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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 荷世平 | |
dc.contributor.author | Te-Yuan Huang | en |
dc.contributor.author | 黃德元 | zh_TW |
dc.date.accessioned | 2021-06-13T15:26:03Z | - |
dc.date.available | 2016-08-06 | |
dc.date.copyright | 2008-07-23 | |
dc.date.issued | 2008 | |
dc.date.submitted | 2008-07-17 | |
dc.identifier.citation | 1. Breeden, Douglas T.(1979)“An intertemporal asset pricing model with stochastic consumption and investment opportunities.” Journal of Financial Economics 7, 265-296.
2. Campbell, John Y. (1987). 'Stock Returns and the Term Structure,' Journal of Financial Economics 18, 373-399. 3. Chan,K.C.,and Daniel D. Tzang(1988),“Interest-rate Sensitivity of Real Estate Investment Trusts”, Journal of Real Estate Research. 1988, Volume: 3 , Issue: 3 , Pages: 13-22. 4. Chen, Su-Jane, Cheng-Ho Hsieh, and Bradford. D. Jordan(1997), “Real Estate and the Arbitrage Pricing Theory:Macrovariables vs. Derived Factors”, Journal of Real Estate Finance and Economics, Vol25, pp.505-23. 5. Ewing and Payne(2003), “The Response of Real Estate Investment Trusts Returns to Macroeconomics Shocks”, Journal of Business Research , forthcoming. 6. Fama, E., and K. French. (1988). 'Dividend Yields and Expected Stock Return on Stocks and Bonds,' Journal of Financial Economics 22, 3-25. 7. Fama, E., and K. French. (1989). 'Business Conditions and Expected Return on Stocks and Bonds,' Journal of Financial Economics 25, 23-49. 8. Ferson, W. (1990). 'Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?' Journal of Finance 45, 397--430. 9. Gibbons, M. R. and W. Ferson, “Testing Asset Pricing Model with Changing Expectations and an Unobservable Market Portfolio”, Journal of Financial Economics, 1985, 14, 217–36. 10. Giliberto, S. Michael. (1990). 'Equity Real Estate Investment Trust and Real Estate Returns; ' Journal of Real Estate Research 5, 259-263. 11. Glascock, John L., Chiuling Lu, and Raymond W. So(2002),“REITs Returns and Inflation:Perverse or Reverse Causality Effects?”, Journal of Real Estate Finance and Economics,Vol24:3, pp.301-317. 12. Green, R. K. (1999), 'Stock prices and house prices in California: New evidence of a wealth effect? A Note', November, University of Wilconsin-Madison. 13. Hansen, L.E, (1982). 'Large Sample Properties of Generalized Method of Moments Estimators' Econometrica 50(2), 1092-1054. 14. Karolyi G.. A. and Sanders A.B.(1998), “The Variation of Economic Risk Premiums in Real Estate Returns”, Journal of Real Estate Finance and Economics, Vol.17, pp.245-262. 15. Liao, H. H. and J. Mei. (1998) “Risk Characteristics of Real Estate Related Securities – An Extension of Liu and Mei (1992)”, Journal of Real Estate Research, Vol.16, 279-289. 16. Ling, D.C. and A. Naranjo(1997), “Economic Risk Factors Commercial Real Estate Returns”, Journal of Real Estate Finance and Economics, Vol.14, 283-307. 17. Liu, C. H. and D. J. Hartzell and W. Greig and T. V. Grissom (1990),“The integration of the real estate market and the stock market: Some Preliminary evidence”, Journal of Real Estate Finance and Economics, No.3, pp261-282. 18. Liu, C. H. and J. Mei. (1992) 'The predictability of Returns on Equity REITs and Their Co-movement with Other Assets', Journal of Real Estate Finance and Economics, 5, 40–18. 19. McCue, T.E. and J. L. Kling(1994),“Real Estate Returns and the Macroeconomy:Some Empirical Evidence from Real Estate Investment Trust Data”,1972-1991”, Journal of Real Estate Research,Vol1.9:3, 277-287. 20. Mei, J. and A. Lee. (1994) 'Is There a Real Estate Risk Premium? ' Journal of Real Estate Finance and Economics, 9, 113–26. 21. Ross, S. A.(1976), The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13, 341–60. 22. Sagalyn, Lynne B.(1990),“Real Estate Risk and Business Cycle:Evidence from Security Markets”, Journal of Real Estate Research,Vol5:2, 203-219. 23. Vines, Timothy W., Cheng-ho Hsieh, and John J. Hatem(1994),“The Role of Systematic Covariance and Coskewness in The Pricing of Real Estate:Evidence From Equity REITs, Journal of Real Estate Research”,Vo9:1, 421-430. 24. 陳建安,「台灣不動產投資信託報酬解釋因素之研究」,朝陽科技大學財務金融研究所未出版碩士論文,2004 年。 25. 董俊良,「美國不動產投資信託報酬與風險之研究」,長庚大學企業管理研究所未出版碩士論文,2004 年。 26. 廖咸興、洪士王民,「台灣市場不動產因子存在之研究」,管理與系統,第二卷,第二期,265-286,1996年 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37376 | - |
