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姓名 周沂萱(Yi-Hsuan Chou) 查詢紙本館藏 畢業系所 財務金融學系在職專班 論文名稱 存股或買房優化退休財富初探 相關論文 檔案 [Endnote RIS 格式]
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摘要(中) 在通膨高漲之現今，不動產耐久財被視為最具抗通膨之資產，然而因其投資金額較大，一般人必需犠牲較長期間物質慾望、負擔貸款等多方壓力下才能擁有，故若改以不動產投資信託方式進入房地產市場，可以輕鬆掌握不動產投資之資本利得及收益。而在面臨多樣商品投資資源下，直接投資 S&P 500 或代表房地產的房地投資信託 (REITs) 何者較優？乃本研究探討之主題。內容則以美國 DOW JONES U.S. REAL ESTATE INDEX (DJUSRE) 前十大市值，七支橫跨2000年至2022年精選 REITs 作為探討對象，利用 ANOVA、夏普比率及市場模型 （Market Model） 迴歸檢定，發現大部份 、REITs 相對於 S&P 500 指數有部分 α 皆顯著且高於大盤，而 β 風險係數卻較低；故依據本研究發現 REITs 納入退休投資組合，可獲得優於大盤之報酬且亦為防禦性資產投資之最佳配置。 摘要(英) In today′s high inflation, the durable goods of real estate are regarded as the class of assets that are capable of anti-inflation. However, due to the huge down-payment and cost, people have to sacrifice their long term living quality or bear loadings from loans etc. By alternatively entering into the real estate market through real estate investment trusts can easily grasp the capital gains and income flow of real estate investment yet avoid those burdens. As such, a question naturally arises: Is it better to invest the S&P 500 or real estate investment trusts (REITs)? It is the subject of this study. It selects seven out of the top ten market capitalizations of DOW JONES U.S. REAL ESTATE INDEX (DJUSRE) in the United States, from 2000 to 2022 as the research objects. Using ANOVA, Sharpe ratio and Market Model regression test, it is found that most of the REITs when compared to the S&P 500 index, some α are relatively significant and higher than the market, while the β is lower. Therefore, it suggests that once a REITs is included in the retirement investment portfolio, it can obtain better performance than the market and it’s also the best retirement allocation as a defensive asset. 關鍵字(中) ★ 不動產投資信託
★ 夏普比率
★ 市場模型關鍵字(英) ★ REITs
★ Sharpe ratio
★ Market Model論文目次 中文摘要 I
Abstract II
致謝 III
目錄 IV
表目錄 V
圖目錄 VI
第一章 緒論 1
1-1研究背景與動機 1
1-2研究目的 1
1-3研究架構 2
第二章 文獻探討 4
2-1 房地產與不動產信託REITs相關文獻 4
2-2 S&P 500 與美國不動產信託 REITs 相關文獻 6
2-3 研究方法文獻之探討 7
第三章 研究方法 9
3-1樣本介紹及資料篩選 9
3-2 研究方法與模型設定 15
第四章 實證結果與分析 19
4-1 基本統計量 19
4-2 夏普比率分析 24
4-3 迴歸模型實證分析 30
第五章 結論與建議 39
5-1 結論 39
5-2 建議 39
參考文獻 41
附錄 44
參考文獻 英文文獻:
1.Ang, A., Chen, J., & Xing, Y. (2006),”DOWNSIDE RISK，”The Review of Financial Studies, Vol. 19, No. 4, pp.1191-1239.
2.Adereti, S. A. (2007), “Financial Real Estate Investment Through the Capital Market,” (unpublished B.Sc Project).
3.Clinebell,J.M., Squires, J.R., & Stevens, J.L. (1993),“Investment performance over bull and bear markets: Fabozzi and Francis revisited,” Quarterly Journal of Business and Economics, Vol. 32, No. 4, pp.14–25.
4.Fabozzi, F.J., & Francis, F.C. (1977),”Stability tests for alphas and betas over bull and bear market conditions,”Journal of Finance, Vol. 32, No. 4, pp.1093–1099.
5.Fabozzi, F.J., & Francis, F.C. (1979), “Mutual fund systematic risk for bull and bear markets: an empirical examination,” Journal of Finance, Vol. 34, No. 5, pp.1243–1250.
6.Foster,P.D., & Stine, A.R. (2006), “Being Warren Buffett,” American Statistician, Vol. 60, No. 1, pp.53-60.
7.Falatoon,H., & Safarzadeh, R.M. (2017),”Risk and Return Comparison of MBS, REIT and Non-REIT Etfs,”International Journal of Business, Humanities and Technology, Vol. 7, No. 3, pp.41-51.
8.Goldstein, M., & Nelling, F.(1999), “REIT Return Behavior in Advancing and Declining Markets,”Real Estate Finance, Vol. 15, No. 4, pp.68–77.
9.Hoesli,M., & Oikarinen, E. (2012), “Are REITs real estate? Evidence from international sector level data”,Journal of International Money and Finance , Vol. 31, No. 7, pp.1823-1850.
10.Ibbotson, A.(2002),：Study Commissioned by the National Association of Real Estate Investment Trusts.www.Nareit.Com.
11.Simon, S., & Ng,W. L. (2009),”The Effect of the Real Estate Downturn on the Link between REITs and the Stock Market,” The Journal of Real Estate Portfolio Management, Vol. 15, No. 3, pp. 211-220.
中文文獻：
1.黃振軒 (2021)：以雙貝他及平滑轉換市場模型分析台灣股票市場系統風險，國立嘉義大學財務金融學系碩士論文。
2.張涵絜(2022)：不動產ETFs與抗通膨ETFs、S&P 500指數間波動外溢效應，中原大學企業管理學系碩士學位論文。
3.賴慧慧(2020)：不動產ETF可減少投資人失望嗎，中央大學財務金融學系碩士班論文。
4.鍾惠民、周賓凰、孫而音(2014)：財務計量Eviews的運用修訂版，新陸書局。
5. 鍾惠民、周賓凰、吳壽山、范懷文(2006)：財金計量（修訂版），雙葉書廊。指導教授 葉錦徽(Jin‑Huei Yeh) 審核日期 2023-7-19 推文 plurk
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