不确定性下房地产企业的柔性决策机制——基于动态视角的实物期权理论拓展  

The Research on Investment Decision Mechanisms of Real Estate Developers under Uncertainty

作　　者：王一迪 杨赞[1] 黄少麟 WANG Yi-di;YANG Zan;HUANG Shao-lin

机构地区：[1]清华大学建设管理系恒隆房地产研究中心

出　　处：《中央财经大学学报》2021年第8期85-98,共14页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金“不确定性在房地产市场中的微观传导机制和效应:基于居民住房决策的研究”(项目编号:71673154);国家自然基金和瑞典科研教育国际合作课题“基于城市可持续发展下的有效和公平的租房市场的研究”(项目编号:72011530136)。

摘　　要：不确定性是经济以及房地产市场的固有环境。本文基于房地产市场不确定性和融资不确定性的背景,研究了房地产企业在不确定性下的多项目开发投资决策机制。本文将实物期权模型扩展到多资产层面,扩充了柔性决策的内涵;通过蒙特卡洛模拟的方法求解出企业价值函数和土地支付意愿;借助价值函数以及贝尔曼最优化原理,推导了当期最优开发行为;并实证检验了多资产柔性决策机制的现实适用性。本文发现,房地产市场不确定性越高,柔性决策的价值越高,因此企业降低当期开发投资,土地支付意愿增加;而各城市市场相关性会削弱多资产层面柔性决策的价值;融资不确定性越高,企业降低当期开发投资,同时增加高房价城市的相对开发投资。本文从新的角度,揭示了不确定性下房企投资决策机制,有助于更好地理解房地产市场供给端的行为机理,为房地产长效机制建设提供了科学依据。Uncertainty is an inherent environment of the economy and the housing market.Based on the background of real estate market uncertainty and financing uncertainty,this paper studies the multi-project development investment decision-making mechanism of real estate enterprises under uncertainty.This paper extends the real option model to the multi-asset level,expanding the connotation of flexible decision-making.The enterprise value function and land willingness to pay are solved by the Monte-Carlo simulation method.The current optimal development behavior is derived using the value function and Behrman optimization principle.And the practical applicability of the multi-asset flexible decision mechanism is empirically tested.We find that the higher the uncertainty of the real estate market,the higher the value of flexible decision-making.Therefore,the firm reduces the current development investment,and the willingness to pay for land increases.The market correlation of different cities will weaken the value of flexible decision-making at the multi-asset level.The higher the financing uncertainty,the lower the current development investment and the higher the relative development investment in the cities with high housing prices.This paper reveals the investment decision-making mechanism of real estate enterprises under uncertainty from a new perspective,which helps to better understand the behavior mechanism of the supply side of the real estate market,and provides a scientific basis for the construction of long-term mechanism of real estate.

关 键 词：不确定性 实物期权 房地产开发投资 柔性决策 

分 类 号：F293.30[经济管理—国民经济]