dc.description.abstract | 不動產投資信託(REITs)已是近年熱門的投資商品之一,讓資金並不充裕的一般投資人,能藉由REITs來達到投資不動產的目的,因此藉由對不動產市場與資本市場間的關係做進一步的瞭解,我們可以改善投資組合的風險管理,以得到較好的投資績效。
本研究針對市場上各種不同資產的預期超額報酬,假設市場風險貼水會隨市場狀況而隨時間改變,透過多因子隱性變數模型(multi-factor latent variable model)來檢視自1990年至2006年間,美國市場不動產投資信託之風險特性。結果發現: 不動產投資信託市場具有三個系統風險因子,且分別可以由股票市場、債券市場及不動產市場的風險來代表。換句話說,不動產投資信託之超額報酬,均來自對於股票市場風險、債券市場風險、不動產市場風險的風險補償。不論任何種類的不動產投資信託,其報酬表現均與實質不動產價格的變化有關。權益型不動產投資信託、抵押型不動產投資信託及小型不動產投資信託三者雖然包含相同的三個系統風險因子,但風險因子能解釋三種資產的程度各不相同。本研究發現,權益型不動產投資信託的超額報酬能被股票市場、債券市場及房地產市場的風險解釋;抵押型不動產投資信託的報酬表現則與股票市場較無關連,然而與債券市場及不動產市場的報酬有同向的反應;小型不動產投資信託則是僅被不動產市場報酬解釋。 | zh_TW |
dc.description.abstract | Real Estate Investment Trusts (REITs) have been the most popular investment item in recent years. General investors who don’t have abundant treasury can reach the real estate investment by REITs. Therefore, the research tries to improve the portfolios in risk management and gain a better performance by taking a close look at the relationship between real estate market and capital market.
Focusing on expected excess return of different types of assets in the market, this research assumes that risk premium will change with the market status as time goes by, surveys the risk property of REITs in U.S. market from 1990 to 2006 through multi-factor latent variable model, and finds out the conclusion as follow: REITs market has three systemic risk factors and can be identified as follow: stock market, bond market, and real estate market. In other words, the excess returns of REITs are the risk premium from the stock market, bond market, and real estate market. The remuneration performance changes with the real estate price no matter what kind of REITs it is. Though equity REIT、mortgage REIT and small size REIT include three same sets of risk factors, the factors can explain these three kinds of assets in different degrees. This research finds out that: A) the excess return of equity REIT can be explained by the risks of stock market, bond market, and real estate market; B) the performance of return of mortgage REIT is similar to bond market and real estate market while having no connection with the stock market; C) small size REIT can only be explained by the real estate market. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T15:26:03Z (GMT). No. of bitstreams: 1 ntu-97-R95521707-1.pdf: 767222 bytes, checksum: e4f36093ce3fbb4bbb778c3297a2fd19 (MD5) Previous issue date: 2008 | en |
dc.description.tableofcontents | 第一章 緒論 1
1.1 研究動機 1 1.2 研究目的 2 1.3 研究流程 3 1.4 研究架構 4 第二章 文獻回顧 6 2.1 美國不動產信託的歷史沿革及現況介紹 6 2.2 影響不動產投資信託報酬之因素 9 2.3 不動產投資信託與房地產價格的關連性 12 2.4 多因子隱性變數模型及檢定 13 第三章 研究方法 19 3.1 資產定價模型 19 3.2 隱藏變數模型 20 3.3 一般動差法 21 第四章 資料來源與處理 22 4.1 研究期間 22 4.2 目標資產選取 22 4.3 預測變數選取 23 4.4 資料處理 24 4.5 資料來源 24 第五章 實證結果 26 5.1 統計資料 26 5.2 資產超額報酬迴歸分析 28 5.3 風險因子檢定 33 第六章 結論 40 參考文獻 41 | |
dc.language.iso | zh-TW | |
dc.title | 不動產投資信託投資因子之研究-以美國市場為例 | zh_TW |
dc.title | Risk Factors of Real Estate Investment Trusts-The Case of American Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 96-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 許耀文,廖咸興 | |
dc.subject.keyword | 不動產投資信託,風險因子,多因子隱性變數模型, | zh_TW |
dc.subject.keyword | real estate investment trusts,risk factor,multi-factor latent variable model, | en |
dc.relation.page | 42 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2008-07-18 | |
dc.contributor.author-college | 工學院 | zh_TW |
dc.contributor.author-dept | 土木工程學研究所 | zh_TW |
顯示於系所單位: | 土木工程學系 |
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