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博碩士論文 etd-0906111-120843 詳細資訊
Title page for etd-0906111-120843
論文名稱
Title
競標行為因素對房地產拍賣績效的影響
The Effect of Behavioral Factors on the Performance of Real Estate Auctions
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
86
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2011-07-27
繳交日期
Date of Submission
2011-09-06
關鍵字
Keywords
英式拍賣、從眾行為、拍賣溢價、底價折扣策略
Discount strategy, English auction, Herding of bidding, Auction premium
統計
Statistics
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中文摘要
本文探討投標者在銀拍市場競標是否發生從眾偏誤,並分析基本、資訊和行為因素對拍賣績效的影響。實證樣本為2001年7月至2003年1月,拍賣公司在全台灣舉行的銀行不動產拍賣會,包括363個銀拍屋的基本特徵及競標者的出價資訊。我們獲得有意涵的實證結果,首先,我們發現行為因素會同時影響銀拍屋的拍定溢價和賣方底價折扣策略,且同時控制資訊面和基本面因素對拍賣績效的影響,也不會減損行為面因素的顯著性。對於賣方底價設定的策略,實證支持Welch (1992)的觀點,底價折扣的幅度高是為了鼓動投標者積極出價。其次,競標的從眾可降低競標者在競價過程耗費的搜尋成本,並增進資訊的整合,使銀拍屋和法拍屋的拍賣績效發生差異。最後,克服樣本選擇偏誤,發現銀拍屋樣本在法拍機制的表現較差;然而,法拍屋在銀拍機制的績效較佳,顯示法院應委託第三公正單位進行英式拍賣,方能達成有效回收債權且減少損失金額的政策目標。

本研究之穩健度分析,首先,對於未隔離資訊因素的從眾指標和本研究隔離資訊之從眾指標進行比較。實證發現未隔離資訊因素的行為因素對英式喊價機制的績效影響很小,拍定溢價和賣方底價折扣策略則多由資訊因素所解釋。其次,由於銀拍屋真實價值的選取方法可能會影響本研究從眾指標條件機率的判定,進而造成行為因素對英式喊價機制的績效可能影響產生不一致的結論。實證發現無論係以集群分析法挑選銀拍屋配對樣本的基本特徵,以獲得真實價值,或是以銀拍屋自身樣本進行迴歸估計求得實證樣本的真實價值,將其轉換為隔離資訊因素的從眾指標,其結果都能支持行為因素對銀拍屋拍賣績效的影響,使得誤差最小法之配對樣本法的實證結果可以獲得支持。
Abstract
This paper investigates whether the bidding induces the occurrence of herding, and analyses the effects of behavioral factors, information, and fundamental characteristics of real estate on the performance of bank auction. Our sample is from July 2001 to January 2003, the real estate that intermediaries sold was held by bank in Taiwan, including 363 the real estate and the price of bidding under bank auction. We obtain some interesting implication. First of all, we find that herding of bidding not only could explain premium but also discount. After controlling informational factors and fundamental characteristics of real estate, it could not weaken the significance of herding of bidding. For the strategy of the reserve price by the vendor, the higher discount is to encourage bidding actively, which is consistent with the view of Welch (1992). Secondly, we find bidders could easily reduce search cost by observing the bidding of competitors under bank auction, and herding of bidding on the auction process could enhance efficiency of information aggregation. Furthermore, herding of bidding makes the performance of auction different between court and bank. Finally, we overcome the selective bias and find the real estate held by bank had poor performance under court auction; however, the real estate held by court had better performance under bank auction. This implies the mechanism of court auction should be transformed into the open-outcry bidding in order to achieve effective recovery of debt and the policy of reducing losses.

Robustness analysis of this study, first of all, for the herd measure that not isolated from informational factors, we find the insignificant effect of behavioral factors on the performance of English mechanism, and auction premium and discount are dominated by the informational factors. Secondly, the choice of the methods about true value of real estate may affect the conditional probability of the herd measure, and make inconsistent conclusions that the effect of behavioral factors on the performance of English mechanism. Whether we choose cluster analysis or regression method to obtain the true value of real estate, the conclusion that the effect of behavioral factors on the performance of English mechanism could be supported, and those can not switch the results of the minimum sum method. Thus, the conclusion that behavioral factors influence the performance of the auction is full of evidences.
目次 Table of Contents
Verification form for graduate student oral defense i
Abstract (in Chinese) ii
Abstract iii
1. Introduction 1
1.1. The motivation and background 1
1.2. The purposes and contributions 4
1.3. The scope and limitations 5

2. Literature Review 6
2.1. The disposal of non-performing assets and auction system 6
2.1.1. A Summary of non-performing assets 6
2.1.2. The analysis of auction system 9
2.2. The application of herd behavior in the financial market 22
2.2.1. The model of herd behavior 22
2.2.2. The application and development of herd measure 30
2.2.3. Summary 31
2.3. The determinant of auction performance 32
2.3.1. The determinant of hammer price 32
2.3.2. The determinant of reservation price 33
2.3.3. The auction performance of English mechanism by other factors 34
2.3.4. The auction performance of real estate bears selectivity bias 38
2.3.5. Summary 39

3. The Source and Analysis of Data 40
3.1. The measure of the herd variable 40
3.2. The source of samples and the descriptive statistics 41
3.2.1. Market data for real estate of bank auction 41
3.2.2. Market data for real estate of court auction 41
3.2.3. The descriptive statistics for characteristics of real estate 42
4. Empirical Evidence 45
4.1. The effects of behavior, Information, and fundamental characteristics
on the performance under bank auction 45
4.2. The analysis for the effects of herding of bidding on different performance
of real estate auction 54
4.3. The performance of exchange for different auction 56

5. Robustness 61
5.1. The effects of herd measure not isolated informational factors
on the performance under bank auction 61
5.2. The true value of match samples by clustering analysis 64
5.3. The true value of match samples by regression method 69

6. Conclusion 73

References 75
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