄弟破產、日本311大地震及第13屆總統選舉，一共5項事件。研究結果發現，SARS疫情與雷曼兄弟破產事件，對資產股股票報酬率則有顯著負向的影響。 When a Taiwanese company has a lot of real estates, then the company's stock is normally called "asset stock". The thesis puts the focus on exploring the features of systematic risk and return on “asset stock”. Regarding with systematic risk of “asset stock”, there are several findings. Firstly, “asset stock” has a higher average rate of return but with less risk in the past 14 years. That is, “asset stock” is a relatively worthy investment, while compared with “construction stock”. Secondly, the systematic risk on “asset stock” is continuously changing but less volatile. Thirdly, the structural changes in unstable systematic risk on “asset stock” did exist at some particular time points, where big events happened. Therefore, the “big events” help us in explaining the dynamic process of “asset stock returns”. Factors affecting the assets stock return are divided into risk factors, economic factors and big events. In the risk section, the monthly moving average β is used. As for economic factors, the study uses the consumer price index, interest rate, exchange rate, money supply and the stock market index. The regression result shows, the rate of return on stock market has a significant positive impact on "asset stock return", while both interest rate and exchange rate have negative impacts on "asset stock return". Furthermore, the happenings of big events, such as SARs epidemic, and Lehman Brothers' Bankruptcy, hurt the "asset stock return" of the same month. Last but not least, “monthly moving β” is not important in explaining "asset stock returns”. The result remains the same whether the current monthly moving β or the previous month's moving β was used as an explanatory variable.
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