不動產市場之流動性風險溢酬--跨國分析

Abstract

流動性風險溢酬意指市場對於流動性風險較高之資產將要求較高的期望報酬。傳統的資產定價理論已指出，資產價格乃決定於所有對該資產報酬具影響力的風險因子，而流動性即為其一。一般而言，具「流動性」指的是可以在快速、低成本且不影響資產價格的形況下完成交易 (Pastor, Stambaugh(2003, JPE))。流動性在市場微結構中的特性早已廣泛的被討論，然而直至Chordia et al(2000,JFE) 後，流動性在整體市場中所扮演的宏觀角色(macro-structure)才開始受到重視。近年來，關於流動性議題的重要文獻幾乎皆已著重於其系統性特性及對股市報酬的橫斷面影響力。而儘管流動性已廣泛的被認為對不動產相關資產報酬具重大影響力，但事實上，文獻中卻幾乎無法找到關於流動性與不動產期望報酬的實證研究。此外，雖然國際不動產投資情況日盛，關於流動性的跨國性研究仍是付之闕如。 為了彌補在相關文獻中的缺漏，本研究以共22國之Datastream不動產指數為標的(由各國不動產投資公司之股票所編製），藉由單一國家與多國的實證研究來檢驗1.市場中是否存在一共通的流動性風險因子 2. 流動性風險因子在不動產市場中是否被完全評價並享有風險溢酬。此外，此跨國性研究亦將比較不動產股票流動性在不同市場中的角色，並分別檢視其在時間序列及橫斷面分析時的影響力。本研究預期將可作為不動產股票資產訂價以及國際不動產投資決策時之重要參考。

Liquidity risk premium indicates that investors will require higher expected returns for assets with larger liquidity risks. With an efficient market and according to asset pricing theory, stock returns should depend on their exposure to state risk factors, which have pervasive effects on the investors’ welfare. Liquidity seems to be a good indicator. Liquidity generally denotes the ability to trade large quantities quickly, at low cost, and without moving the price. (Pastor and Stambaugh, (2003, JPE)). Liquidity's micro-structure has been extensively investigated in the literature, however, not until the study by Chordia et al. (2000, JFE), has the macro-structure of liquidity become noticed by the academia. Liquidity has long played an important role in the pricing of securitized real estate assets such as REITs and stocks of real estate companies, but few reports empirically investigate the features of real estate stock liquidity and their effect on return. Furthermore, few studies have used a multi-country framework, so that the role of liquidity across countries remains unknown. To fill the gaps in knowledge and the related literature, this study utilizes the DataSstream global real estate index of 22 countries to empirically test for the existence of a liquidity risk factor in both single- and multi-country frameworks, and to examine its role in real estate asset pricing. We also use non-US real estate data to confirm the relation between liquidity and stock return. In addition, this multi-country analysis compares the role of liquidity in the real estate market across countries. The findings are expected to have some influence in both real estate asset pricing and international real estate stock investment.