政府打房及振興房市政策對營建業股價報酬之影響：政府部會、公司特徵及總體經濟變數之分析

Abstract

本研究採用事件研究法，分析2001年至2023年間臺灣政府實施的打房及振興房市政策對臺灣上市櫃建材營建類股公司的股價異常報酬率之影響，並結合多元迴歸模型從政府部會、公司特徵及總體經濟變數三個面向進行深入探討。研究結果顯示，在打房政策的分析中，財政部相較於其他政府部門的政策效能較為不佳；在公司特徵方面，規模較大及成長性較高的公司對打房政策的反應較為緩和。另外，在振興房市政策的分析中，財政部相較於行政院及金管會的政策效能則表現較佳；在公司特徵方面，成長性較高及長期負債佔市值比較高的公司在振興房市政策下受益較為顯著。進一步探討總體經濟變數的影響時，研究發現，在基準放款利率較高的情況下，以及在高通貨膨脹率時期，打房政策的負向影響皆更加顯著；而在股價指數較高時期，振興房市政策的正向影響亦更為明顯。本研究提供了有關政策效果的實證證據，為政府制定未來房地產政策及投資者面對政策變動時的策略選擇提供了重要參考。

This study employs the event study methodology to analyze the impact of Taiwan's housing market cooling and stimulus policies on the abnormal stock returns of publicly listed building material and construction companies from 2001 to 2023. Using a multivariate regression model, the research further explores these effects from three dimensions: government departments, company characteristics, and macroeconomic variables. The results indicate that, in the analysis of housing market cooling policies, the Ministry of Finance's policy effectiveness was comparatively weaker thanthat of other government departments. In terms of company characteristics, larger companies and those with higher growth potential showed a more moderate response to the cooling policies. Conversely, in the analysis of housing market stimulus policies, the Ministry of Finance demonstrated better policy effectiveness compared to the Executive Yuan and the Financial Supervisory Commission. Additionally, companies with higher growth potential and a higher ratio of long-term debt to market capitalization benefited more significantly from the stimulus policies. Further examination of the impact of macroeconomic variables reveals that during periods of high benchmark lending rates and high inflation, the negative effects of the housing market cooling policies were more pronounced. Conversely, during periods of higher stock index levels, the positive effects of the stimulus policies were more evident. This study provides empirical evidence on the effects of these policies, offering important insights for the government in formulating future real estate policies and for investors in developing strategies to respond to policy changes.