Journal of Financial Studies Vol.7 No.2 August 1999 (29-62)
29
银行股票报酬与不动产市场之探讨 Bank Stock Return and Real Estate Market
卢秋玲 Chiuling Lu * National Chung Cheng University 国立中正大学 游雅芳 Ya-Fang Yu Diwan, Ersnt & Young 致远会计师事务所
摘
要
本研究目的乃在检测不动产市场报酬与银行经营绩效之敏感性,评估不动产报酬解释银 行报酬之能力.其实证结果显示,不论全体样本银行股票报酬或各类经营型态的样本银行股 票报酬,与大盘加权股价指数报酬皆存在高度的连动性,具有齐涨齐跌的现象.就全体样本 银行,公营商业银行而言,投资者投资银行股票,仍以大盘加权股价指数之涨跌为主要参考 依据,不动产景气与否只对民营商业银行股票报酬扮演著重要的角色,对民营专业银行则扮 演著若有似无的影响效果,至於公营专业银行股票报酬反应不动产市场则呈现不稳定的现象 . 此外,本文针对不同景气循环阶段进行分析,发现全体样本银行,公营商业银行及民营 商业银行之股票报酬,反应市场,利率及不动产风险状况,随著经济景气循环的波动,将会 产生结构性的差异,且其变异的主要来源为大盘加权股价指数的涨跌,当经济景气属於扩张 阶段时,银行股票报酬上涨(下跌)的幅度高於景气衰退阶段.至於不动产景气的变动,则 非造成此结构性差异的主因.
Abstract
This research develops a three-index model and examines the sensitivity of bank stock returns to real estate in Taiwan. In addition, we investigate whether this sensitivity changes across banks with different operating types and over expansion and contraction periods. Results indicate that for commercial banks operated by private sectors, real estate do play an important role in stock pricing. However, the major risk premium for the other banks comes from the market portfolio. For the whole sample and the sample of commercial banks, their risk characteristics change with market conditions. The sensitivity of bank stock returns to market portfolio increases during expansion tim e and decreases during contraction period. 关键词:银行股票,不动产放款,商业银行,专业银行,景气扩张,景气收缩 Keywords: Real Estate Market, Commercial Banks, Risk Premium
*
The corresponding author. Address: Department of Finance, National Chung Cheng University, Chia-Yi 621, Voice: (05)272-0411*6354, Fax:(05)2720818, e-mail: fincll@ccunix.ccu.edu.tw Thanks are due to an anonymous referee for helpful comments as well as participants at the 1999 Chinese Finance Association Annual Conference. Any remaining errors are ours.
30 Journal of Financial Studies Vol.7 No.2 August 1999 (29-62)
银行股票报酬与不动产市场之探讨
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