不動產投資信託報酬與不動產類型之研究; REITs Returns and Property Types

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Title:	不動產投資信託報酬與不動產類型之研究;REITs Returns and Property Types
Authors:	黃俊晏;Chun-Yen Huang
Contributors:	財務金融研究所
Keywords:	不動產投資信託;不動產類型;多因子模型;multi-factor model;property type;REITs
Date:	2006-06-26
Issue Date:	2009-09-22 14:40:27 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	摘要本篇論文探討美國不動產投資信託將資金投資於不同的不動產類型，其報酬與股票市場、債券市場、以及原物料價格之間的關連性。我們使用1994年1月到2005年12月的月報酬資料以及1999年1月到2004年12月的周報酬資料，以多因子模型檢驗被歸類為不同類型的不動產投資信託與各市場之間的關連性，並且將不動產投資信託的報酬波動性分解，區分出其報酬波動性受到各市場影響的相對比例。結果顯示，不同類型的不動產投資信託報酬確實和股市、債市以及原物料價格之間有著程度不同的關連性。整體而言，股票報酬是影響不動產投資信託報酬最重要的因子，相較於大型股而言，不動產投資信託報酬比較類似小型股，而債券報酬與工業型、組合式住宅型以及零售型不動產投資信託報酬有正向的關聯，原物料價格則與工業型不動產投資信託報酬有正向的關聯。我們在周報酬資料分析中加入了公司規模因子，發現規模較大的零售型不動產投資信託有較高的報酬。 Abstract This paper investigates whether REIT returns have different relationships to stock, bond, and commodity markets when REIT investments specialize in different property types. We utilize the monthly data over the period of 1994 to 2005 and the weekly data over the period of 1999 to 2004. Using a multi-factor model, we examine the relationships between REIT returns of various property types and each factor. We also decompose the proportion of REIT volatility to explore the relative contributions of each factor to REIT volatility. The results suggest that each type of REIT return possesses different relationships to stock, bond, and commodity market. Overall, stock market has the greatest influence on all types of REIT returns and REITs are more like small-cap stocks than large-cap stocks. Industrial, manufactured homes, and retail REITs are positively related to bond returns. Industrial REITs are related to commodity price. In our weekly analysis, we add the size factor into the multi-factor model. We find that larger retail REITs outperform smaller ones.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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