A Research on the Mechanisa of Land Price Forpation and the Option Propenty of Land

根据标准资产定价理论，土地价格被确定为等于未来土地租金收入的贴现总和。然而，日本最近的地价走势似乎违反了这一经济规则。在这项研究中，我们试图构建一个新的不确定条件下的地价形成模型，以合理解释日本近期的地价变动。特别是，我们在模型中明确考虑了多种土地用途和土地在不同土地用途之间的转换，突出了土地的期权属性，这是以往研究中被忽视的。本研究取得的主要成果可概括如下。首先，即使不存在泡沫，土地的合理定价也可能远远超出其基本价值。第二，土地基本价值随机过程的不确定性增加，可能会增加地价，而不是降低地价。第三，土地的期权性质自然会导致土地价格的过度波动和下行刚性。此外，我们还利用1971年至1990年东京都居民区的数据进行了实证分析。实证分析表明，该地区土地的期权价值是一个重要因素，仅能解释实际地价与其基本价值之间近一半的差异。

According to the standard asset pricing theory, land price is determined to be equal to the discounted sum of future rent revenues from land. However, the recent land price movements in Japan seem to be disobeying this economic rule. In this study, we attempt to construct a new model of land price formation under uncertainty to rationally explain the recent land price movements in Japan. In particular, we explicitly consider multiple land uses and the conversion of land among alternative land uses in the model and highlight an option property of land which has been ignored in the previous researches. The main results obtained in this study can be summarized as follows. First, even though there exist no bubbles, land can be rationally priced far beyond its fundamental value. Second, increased uncertainty in the stochastic processes of the fundamental values of land may increase land prices rather than decrease them.Third, the option property of land can naturally give rise to the excess volatility and the downward rigidity of land prices. In addition, we perform an empirical analysis using the data of the Tokyo metropolitan residential area from 1971 through 1990. This empirical analysis uncovers that the option value of the land in this area is an important factor which can solely explain almost half of the difference between the actual land price and its fundamental value.