本文主要探討不動產市場的變化是否會進而影響到國內上市保險公司股價報酬。研究期間為民國81年5月至民國90年12月，共計102筆月資料，將樣本區分為產物與人壽保險公司及對不動產投資比例大(小)之保險公司，使用GARCH模型來說明不動產市場對於保險公司股票報酬的影響；最後再以橫斷面分析瞭解影響公司股價的公司特性。 實證結果歸納出幾點結論：所有分類的保險公司股票報酬，在對不動產敏感性上，全體樣本公司、產(壽)險公司及不動產投資比例大(小)之保險公司對不動產市場的繁榮衰退是會同時影響到保險公司的股票報酬，且以營建材類股指數作為不動產市場的替代變數結果最好。保險公司股票報酬與市場加權指數報酬皆具有高度的正向連動關係。商業本票利率方面對各分類樣本保險公司之利率敏感性影響為負向關係。 另外利用橫斷面分析影響公司股票報酬之公司特性時，結果顯示公司不動產投資比例的大小會正向影響到保險公司股票報酬；保費收入高的保險公司股價報酬率相對會來的高，而業務槓桿之平方項顯著與保險公司股價報酬率並非線性關係，即當業務槓桿達到一定的程度之後，投資人會開始意識到可能會發生的財務危機或破產之風險。 The purpose of this study is to examine the effect of Taiwan’s real estate investment upon insurance companies’ stock returns. The samples of this study are grouped into two parts: by type of insurance companies and by the scale of real estate investment of insurance companies. 102 monthly data from 1992 to 2001 are collected and analyzed by the GARCH model to discover the impacts of Taiwan’s real estate investment upon the insurance companies’ stock returns. In addition, we use cross-sectional analysis to examine the influence of firms’ characteristics upon the firms’ stock prices. The following conclusions are based on the results showed in the study: (1)Sensitivities of real estate investment to all categorical insurance companies’ stock returns are positive effected and with Construction Material Stock as a proxy variable of Taiwan’s real estate investment has shown superlative results. All types of insurance companies’ stock returns and Taiwan stock return move in lockstep; (2)The interest rate sensitivity of Commercial Paper is small to all types of insurance companies. In the Sensitivity Analysis, the effect of real estate on all sample firms is positive; (3)Moreover, when we use cross-sectional analysis to examine the influence of firms’ characteristics on the firms’ stock prices, the empirical results reveal that the scale of real estate investment proportion is positively associated with the insurance companies’ stock returns and the insurance companies’ premium have positive relationship with stock returns, as well as a significant nonlinear relationship lies between the square significance of the exposure leverage and the insurance companies’ stock returns.
