不動產投資信託對投資組合多角化的影響---全球實證

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姓名

陳彧如(Yu-Ju Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

不動產投資信託對投資組合多角化的影響---全球實證
(The impact of REITs on the portfolio diversification---global evidence)

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至系統瀏覽論文 ( 永不開放)

摘要(中)

此篇論文檢驗2003年4月到2004年9月間美國、澳洲、日本以及新加坡的不動產投資信託對於投資組合多角化的影響。此外，我們也檢驗了此段期間四個國家的不動產投資信託對於長期通貨膨漲的避險能力。我們以簡單迴歸、共整合及自我迴歸模型來檢驗其因果關係與各市場間長期經濟上的關連性。而平均變異檢定法則是用以檢測投資者是否能透過加入不動產投資信託於原有的投資組合來改善其投資機會。結果顯示，除了美國之外的國家加入不動產投資信託的確可以使投資者的投資效益顯著提升。另ㄧ方面，我們也發現美國、澳洲和新加坡的不動產投資信託對抗通貨膨脹的能力十分有限。

摘要(英)

We examine the impact of REITs on the portfolio diversification across the United States, Australia, Japan, and Singapore over the April 2003 –September 2004 interval. We also investigate whether REITs provide an inflation hedge in the long-run. Simple regression, cointegration, and vector autoregressive models are employed to explore the causality and long-run economic linkages among these markets. Mean-variance spanning test is used to examine whether investors could improve their investment opportunities through adding REIT portfolios to benchmark portfolios. Our results indicate that REITs of our cases do enlarge investment opportunity sets significantly except for the U.S. REITs. On the other hand, we find overall evidences argue that effective inflation hedges ability of REITs are weak in our sample countries besides Japan.

關鍵字(中)

★ 平均變異檢定法
★ 不動產投資信託
★ 通膨避險

關鍵字(英)

★ Mean-Variance Spanning Test
★ REITs
★ Inflation He

論文目次

Contents
1. Introduction 1
2. REIT Markets 4
2.1 REITs in the United States 4
2.2 LPT in Australia 7
2.3 J-REIT in Japan 10
2.4 S-REITs in Singapore 13
2.5 Comparison of REIT vehicles in various countries 16
3. Methodology and Data description 23
3.1 Cointegration 23
3.2 Causality and error correction models 25
3.3 Mean-variance spanning test 27
3.4 Data description 30
4. Empirical results and discussion 32
4.1 Cointegration and correlation between REITs and other market 33
4.2 Causality 36
4.3 Results of Mean-variance spanning test 38
4.4 Inflation Hedge abilities of REITs 47
5. Summary and Conclusions 56
References 59
Table Contents
Table 1: List of Japan REITs and Date of Listing (2004) 1
Table 2: Singapore REITs (2004) 19
Table 3: Comparisons of REIT regulations for different countries 21
Table 4: Data description 31
Table 5: Test for unit root on REIT indices, stock indices, and government bond
indices of various countries 32
Table 6: Analysis of regression results of REITs with bond and stock indices 34
Table 7: Cointegration results for REIT indices, bond indices, and stock indices 35
Table 8: Autoregression Model for REIT indices and the bond & stock indices 37
Table 9: Mean-variance Spanning Tests of REIT portfolios employing 10 stock
portfolios and one bond portfolio as benchmark portfolios 45
Table 10: Regression results of independent variables on REITs 51
Table 11: Regression results of independent variables on U.S. REITs
(04/2003-09/2004) 52
Table12: Regression results of independent variables on U.S. REITs (1997-2004) 53
Table13: The results of unit root test on REIT indices and Consumer Price Indices 54
Table 14: Cointegration tests for REIT indices with Consumer Price Indices 54
Table 15: Autoregression Model and Error-correction Model for REIT indices with
CPI Indices 55
Figure Contents
Figure 1: The growth of the United States REIT Market Capitalization and Number
of REITs (1971- 2004) 6
Figure 2: The growth of LPT Market Capitalization (1987- 2004) 9
Figure 3: Number of LPTs (1997- 2004) 9
Figure 4: Number of J-REITs (2001- 2004) 12
Figure 5: Number of Singapore REITs (2002- 2004) 15
Figure 6: REIT Numbers and Market Capitals 19
Figure 7: Average Leverage Ratio for LPTs (1994-2004) 19
Figure 8: composite the U.S. REIT leverage and coverage Rations 20
Figure 9: Mean-variance Frontiers of benchmark portfolios and a REIT portfolio
plus benchmark portfolios in Australia (2003/04-2004/09) 39
Figure 10: Mean-variance Frontiers of benchmark portfolios and a REIT portfolio
plus benchmark portfolios in Japan (2003/04-2004/09) 40
Figure 11: Mean-variance Frontiers of benchmark portfolios and a REIT portfolio
plus benchmark portfolios in Singapore (2003/04-2004/09) 41
Figure 12: Mean-variance Frontiers of benchmark portfolios and a REIT portfolio
plus benchmark portfolios in the United States (2003/04-2004/09) 42

參考文獻

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指導教授

史綱(Gang Shyy)

審核日期

2005-6-17

推文