REITs具有高配息率、長期穩定收益和分離課稅等特性，然而2007年爆發的美國次貸危機卻使得不動產成為金融市場的一大隱憂，台灣REITs市場也一度走弱。2011年時，由於商用不動產市場的熱絡和不動產投資信託商品的清算案等因素，使得REITs重新吸引了投資人的目光。為使投資者於投資REITs時能有所依據，本研究以2006 年三月到2011年十二月，由標準普爾所編製的的台灣REITs股價指數之月資料為研究對象，採用複迴歸模型，擬探討股市和以下經濟變數，銀行承兌匯票31-90天(次級市場)、十年期政府公債利率、通貨膨脹率、匯率和工業生產指數成長率，是否會對REITs報酬造成影響。實證結果顯示，REITs不具備抵抗通貨膨脹風險的效果且與短期利率也無顯著相關。但是REITs報酬和長期利率、匯率、工業生產指數成長率、股市之間有顯著相關性。Real Estate Investment Trusts(REITs) has characteristics such as high-dividend、long-term stable income and separate taxation .However, the U.S. subprime mortgage crisis which occurred in 2007 made real estate a hidden bomb in financial market. In 2011, owing to the frequent transactions of commercial real estate and the liquidation of REITs, REITs re-attracted the attention of investors. This study, which intends to be a base model for investors to invest the REITs, discuss whether stock market and following economic variables , bank acceptance 31-90 days (secondary market)、10-year government bond interest rate、inflation rate 、exchange rate 、growth rate of index of industrial production, have impact on the REIRs returns or not by using the monthly data from March 2006 to December 2011 of Taiwan Real Estate Investment Trusts Index compiled by Standard & Poor’s and employing multiple regression model. The empirical results show that REITs doesn’t provide hedge function during inflation and has no significant correlation between short-term interest rate. But REITs returns has significant correlation between long-term interest rate 、exchange rate 、growth rate of index of industrial production and stock market.
