以隨機優勢方法分析REITs與總體經濟因子之關係

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：12

、訪客IP：3.135.224.139

姓名

林芳綺(Fang-Chi Lin) 查詢紙本館藏

畢業系所

產業經濟研究所

論文名稱

以隨機優勢方法分析REITs與總體經濟因子之關係
(REITs Performance and Macroeconomic Factors: A Stochastic Dominance Approach)

相關論文

★ 上市公司財務主管異動宣告對股價報酬與企業經營績效之影響	★ 使用信用卡循環信用持卡人特性之研究
★ 證券商分公司經營績效-以元大證券為例	★ 經濟變數對十年期公債殖利率影響之研究
★ 從股務代理機構之角度探討全面發行無實體有價證券作業	★ 以KMV 及Logistic 模型計算發行公司違約機率-台灣股市實證研究
★ 財務比率與股價報酬關聯性之研究--以全球汽車產業為例	★ 以完全複製不定期調整方式建構指數股票型基金之績效研究
★ 投資組合理論在財富管理上之應用	★ 以存活分析法預測通信貸款之還款期限
★ 巢式與非巢式資產定價理論之比較與檢定	★ 小數化、市場流動性與交易時距
★ 匯率風險與亞洲金融風暴之研究	★ 消費者情緒對股價報酬的預測能力
★ 因子或特徵:全球觀點	★ 台灣加權指數波動率之實證研究

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本篇論文利用Barret and Donald (2003) 提出的隨機優勢檢定來探討在不同總體經濟環境下, 不動產投資信託基金的表現是否優於股票的表現。我們的資料來自於不同的FTSE NAREIT 不動產投資信託指數及S&P 500 指數的月報酬率, 樣本期間為1972:01-2004:12。我們更進一步根據景氣循環狀態及實質利率水準來分割期間。實證結果顯示在全期間或是景氣復甦階段, FTSE NAREIT 綜合指數及FTSE NAREIT 權益型REITs 指數相對於S&P 500 指數存在二階及三階隨機優勢的關係。而S&P 500 指數在景氣復甦或是中度實質利率階段時, 表現的比FTSE NAREIT 抵押型REITs 指數及FTSE NAREIT 混合型REITs 指數來得好。值得一提的是, FTSE NAREIT 權益型REITs 指數在低實質利率及高實質利率下存在明顯的優勢地位。總言之, 對於風險趨避或是具有正偏態的投資者來說, FTSE NAREIT 權益型REITs 指數相對於S&P 500 指數是比較好的投資選擇。

摘要(英)

This paper employs the stochastic dominance tests based on Barret and Donald (2003) to examine whether REITs have better performance than stocks under different macroeconomic conditions. We use monthly returns of FTSE NAREIT US Real Estate Index Series and S&P 500 Index over the period 1972:01-2004:12. The sample period is divided by business cycles and the real interest rates. We find that FTSE NAREIT Composite Index and FTSE NAREIT Equity REITs Index stochastically dominate S&P 500 Index at second and third order either during the whole period or in expansion. However, S&P 500 Index has better performance than FTSE NAREIT Mortgage REITs Index and FTSE NAREIT Hybrid REITs Index in expansion and in the regime with medium real interest rate. Specifically, FTSE NAREIT Equity REITs Index dominates S&P 500 Index in the regimes with low and high real interest rates. Generally speaking, FTSE NAREIT Equity REITs Index is a better choice to invest than S&P 500 Index for risk averse investors with positive skewness preference.

關鍵字(中)

★ 隨機優勢檢定
★ 不動產投資信託基金
★ 馬可夫轉換模型

關鍵字(英)

