在「有土斯有財」的觀念下，國內保險公司對於不動產相關投資向來非常熱衷，佔資金運用比重亦明顯高於國外同業，保險法修正條文於90年6月26日三讀通過，將保險業不動產投資上限由現行資本額的百分之十九，再度放寬為百分之卅，希望為低迷的房地產市場注入新的活水。然而受到房地產不景氣的波及，保險公司面臨不動產跌價損失及逾放比攀升，是否因此增加經營風險，進而影響股價表現，值得進一步研究。
本論文以國內13家上市保險公司為研究對象，觀察期間自民國75年第1季到89年第4季，以三因子模型進行迴歸分析，實證結果為：
(1) 除了公營保險公司之外，不論是全體保險公司、產險公司、壽險公司及民營保險公司的股票報酬，與大盤加權指數報酬皆呈高度的正相關，具有齊漲齊跌的走勢，顯示大盤加權指數為影響保險公司股價最主要的因素。
(2) 無論是商業本票的當期、預期及非預期利率，對各分類樣本保險公司股票報酬均未具顯著的影響效果。
(3) 對全體樣本保險公司、民營壽險公司而言，大盤加權指數是決定其股票報酬最重要的因素，房地產景氣亦會產生顯著的效果；而民營產險公司股票報酬在反應房地產景氣則呈現較不穩定的現象；至於公營保險公司，對房地產景氣的反應則產生若有似無的影響。
(4) 在考量房地產景氣影響的因素下，會因保險公司屬於公營或民營而產生差異；但是對於民營保險公司屬於產險公司或壽險公司則並無明顯的差別。
(5) 全體保險公司、民營保險公司與全體壽險公司的股票報酬在房地產景氣揚升期及衰退期兩種不同階段，將有顯著的差別，變異的來源主要仍是大盤加權指數的漲跌，房地產景氣變化對保險公司股票報酬雖有影響但並不明顯。 / With the idea of "Property equal to wealth", Taiwan's insurance company are always put a lots of interest in the real estate related investment. The percentage of the total investment in a Taiwan insurance company is also much higher than same type of companies in other countries. The bill was third vote passed on June 26, 2001, is going to raise the limitation of real estate investment percentage from 19% to 30%, hoping that can help the defeated real estate market. It is necessary to take a closer look to find out if the investment in real estate market will take more risk because of the losing value of the real estate and the bad debt, and further influent the performance of insurance companies' stock.
This thesis is base on the research of 13 Taiwan insurance companies' performance from the first quarter of 1986 to the 4th quarter of 2000, the conclusions listed below are base on the three-index regression model.
1.All types of insurance companies stock returns, except government owned companies, are highly related to the returns on the market portfolio. The research shows the market portfolio is the major impact for the stock returns of insurance companies.
2.The interest rate dose not have out standing impact to the stock returns of any types of insurance company.
3.For private owned life insurance companies, real estate is also important factor for stock returns; but for private owned non-life insurance companies' stock returns react unstable. As to government owned insurance companies do not have much impact from the change of real estate market.
4.The insurance companies will react to the real estate market differently depend on if it's private owned or government owned: but it won’t make a lot of differences from being private owned non-life or private owned life insurance company.
5.The stock returns of private owned life insurance company during the real estate market up and down will have huge differences, the major impact cause the differences is still the change of the returns on the market portfolio. On the other hand, the influence from the change of real estate market to the insurance companies' stock returns is not notable.
| Identifer | oai:union.ndltd.org:CHENGCHI/A2002001476 |
| Creators | 謝維澤 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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