【作者】 王媛；

【导师】 贾生华；

【作者基本信息】 浙江大学 ， 企业管理， 2012， 博士

【摘要】 房地产业支撑了我国过去20年的快速城市化进程,但在此过程中,出现了城市政府闲置土地储备、开发商土地闲置、“少量多批”式销售等以延迟商品房供应为特征的短期逐利行为,土地供应无法马上转化为有效的商品房供应,形成供应方挟持市场之势,加速了房价上涨。上述现象在本质上是投资者时机决策的结果,实物期权理论能够有效刻画和解释这种行为。但与海外成熟市场不同,在中国,房地产市场一直伴随着密集的宏观调控,在独特的土地储备制度、商品房分期预售制度下,市场力量与政府力量的持续博弈使得投资时机决策显示出与众不同的特点,国外的已有研究无法直接描述和解决这种特殊体制下衍生出的问题。因此,无论从现实意义还是理论发展的需要来看,都要求对我国土地与商品房供应时机问题的深入分析。从实物期权理论的发展沿革来看,经历了三个发展阶段：一是标准的实物期权理论,二是考虑竞争因素的期权博弈理论,三是不完全信息的期权博弈理论。本文以实物期权理论的三个发展阶段为逻辑主线,在相互联系、逐步深化的三个理论框架下分析中国房地产市场的供应时机选择行为。对应的三种时机选择行为构成了本文的第二条线索,即政府经营性土地出让、开发商土地开发、项目分期销售的时间顺序线索。所建立的理论模型重点关注我国的城市政府供应土地、房地产市场的政策干预、商品房分期预售等特有的制度因素与已有分析框架的整合,从而推导出待验证的理论假说。基于生存分析的方法,利用杭州市的微观数据进行经验研究,为上述理论假说提供经验证据。根据理论和经验研究结论,揭示我国土地出让、开发与房地产分期销售的时机决策机制。本文的主要工作和结论可分为三部分：第一,城市政府的经营性土地出让时机决策。中国城市土地储备制度使得城市政府可以通过决定土地出让时机而影响土地市场。在追求经营性土地收入最大化的假定下,本文将城市政府假定为一个垄断供应商,从实物期权理论的视角建立了城市政府土地出让决策模型,所得的主要推测是,市场不确定性的提高将延迟土地出让的最优时机。基于生存分析模型的经验研究采用杭州市的243宗地块样本,考察了土地出让时机的影响因素。研究发现,市场不确定性提高1个标准差将使得土地出让的可能性降低42%。上述结果验证了地方政府出让土地的时机决策符合实物期权规律,可以为中央政府解决城市政府闲置土地储备供应的问题提供政策依据。第二,开发商的项目开发时机决策。土地闲置问题已成为我国房地产市场症状之一。本文将政策不确定性纳入标准实物期权理论框架,为中国式的房地产项目开发决策提供了一个理论解释。基于生存分析模型的经验研究采用了杭州市主城区的784个分期开发的住宅项目作为样本,考察了样本预售时机的影响因素。结果显示,预期政策环境好时,M2同比增速波动率和央票一年期利率波动率每提高1单位标准差,开发商开发土地的可能性分别降低13.91%和16.58%,也就是说,预期政策环境好时,政策不确定性延迟了土地开发；而预期政策环境差时,央票一年期利率波动率提高1单位标准差,开发商开发土地的可能性提高9.76%,也就是说,这时政策不确定性加速了土地开发。而市场不确定性反而没有表现为预期的作用,在一定程度上说明,中国的开发商对政策环境的敏感程度远超过市场环境。竞争在某种程度上能够加快投资速度,但是通过影响不确定性与投资时机的关系来起作用的。研究结果可以为中央政府制定政策破解土地闲置问题提供依据。第三,房地产项目分期销售时机决策。基于期权博弈的理论框架,本文从信息经济学的视角给我国的项目分期销售现象提供了一个解释。所构建的双头垄断的期权博弈模型说明,当信息不完全时,信息噪声越大,开发商的最优销售时机越延后；开发商将优先选择分期销售来主动发现价格信息。信息噪声越大,首期销售越延后,噪声对其剩余产品的投资时机几乎没有影响。经验研究为上述理论推测提供了证据。用目标楼盘开发前周围一定范围内已有的楼盘个数来衡量子市场信息完善程度,邻近的已有楼盘个数越少,信息噪声越大。在全样本情况下,信息噪声小的子市场与噪声大的子市场相比,楼盘马上销售的可能性提高33.11%；信息噪声越大的子市场,开发商越倾向于选择分期销售,采用分期销售的样本中,信息噪声不再对首期以后的预售样本产生影响。研究结果可以为房地产分期销售的调控政策制定提供参考。与已有研究相比,本文的创新点和学术价值主要体现在以下方面：第一,基于标准实物期权理论和杭州市土地微观数据,为城市政府供应土地的时机决策提供理论和经验解释。已有相关研究认同城市政府在供应土地时追求利益最大化,但没有从理论和经验上给出逻辑一致的证明。本文的研究提供了逻辑一致的论证,有助于理解城市政府的供地行为,从而为中央政府制定相关政策,破解城市政府土地供应不足问题提供解决思路。第二,基于期权博弈理论和杭州市房地产项目微观数据,为政策不确定情况下的房地产项目开发时机决策提供理论和经验解释。国外已有研究的关注重点放在市场不确定性对投资决策的影响,却不能直接解决我国高度政策不确定性情况下开发商的行为。由于数据难以获取,实物期权的经验研究发展大大落后于理论研究,更是鲜见采用中国的项目微观数据展开的研究。在已有理论基础上,本文将政策不确定性变量纳入分析框架,收集了杭州市主城区的大量项目和地块微观数据展开经验研究。研究结果有助于理解中国开发商的商品房供应行为,从而为破解土地闲置提供解决思路。第三,基于不完全信息的期权博弈理论和杭州市房地产项目微观数据,为房地产项目分期销售现象提供理论和经验解释。项目分多期销售是我国特有的现象,国外少有研究进行专门分析,国内已有研究认为项目分多期销售是开发商延迟商品房供应的表现,是“变相捂盘”。本文从信息的视角建立理论模型,为房地产分期销售给出一个可能的解释：由于中国房地产市场极不完全,开发商难以获知准确的需求或价格信息。这时开发商可以通过分期预售来主动发现需求或价格信息,从而降低错估市场的风险。不完全信息的期权博弈理论发展较晚,因为难以找到不完全信息的衡量方式,极少有经验研究对该理论的主要推测做出检验。本文提出了一种不完全信息的测量方式：特定项目所处的子市场信息完善程度采用目标楼盘开发前周围一定范围内已有的楼盘个数来衡量。经验研究验证了理论假说。研究结果有助于理解项目分期销售行为,从而为破解“捂盘惜售”提供解决思路。本文的研究结果可为中央政府制定房地产调控政策提供应用价值,主要可以得出以下几方面政策建议。第一,需要改变“土地财政”的现状；第二,城市政府闲置土地的问题需要得到重视；第三,破解土地闲置、加快商品房供应需要降低调控政策的不确定性；第四,不能全盘否定分期预售的作用。本研究的不足之处和未来研究的展望有以下几方面：第一,本文的分析是在理性经济人的框架展开的。对时机决策的非理性动机研究,尤其是将非理性因素整合入实物期权的决策框架,是未来研究的方向。第二,本文基于土地出让收入最大化的假定,构建了城市政府供地决策的分析框架。建议未来研究能够在政府利益最大化和公益最大化的双重目标下建立目标函数。第三,本文将土地投资期权看做一份单独的期权,后续研究可以考虑综合分析土地供应、开发、销售的一系列复合期权。第四,本文的信息噪声测量方式只考虑了市场信息的地区特征,未考虑噪声随时间变化的部分。后续研究需要在信息噪声的衡量方面提出更有效的方案。更多还原

【Abstract】 The real estate industry has tremendously supported China’s rapid urbanization in the past two decades. However, during this process, short-term profit-driven behavior has emerged, such as insufficient land supply from government, developers’ idling valued land and delaying property sale by taking multi-phased sales form, which in essence could be characterized as delaying of market supply. Under those circumstances, land supply cannot be immediately transformed into house supply, making suppliers possess larger market power, and therefore leading to the rapid rise of housing price. In essence, the above phenomenon is the result of the timing decision by investors, which can be explained by the Real Options theory. However, intensive macro control policies from government are very common in China’s real estate market, which is quite different from the United States and Europe. In addition, under the unique urban land reserve and multi-phased pre-sale system, the continuing conflicts between market and government have made the timing decision unique. The existing literatures cannot directly solve problems under those systems.Therefore, it requires the in-depth analysis of the timing decision of property supply in China, in the sense of both practice and theoretical development. The Real Option theory has experienced three phases:the standard Real Option theory, Option Game theory, and Real Option theory with incomplete information. This