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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24015完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林煜宗,廖咸興 | |
| dc.contributor.author | Ming-Shiow Chang | en |
| dc.contributor.author | 張銘琇 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:14:10Z | - |
| dc.date.copyright | 2006-07-11 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-07-07 | |
| dc.identifier.citation | 1. Capozza, D. R. and S. Lee, “Property Type, Size, and REIT Value”, Journal of Real Estate Research, 1995, Vol.10, pp.363-379.
2. Chen, S. J., Chengho Hsieh, Timothy W. Vines, and Shur-Nuaan Chiou, “Macroeconomic Variables, firm-Specific Variables and Returns to REITs”, Journal of Real Estate Research, 1998, Vol.16, No.3, pp.269-277. 3. Corgel, J., W. McIntosh and S. Ott, “Real Estate Investment Trusts: A Review of the Financial Economics Literature”, Journal of Real Estate Literature, 1995, Vol.3, pp.13-43. 4. Fama, Eugene F., and Kenneth R. French, “The Cross-Section of Expected Stock Returns”, Journal of Finance, 1992, Vol.47, pp.427-465 5. Fama, Eugene F., and Kenneth R. French, “Common Risk Factors in the Returns on stocks and Bonds”, Journal of Financial Economics, 1993, Vol.33, pp.3-56. 6. Fama, Eugene F., and Kenneth R. French, “Multifactor explanations of asset pricing anomalies”, Journal of Finance, 1996, Vol.51, pp.55-84. 7. Liao, Hsieh-Hsing and Tsung-Kang Chen, “A Solvency Based Multi-period Corporate Short-term Credit Risk Model”, Working paper, 2005. 8. Liao, M. J., “Insolvency Risk in Equity Returns”, Unpublished, MBA thesis, National Taiwan University. 9. Peterson, D. J. and C. Hsieh, “Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?” Real Estate Economics, 1997, Vol.25, No.2, pp.321-345. 10. Redman, A. L., H. Manakyan and K. Liano, “Real Estate Investment Trusts and Calendar Anomalies”, Journal of Real Estate Research, 1997, Vol.14, pp.19-28. 11. Titman, S. and A. Warga, “Risk and Performance of Real Estate Investment Trusts: A Multiple Index Approach”. Journal of the American Real Estate and Urban Economics Association, 1986, Vol.14, pp.414-431. 12. Vassalou, Maria and Yuhang Xing, “Default Risk in Equity Returns”, Journal of Finance, 2004, Vol.59, pp.831-867. 13. Wang, Ko, John Erickson, and Su Han Chan, “Does the REIT Stock Market Resemble the General Stock Market”, Journal of Real Estate Research, 1995, Vol.10, pp.445-460. 14. Yeh, Szu-Han, “Liquidity Risk Premium of the Real Estate Stock Market: A multi-country analysis”, Unpublished, MBA thesis, National Taiwan University. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24015 | - |
| dc.description.abstract | 本文主要在探討清償風險(solvency risk)對不動產投資信託報酬之影響。我們發現個別不動產投資信託的清償風險對不動產投資信託報酬無法加以解釋。同時，我們也發現即使在市場報酬及HML存在下，市場清償狀態變數(market-wide solvency state variable)亦對不動產投資信託報酬有顯著影響力。然而，當我們結合SMB時，市場清償狀態變數變得不顯著。這意味著市場清償風險已經涵蓋在SMB之中。 | zh_TW |
| dc.description.abstract | This research examines the relationship between solvency risk and the REIT returns. We find that the individual REIT’s solvency risk can not explain the REIT returns. We also find that a solvency state variable explains the REIT returns significantly even at the presence of the market and the book to market (HML) state variables. However, this market-wide solvency state variable becomes insignificant when the size factor (SMB factor) is combined. It implies that market-wide solvency risk is incorporated into the size factor. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:14:10Z (GMT). No. of bitstreams: 1 ntu-95-R93723054-1.pdf: 289845 bytes, checksum: 39fe70549da46b0b31d6f3235bd18308 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | 誌謝 i
摘要 ii Abstract iii Ⅰ. Introduction 1 Ⅱ. Literature Review 3 Ⅲ. Data 6 A. Data Source 6 B. Variables 6 Ⅳ. Methodology 10 A. Individual REIT’s Solvency Risk Variable 10 B. Solvency State Variable 12 Ⅴ. Empirical Results 15 A. Result of Individual REIT’s Solvency Risk 26 B. Results of the Solvency State Variable 30 Ⅵ. Conclusion 35 References 36 | |
| dc.language.iso | en | |
| dc.subject | 不動產投資信託 | zh_TW |
| dc.subject | 清償風險 | zh_TW |
| dc.subject | REIT | en |
| dc.subject | solvency risk | en |
| dc.title | 清償風險對不動產投資信託報酬之影響 | zh_TW |
| dc.title | Solvency Risk in REIT Returns | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 李阿乙,張焯然 | |
| dc.subject.keyword | 清償風險,不動產投資信託, | zh_TW |
| dc.subject.keyword | solvency risk,REIT, | en |
| dc.relation.page | 37 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2006-07-10 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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