| Summary: | 國外住宅租金普遍具有復歸性質，理性投資者應考慮此性質，於市場高峰期預期較低的未來租金成長率，而以較高資本化率進行評價，於市場谷底期預期較高的未來租金成長率，以較低的資本化率進行評價。故理性預期將導致市場波動穩定。近年相關研究發現，英國投資者對未來租金成長的預期相對較美國及澳洲的投資者理性，投資者理性程度可能具地區差異。本研究利用向量自我迴歸模型驗證台北地區住宅租金具有復歸性質。利用追蹤資料迴歸分析實證台北地區住宅資本化率資料，探討投資者是否具理性預期；研究發現投資者的評價未考慮租金的賦歸性質，不具理性預期，於市場租金低迷時期過於悲觀，於市場租金快速成長時期過於樂觀。此外，本研究探討投資者理性預期的地區差異，發現市場資訊流通較高的台北市，投資者預期相對較台北縣合理，其市場資本化率波動亦較穩定。顯示投資者理性程度對於住宅市場的穩定性具有重要意義。 === Housing rents are widely considered to be mean or trend reverting overseas. Rational investors should consider the reverting potential of rents so that they would expect lower / higher future rental growth rates at rental cyclic peaks / troughs, hence higher / lower capitalization rates. Investors with rationality could appropriately value their housing property, hence they help stability of housing market. Recent studies have found more rationality in the expectations of rental growth of English investors relative to the U.S. and Australian investors. In this study, we use a vector autoregression model to examine the reverting nature of housing rents in Taipei. We use a panel data regression analysis to explore the rationality of housing investors by examining the relationship between current rent level and capitalization rates. The empirical results suggest that investors were too pessimistic / optimistic while rent level is relatively low / high, they have not built the reverting nature of rents into their valuations / or their capitalization rates. Further, we have found more irrationality in Taipei County than that in Taipei City, as a result of the information sufficiency in Taipei City. Hence the volatility of capitalization rates in Taipei County is greater than in Taipei City, indicating that investor rationality plays an important role in housing market.
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