paper’s clue is the above three connected phases of the theory development. Based on those three theoretical frameworks, the timing decisions of government’s land supply, developer’s land development and project’s multi-phased sale are discussed, which follow a second clue where the occurrence of events is in time sequence. During that process, the institutional factors, such as municipal government’s land supplying, the intensive regulatory policies and the multi-phased sale system, will be integrated with the standard analytical framework, and theoretical hypothesis will be deduced. Based on Survival Analysis, I use the micro-data of Hangzhou to testify those hypotheses. In this way, the timing decision mechanism of land supply, land development and project’s phased sale in China can be understood.My primary work and conclusion can be divided into three parts as follows:First of all, I explore municipal government’s timing decision of commercial land supply. In China, urban land reserve system enables municipal government to influence land market through the timing decision of land supply. Assuming its pursuit of maximizing the revenue, the paper considers municipal government as a monopolized supplier and its decision-making of commercial land supply is studied under the framework of Real Options. The theoretical model we develop predicts that greater market uncertainty would delay the optimal timing of land supply. Based on survival analysis, the empirical research examines the determinants of the timing of land supply, using a sample of243parcels in Hangzhou. Empirically, one-standard deviation increase in the uncertainty reduces the probability of land supply by42%. The results suggest that municipal government’s behaviors are consistent with Real Option theory,and can provide suggestions in central government solving the problem of municipal government idling land reserve.Secondly, developer’s timing decision of land development is discussed. In China, it has become one of the most serious problems of the real estate market that, developers tend to keep valuable land vacant. This paper introduces the policy uncertainty into the standard Real Options framework, and provides a theoretical explanation for the land development decision in China. Based on the survival analysis, I examine the determinants of developing timing empirically, using a sample of784phased residential projects in Hangzhou from CRIC2009dataset. I find that when people expect the policy become supportive, a one-standard-deviation increase in the volatility of year on year M2growth rate and interest rate lowers the likelihood of development by13.91%and16.58%respectively, meaning the policy uncertainty would delay land development; on the contrary, when people expect the policy become unsupportive, a one-standard-deviation increase in the interest rate volatility raises the likelihood of development by9.76%, that is to say, under this circumstance the policy uncertainty would accelerate land development. However, in the same empirical test, the price uncertainty fails to show the predicted function, which suggests that the Chinese developers are far more sensitive to policy than market. The empirical result also shows that market competition can accelerate the investment cycle, but operate only by increasing the impact of volatility. The result can provide suggestions in government solving the problem of developers idling valuabe land.Thirdly, the timing decision of project’s phased sale is analyzed. Based on the theoretical framework of Option Games, I provide an explanation for the multi-phased sales phenomenon in China from the perspective of information economics. The duopoly option games model I develop predicts that when information is incomplete, the larger the information noise is, the later the sales timing will be. I further predict that the developers prefer the phased sales form to take the initiative of discovering the price information by themselves, and also that the larger the information noise is, the later the timing of first sale will be, but the other phases of sale will be uninfluenced. The empirical analysis is basically consistent with these theoretical predictions. I measure information completeness in a particular region by the number of the existing residential projects neighboring the target project, with fewer existing neighboring projects associated with larger information noise. I find that compared to the region with large information noise, the