待更新不動產之實質選擇權價值分析A Study on the Real Option Value of the Urban Redevelopment of Real Estate

本研究運用實質選擇權的概念，探討市場環境與都市更新制度對於待更新不動產選擇權價值與更新時機的影響，透過模型推導與台北市待更新不動產的模擬分析發現，當建築物殘餘耐用年數為20年時，參與都市更新雖可獲得正報酬，但納入租金不確定性風險後仍未達更新門檻，所有權人將不會提前更新。其次，若ㄧ個地區的預期租金成長率與其變異數較低(例如大同區與萬華區)，通常代表其市場未來發展不熱絡，此將抵銷容積獎勵誘因的效果，顯示市場發展性仍為影響更新政策能否有效推行的主因。待更新不動產實質選擇權價值與容積獎勵倍數、租金預期成長率、租金預期成長率變異數呈現正相關，與殘餘耐用年數、相關更新成本則為負相關。此外，殘餘耐用年數、租金預期成長率變異數、相關更新成本增加時會使更新門檻提高，使所有權人延後更新，但容積獎勵倍數提高則會降低更新門檻，使所有權人提前進行更新。不過，預期租金成長率過高或過低時，都將延後更新時機。
關鍵詞：實質選擇權、都市更新、待更新不動產、門檻價值

This study applies real option theory to analyze the influences of market conditions and urban redevelopment policies on the option value and optimal timing of the redevelopment of real estate.The simulation results reveal some interesting findings. Firstly, although the redevelopment project can generate positive revenue when the remaining economic life of the structure is twenty years,since the market rent can not reach the redevelopment hurdle value when considering the risk of rent uncertainty, the owners will not execute redevelopment project immediately. Secondly, a low expected rent appreciation rate and its variance (for example in Datong District and Wanhua District) implies that the market conditions are not good in the near future, and so the effect of the
bonus of the floor area ratio will be offset. Thirdly, the real option value of redevelopment real estate is positively correlated with the bonus of the floor area ratio, the expected rent appreciation rate and its variance, but is negatively correlated with the remaining economic life and redevelopment costrelated variables. Finally, an increase in the remaining economic life, the variance of the expected rent appreciation rate, and the redevelopment-cost related variables will delay the optimal timing of the redevelopment decision, but the effect of the bonus of the floor area ratio will be reversed.However, an either too high or too low expected rent appreciation rate will delay the optimal timing of redevelopment.
Key words: real option, urban redevelopment, redevelopment real estate, hurdle value