面向优质建设与房地产开发的专业化进程

AtransactionbasedapproachforassessingtheriskandreturnofpropertyinvestmentinHongKong产数评产资风险报ProfessionalismtowardsQualityConstructionandPropertyDevelopment质设产开发专业进设产热点问题讨会资单别区办单测师学会济学学协办单华络学华学学国学济学创Residentialsub-sector050100150200250300350400450198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003Index(1989=100)PriceRentRetailsub-sector050100150200250300350400450198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003Index(1989=100)PriceRentOfficesub-sector050100150200250300350400450198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003Index(1989=100)PriceRentIndustrialsub-sector050100150200250300350400450198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003Index(1989=100)PriceRent9797//-6%-18%-8%-14%Averagetotalannualreturnh73%-59%-59%-65%1997Q3-2003Q215%17%21%21%Averagetotalannualreturn253%512%907%862%1983Q3-1997Q2IndustrialOfficeRetailResidential9797//(())-2%-14%-5%-10%Averagetotalannualreturnh-49%-66%-49%-56%1997Q3-2003Q28%10%13%13%Averagetotalannualreturn33%131%280%263%1983Q3-1997Q2IndustrialOfficeRetailResidential(1980:Q1(1980:Q1--2003:Q2)2003:Q2)19.0%13.5%9.3%11.2%Risk()7.0%11.1%9.2%10.5%AveragetotalReturn19.5%13.8%10.0%10.9%Risk()1.8%5.6%1.7%5.4%Averagereturn()IndustrialOfficeRetailResidential(())(1980:Q1(1980:Q1--2003:Q2)2003:Q2)20.5%15.0%10.8%12.7%Risk()2.4%6.5%4.6%5.9%AveragetotalReturn21.0%15.3%11.5%12.4%Risk()-2.8%1.0%-3.0%0.8%Averagereturn()IndustrialOfficeRetailResidentialRReealEstatePriceasaneconomicindicatoralEstatePriceasaneconomicindicatorƒƒLeadseconomicgrowth(GDP)Leadseconomicgrowth(GDP)ƒƒByapproximately2Byapproximately2qtrsqtrsinHongKonginHongKongƒƒLeadsrealestateinvestmentLeadsrealestateinvestmentLeadingIndicatorsLeadingIndicators(())ƒƒPropertysharepricesPropertyshareprices(())ƒƒTransactionVolumeTransactionVolume(())ƒƒPrePre--salespricessalesprices(())RealandnominaldiscountratesRealandnominaldiscountratesƒƒNominaldiscountformulaNominaldiscountformulawheregisexpectedfuturegrowthrateinrent(wheregisexpectedfuturegrowthrateinrent())Aiscurrentrentalincome(Aiscurrentrentalincome())RRNNisnominaldiscountrate(isnominaldiscountrate())ƒƒRealdiscountformulaRealdiscountformulaRisrentalyield(Risrentalyield())V=A(1+g)(1+RtNtt=1n)∑VA(1)tt1n=+=∑RImpliedexpectedlongtermrentalgrowthImpliedexpectedlongtermrentalgrowth(())ƒƒComparingthetwoformula(Comparingthetwoformula())RRNN=R+g+=R+g+RgRgƒƒRRNNThenominaldiscountratehastwocomponents(Thenominaldiscountratehastwocomponents())RRNN=R=RFF+R+RPPRRFFRRPPƒƒƒƒR=RR=RFF+R+RPP––gg––RgRgƒƒg=Rg=RFF+R+RPP––RRLeadingIndicatorsLeadingIndicators(())ƒƒDifferencebetweenimpliedexpectedlongDifferencebetweenimpliedexpectedlong--termrentalgrowthandexpectedlongtermrentalgrowthandexpectedlong--termterminflationinflationƒƒ(())LI=gLI=g--EE(Inf(Inf))whereEwhereE(inf(inf)isexpectedlong)isexpectedlong--terminflationterminflationEE(inf(inf))LongtermrentalgrowthandInflationLongtermrentalgrowthandInflationƒƒInthelongrunrentalgrowthshouldbeInthelongrunrentalgrowthshouldbesimilartoinflationsimilartoinflationƒƒIfattimet,Ifattimet,ggttEE(inf(inftt),i.e.(LI0)thenreal),i.e.(LI0)thenrealestatepriceislikelytobeovervaluedandestatepriceislikelytobeovervaluedandwillbecorrectedintheFUTUREwillbecorrectedintheFUTURELI0LI0EstimationofLeadingIndictorLIEstimationofLeadingIndictorLIƒƒImpliedlongImpliedlong--termexpectedrentalgrowthisestimatedtermexpectedrentalgrowthisestimatedusingusingƒƒg=Rg=RFF+R+RPP––RRRRFFistakenaslongtermgovernmentBondYield(30yearsistakenaslongtermgovernmentBondYield(30years+Premium)+Premium)RRFFRpRpistaketobeconstant(2%)istaketobeconstant(2%)RpRp=2%=2%RisestimatedfromdataobtainedfromRatingandRisestimatedfromdataobtainedfromRatingandValuationDepartmentValuationDepartmentEstimationofLeadingIndictorLIEstimationofLeadingIndictorLIƒƒExpectedLongterminflationrateisestimatedExpectedLongterminflationrateisestimatedfrompreviousinflationsratesfrompreviousinflationsratesƒƒInthisstudy,itistakenas5yearmovingaverageInthisstudy,itistakenas5yearmovingaverageofquarterlychangesinGDPdeflatorofquarterlychangesinGDPdeflator55ResidentialSub-sector-10%-8%-6%-4%-2%0%2%4%6%8%1978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002TimeExp(Pricegrowth)-Exp(Inflation)3.03.54.04.55.05.56.06.5Ln(ResidentialPriceIndex)LI(Res)Ln(RPI_Nominal)L(res)=1.6%in1981:Q1Pirceindexpeakedin1981:Q3Pirceindexfellby32%formthepreviouspeakin1983:Q3Pirceindexpeakedin1997:Q3Pirceindexfellby61%formthepreviouspeakin2002:Q4L(res)=0.9%in1997:Q1ResidentialSub-sector(Quarterlyreturn)-10%-8%-6%-4%-2%0%2%4%6%8%1978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002TimeExp(Pricegrowth)-Exp(Inflation)-25%-20%-15%-10%-5%0%5%10%15%20%25%NominalreturnLI(Res)NominalReturnRES_NRt=C+βRES_Lit-1+RES_NRt-1+εDependentVariable:RES_NRMethod:LeastSquaresDate:12/02/03Time:03:23Sample(adjusted):1978:3