likelihood of sale is33.11%higher in the region with small noise. The findings further suggest that when the noise turns larger, the developers tend to choose multi-phased sale form. In those samples which are sold in phases, the information noise only influences the timing of first sale. The result can provide suggestions in government understanding and dealing with the multi-phased sales phenomenon.Compared with the existing literatures, this paper’s major contributions are as follows.Firstly, I provide a theoretical and empirical explanation for government’s timing decision of land supply, based on the standard Real Options theory and micro data of parcels in Hangzhou. A number of existing studies indicate that municipal government will maximize land revenue through land supply; however, no empirical test is conducted to verify this judgment. This paper developed a Real Options framework which is verified empirically using Hangzhou’s micro data, beneficial in better understanding land supply behaviors of Chinese municipal governments.Secondly, I provide a theoretical and empirical explanation for developer’s timing decision of property development under policy uncertainty, based on the Option Game theory and micro data of real estate projects in Hangzhou. The existing literatures emphasize the impact of market uncertainty on investment decision, which cannot be directly used to explain the investment behavior in China under great policy uncertainty. Due to the difficulty to obtain solid data, the empirical study falls behind the theory development; particularly, there is almost no empirical study using China’s micro data at project-level. This paper extended the existing theory to include policy uncertainty and assembles data sets about parcels and projects in Hangzhou’s property market from a variety of sources to conduct the empirical study. The findings can help people understand the property developing behaviors in China.Thirdly, I provide a theoretical and empirical explanation for the multi-phased sale of property projects in China, based on the Option Game theory under incomplete information and micro data of real estate projects in Hangzhou. Selling in multi-phases is a special phenomenon in China, which little foreign literatures have studied. Many Chinese studies consider selling in multi-phases is a covert form of idling land. From the perspective of information economics, I develop a theoretical explanation for this problem—due to the incompleteness of information in China’s property market, develops cannot observe the true property value or demand curve, and will turn to discover the information about price and demand by selling projects in multi-phases. The Option Game theory under incomplete information is recent, and due to the difficulty of finding a proxy for incomplete information, little empirical study is conducted to verify the theoretical predicts. This paper put forward a measurement for incomplete information— information completeness in a particular region is measured by the number of the existing residential projects neighboring the target project. Theoretical predictions were verified by empirical test. The findings can help people understand the multi-phases sale behaviors in China.This paper’s main results have application value in helping the central government taming the real estate market. The policy implications can be drawed as follows. First of all, the problem of "land finance" should be changed. Secondly, the policy uncertainty should be reduced to solve the problem of land idling and accelerate the property supply. Thirdly, the positive side of multi-phased sale should not be neglected.However, this paper has several limitations which future study can work on. Firstly, my analysis is based on the assumption of rational economic person. Investors’ irrational intention of timing decision remains to be a future study. Secondly, the paper developed a framework for government’s timing decision of land supply, based on the assumption of its pursuit of maximizing the revenue. Future study can integrate government’s target of maximizing both the revenue and the public welfare into one objective function. Thirdly, I regard the land option as an independent one, which can be revised to consider the whole developing process as a compound option in future. Fourthly, in my measuring information noise, I only consider the regional difference of noise. Future study can find a better way to measure the timing-varying part of noise.更多还原