本文討論以台灣50指數、營建類股指數、REITs指數、信義房屋台北市及新北市不動產指數為研究對象，探討其是否為傳統未考慮不動產的CAPM實證模型所解釋，並研究其是否能有效擴展以股市為主的效率前緣。實證結果發現，以台灣50作為市場投資組合的替代指標，不動產資產有顯著的 Jensen′s alpha，顯見其有擴展股市效率前緣之效益。進一步探究，發現本研究建構的投資組合中，雖其報酬率不是最高，但不動產風險相對較低，且在不論有無賣空限制下，不動產所占比例都是最高。說明在投資組合中，是可以建議投資人加入不動產資產規劃，以達到低風險高報酬目標。;This study explores the Taiwan 50 Index, Construction Stocks Index, REITs Index, and the Sinyi Realty Taipei and New Taipei City Real Estate Indexes as the study sample, to discuss whether traditional CAPM empirical models which fail to consider real estate can nevertheless interpret the sample, and to study whether they can efficaciously expand the stock market’s core efficiency frontier. The empirical results found that when deploying the Taiwan 50 Index as a proxy indicator for market investment combinations, real estate had a significant Jensen’s alpha, indicating that it was able to efficaciously expand stock market efficiency frontier performance. Furthermore, the study’s investment mix construct, though not exhibiting the highest income returns, nevertheless given the relative lesser risk of real estate, and without considering whether there was any short selling, real estate percentiles were the highest among the mix. This explains how in the investment mix, it is appropriate to advise investors to add real estate investment capital planning, so as to achieve a less risky, higher investment returns performance target.
