本論文以「最適化」角度研究投資人、放款機構和建商的經營策略。第一個主題主要了解不動產投資公司與放款機構雙方面進行資本結構最適決策和訂定合適抵押貸款風險溢酬的策略研究。在邊際限制下極大化投資公司與放款機構的自身價值以及抵押貸款溢酬，並依此做為最適資本結構與抵押貸款溢酬的評斷標準。研究結果指出，對投資公司而言，投資房價規模、破產成本、土地增值稅和房價成長率不會影響到最適資本結構決策；變現率、市場無風險利率和公司稅對資本結構為正向關係；房價波動、折舊率與抵押貸款利率則為負向影響。對放款機構來說，投資房價規模、土地增值稅和公司稅不會影響到抵押貸款溢酬策略；房價波動、變現率、市場無風險利率和破產成本對抵押貸款風險溢酬為正向關係；投資公司資本結構、折舊率與房價成長率則為負向影響。影響因子的比較靜態分析結果說明了投資公司調整資本結構達價值極大目標的過程，使資金能夠得到有效的運用；放款機構以不動產抵押貸款溢價極大化作為策略目標，尋求投資公司能夠持續支付利息的狀態。
第二個主題主要討論建商對於建案銷售時機策略研究。應用實質選擇權的概念，嘗試建構建案最適銷售時機的理論模型，並且利用數值方法表現比較靜態分析所透露的訊息。研究結果指出，房價報酬、房價折舊率、建案期間無風險利率對於最適銷售時點是反向的關係；房價波動、建商舉債程度、公司稅率和期初投資規模對於最適銷售時點則是正向關係。經濟意涵對於建商應提前銷售時點著重在分散資金壓力、提升資金運用效率、分散投資風險；延後銷售則以等待更好的出售價格和市場訊息、提高公司價值等可能做為策略建議。

This dissertation addresses two topics on strategy, namely optimal capital structure and mortgage risk premium setting, and the optimal sale timing for developers. In Chapter 2, I discuss a research method for determining the optimal capital structure strategy and setting a reasonable required return for lenders and borrowers of two-dimensional mortgages. I determined the optimal capital structure strategy for borrowers to assess lender-set mortgage risk premiums. The results indicated that investors should maximize their value by optimizing their capital structure and thereby using money most efficiently. Changes in housing prices, the costs of bankruptcy, the land value increment tax rate, and the housing price growth rate enable investment companies to maintain decisions regarding the loan-to-value (LTV); however, the liquidity ratio, risk-free interest rate, and corporate business income tax positively affect the LTV decisions of investment companies, whereas housing price volatility, the depreciation rate, and mortgage risk premiums negatively affect the LTV decisions of investment companies. Lenders should seek borrowers who can pay mortgage interest continually, and, by maximizing mortgage premiums, can set strategic objectives. Housing price volatility, the LTV of investment companies, the direct costs of bankruptcy, the mortgage loan liquidity ratio, the depreciation rate, the market risk-free interest rate, and the housing price growth rate are major factors affecting lending institutions in determining the required returns. Chapter 2 illustrates the changes in various variables from the perspective of default. The main objective for lending institutions is to ensure that an investment company can continually pay back a loan.
Sale timing has become one of the most popular topics regarding property transactions. In Chapter 3, I develop a comprehensive theoretical function that can enable developers to realize the optimal sale timing by estimating the optimal housing price in a real-options framework. Furthermore, a comparative static analysis indicated that housing price volatility, initial investment, the capital structure of the developer, and the corporate tax rate are positively related to the optimal sale timing. Conversely, the housing return, housing depreciation rate, risk-free rate, and integrated period are negatively related to the optimal sale timing. The findings of this study have several economic implications; they promote corporate value, reduce uncertainty, facilitate risk diversification, and enable sufficient information to be collected.

論文審定書 i
致謝 ii
摘要 iii
Abstract iv
Chapter 1 Introduction 1
1.1 Background 1
1.2 The Purpose and Structure of This Dissertation 5
Chapter 2 Optimal Decision Making for Capital Structure and Mortgage Risk Premiums
7
2.1 Chapter 2 Introduction 7
2.2 Literature Review 11
2.2.1 The Borrowing Strategies of Investment Companies 11
2.2.2 The Setting of Mortgage Interest Rates by Lending Institutions 13
2.3 Capital structure model 15
2.3.1 Upper and Lower Limit 16
2.3.2 The Conditions and Value of the Direct Costs of Bankruptcy 17
2.3.3 The Conditions and Value of the Tax Shield 18
2.3.4 The Target Selling Price 19
2.3.5 The Optimal Refinancing Point 20
2.4 Numerical Examples and Sensitivity Analysis 22
2.4.1 Comparison of Situations Before and After Optimal Refinancing 22
2.4.2 Analysis of the Investment Company’s Optimal Capital Structure 23
2.4.2.1 Housing Price 23
2.4.2.2 Housing Price Volatility 24
2.4.2.3 Liquidity Ratio 25
2.4.2.4 Depreciation Rate 25
2.4.2.5 Risk-free Rate 26
2.4.2.6 Direct Costs of Bankruptcy 26
2.4.2.7 Corporate Business Income Tax Rate 27
2.4.2.8 Land Value Increment Tax Rate 28
2.4.2.9 Required Return Rate 28
2.4.2.10 Real Estate Value Growth Rate 29
2.4.3 Analysis of Lending Institution’s Mortgage Premium 30
2.4.3.1 Housing Price 30
2.4.3.2 Housing Price Volatility 30
2.4.3.3 Leverage ratio 31
2.4.3.4 Liquidity Ratio 32
2.4.3.5 Depreciation Rate 32
2.4.3.6 Risk-free Rate 33
2.4.3.7 Direct Costs 34
2.4.3.8 Corporate Business Income Tax Rate 34
2.4.3.9 Land Value Increment Tax Rate 35
2.4.3.10 Housing Price Growth Rate 36
2.4.4 How Debt or Equity Can Be Changed by the LTV for the Characteristics 37
2.5 Chapter Summary 40
Chapter 3 The Optimal Selling Timing for Housing Developers 43
3.1 Chapter 3 Introduction 43
3.2 Literature Review 47
3.3 Real-Options Model for Optimal Development Timing 50
3.4 Sensitivity Analysis of the Optimal Timing to Sale 55
3.4.1 Housing price volatility 55
3.4.2 Housing Return 56
3.4.3 Housing Depreciate Rate 57
3.4.4 Housing depreciate rate 52
3.4.5 Initial Investment 58
3.4.6 Integrated period 59
3.4.7 Capital structure of Developer 60
3.4.8 Corporate Tax Rate 60
3.4.9 Risk-free Rate 61
3.5 Chapter Summary 64
Chapter 4 Conclusion and Policy Implications 66
4.1 Conclusion 66
4.2 Policy Implications 68
4.3 Future Research and Feasible Directions 70
Bibliography 71

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