★ Markov switching model
★ REITs
★ stochastic dominance

論文目次

中文摘要 . . . . . . . . . . . . . . . . . . . . . . . i
Abstract . . . . . . . . . . . . . . . . . . . . . . . ii
誌謝辭 . . . . . . . . . . . . . . . . . . . . . . . iii
Contents . . . . . . . . . . . . . . . . . . . . . . . iv
Figure Contents . . . . . . . . . . . . . . . . . . . . v
Table contents . . . . . . . . . . . . . . . . . . . . vi
1 Introduction 1
2 Methodology 5
2.1 Stochastic Dominance . . . . . . . . . . . . . . . . 5
2.2 Business Cycle . . . . . . . . . . . . . . . . . . . 9
2.3 Markov Switching Model . . . . . . . . . . . . . . .10
3 Data 13
4 Empirical Results 15
4.1 Descriptive Statistics of REITs in Different
Regimes . . . . . . . . . . . . . . . . . . . . . . 15
4.2 Empirical Results of Stochastic Dominance Tests . . 15
4.2.1 FTSE NAREIT Composite Index v.s. S&P500 Index . . 16
4.2.2 FTSE NAREIT Equity REITs Index v.s. S&P500 Index. 17
4.2.3 FTSE NAREIT Mortgage REITs Index v.s. S&P500 Index 18
4.2.4 FTSE NAREIT Hybrid REITs Index v.s. S&P500 Index .19
5 Conclusion 20
References 21

參考文獻

Adrangi, B., Chatrath, A., and Raffiee, K. (2004), “REIT Investments and Hedging Against Inflation”, The Journal of Real Estate Portfolio Management, 10(2), 97–112.
Allen, M. T., Madura, J., and Springer, T. M. (2000),“REIT Characteristics and the Sensitivity of REIT Returns”, Journal of Real Estate Finance and Economics, 21(2), 141–152.
Barret, G. and Donald, S. (2003), “Consistent Tests for Stochastic Dominance”, Econometrica, 71, 71–104.
Chatrath, A. and Liang, Y. (1998), “REITs and Inflation: A Long-Run Perspective”, The Journal of Real Estate Research, 16(3), 311–325.
Chen, K. C. and Tzang, D. D. (1988), “Interest-Rate Sensitivity of Real Estate Investment Trusts”, The Journal of Real Estate Research, 3(3), 13–22.
Garcia, Ren´e and Perron, Pierre (1996), “An Analysis of the Real Interest Rate under Regime Shifts”, The Review of Economics and Statistics, 78(1), 111–125.
Glascock, J. L., Lu, C., and So, R. W. (2002), “REIT Returns and Inflation: Perverse or Reverse Causality Effects”, Journal of Real Estate Finance and Economics, 24(3), 301–317.
Glascock, J. L., Michayluk, D., and Neuhauser, K. (2004),“The Riskiness of REITs Surrounding the October 1997 Stock Market Decline”, Journal of Real Estate Finance and Economics, 28(4), 339–354.
Hadar, J. and Russell, W. R. (1969), “Rules for Ordering Uncertain Prospects”, American Economic Review, 59, 25–34.
Hamilton, J. D. (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, 57, 357–384.
Hamilton, J. D. (1994), Time Series Analysis, 1st edition, Princeton, New Jersey: Princeton University Press.
Kuhle, J. L. and Walther, C. H. (1986), “REIT v.s. Common Stock Investments: A Historical Perspective”, Real Estate Finance, 47–52.
Lu, C. and So, R. W. (2001), “The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach”, Review of Quantitative Finance and Accounting, 16, 103–115.
McFadden, D. (1989), “Testing for Stochastic Dominance”, in T. B. Fomby and T. K. Seo (eds.), Studies in the economics of uncertaity: In honor of Josef Hadar, Springer.
Mueller, G. R. and Pauley, K. R. (1995), “The Effect of Interest-Rate Movement of Real Estate Investment Trusts”, The Journal of Real Estate Research, 10(3), 319–325.
Park, J. Y., Mullineaux, D. J., and Chew, I. K. (1990),“Are REITs Inflation Hedges?”, Journal of Real Estate Finance and Economics, 3, 91–103.
Smith, K. V. and Shulman, D. (1976), “The Performance of Equity Real Estate Investment Trusts”, Financial Analysts Journal, 32, 61–66.
Swanson, Z., Theis, J., and Casey, K. M. (2002), “REIT Risk Premium Sensitivity and Interest Rates”, Journal of Real Estate Finance and Economics, 24(3), 319–330.
Yobaccio, E., Rubens, J. H., and Ketcham, D. C. (1995), “The Inflation-Hedging Properties of Risk Assets: The Case of REITs”, The Journal of Real Estate Research, 10(3), 279–296.

指導教授

徐之強、何耕宇
(Chih-Chiang Hsu、Keng-Yu Ho)

審核日期

2007-6-26

推文