不動產投資信託與營建類股的處置效果分析

Abstract

不動產投資信託與營建類股同樣都兼具股票與不動產的性質，但不動產投資信託依「不動產證券化條例」的規定，必須將收益100%分配給投資人，有較穩定的配息制度，且不動產投資信託的投資標的將會受託給專業的機構管理，也具有較佳的資訊透明度，理性的投資人應該會因為這些因素而降低不動產投資信託「處置效果」的發生。 本研究主要的目的在探討台灣不動產投資信託與營建類股「處置效果」的差異，利用Weber and Camerer(1998)提出的處置係數進行分析，觀察到台灣不動產投資信託的處置效果較營建類股不顯著，但兩者的差異並不明顯。將2008年至2011年各年度的資料以月份進行切割再次進行分析，發現不動產投資信託與營建類股並不存在年底(十二月)的「自我控制心理」現象、(四、五月)稅賦損失利得現象和農曆春節(一、二月)效應，且處置效果在月份的分配上並無一個明顯的特徵。 台灣的不動產投資信託與營建類股在市場情況較好及個股前一期表現較佳時，投資人預期未來市場走勢可能出現反轉而加速實現利得，處置效果較為強烈。不動產投資信託由於市值差異不大，對於投資人的投資行為沒有顯著的影響，而營建類股的投資人對於市值小的公司信心不足且市場較不活絡，存在較弱的處置效果。在股利的部分，無論是不動產投資信託或是營建類股都對處置效果沒有顯著的影響，顯示投資人並不是因為股利制度的差異而有不同的投資行為。

Both Real Estate Investment Trusts (REITs) and stocks of Construction industry have the nature of stocks and real estate. Following the “Real Estate Securitization Act,” REITs should distribute the 100% earnings to the investors, manage the properties by professional property managers and provide the detail information to the investors. Therefore, the rational investors of REITs should have less “disposition effect.” This paper compares the differences of disposition effect of REITs and stocks of Construction industry. Investigating the disposition effect by using the disposition coefficient from Weber and Camerer(1998), we find that the disposition effect of REITs is less than the one of stocks of Construction industry, but the difference is not significant. Also, we divide the 2008-2011 samples by twelve months and investigate the disposition effect by the same way, discovering that there is no“self control effect”in the end of year (in December), “tax-loss selling hypothesis”(in April or May) and “Chinese New Year effect”( in January or February) in both REITs and stocks of Construction industry. When Stock market is in a good situation and the respective shares' last period performances are good, the investors sell the winners because of the expectation of mean reversion and the disposition effect is larger. Because the market values of REITs are similar, they don't affect the investment behaviors of investors. And we find that the investors of small-size stocks of Construction industry have less disposition effect, because they have less confidence in those companies and the market is not active. From the results of regression, we find that the dividend is not the significant factor affects the investors' investment behaviors.