請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17936
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 姜堯民 | |
dc.contributor.author | Sheng-Yuan Fu | en |
dc.contributor.author | 傅聖元 | zh_TW |
dc.date.accessioned | 2021-06-08T00:46:34Z | - |
dc.date.copyright | 2015-08-05 | |
dc.date.issued | 2015 | |
dc.date.submitted | 2015-07-29 | |
dc.identifier.citation | A Barinov, (2014), Turnover: Liquidity or Uncertainty?, Management Science, Volume 60, Issue 10, Page 2478 – 2495.
Amihud, Yakov, and Haim Mendelson. 'Asset pricing and the bid-ask spread.' Journal of financial Economics 17.2 (1986): 223-249. Below, S.D., Stansell, S.R., and Coffin, M. (2000), The Determinants of REIT Institutional Ownership, Journal of Real Estate Finance and Economics, 21, 3, 263-278. Brown, D. T., & Riddiough, T. J. (2003). Financing choice and liability structure of real estate investment trusts, Real Estate Economics, 31(3), 313-346. Clayton, Jim and MacKinnon, Greg H., (2000), Explaining the Discount to NAV in REIT Pricing: Noise or Information? Available at SSRN: http://ssrn.com/abstract=258268. Clayton, J. F. and MacKinnon, G. H. (2001), The Time-Varying Nature of The Link Between REIT, Real Estate and Financial Returns, Journal of Real Estate Portfolio Management, 7, 1, 43-54. Cheong, C., Gerlach, R., Stevenson, S., Wilson, P., and Zurbruegg, R. (2006), Permanent and Transitory Drivers Of Securitised Real Estate, Financial Management Association, Salt Lake City, Utah, USA, October 11-14. Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity, The Journal of Finance, 56(2), 501-530. Conover, M.C., Friday, H.S., and Howton, S.W. (2000), An Analysis of the Cross Section of Returns For E REITs Using a Varying- Risk Beta Model, Real Estate Economics, 28(1), 141–63. Dalvi, M. R., & Baghi, E. (2014), Evaluate the Relationship between Company Performance and Stock Market Liquidity, International Journal of Academic Research in Accounting, Finance and Management Sciences, 4(1), 136-144. Diamond, W.D. 1991. Monitoring and Reputation: The Choice Between Bank Loans and Directly Placed Debt, Journal of Political Economy, 99(4): 689–721. Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value, Journal of financial Economics, 94(1), 150-169. Faulkender, M. and M. Petersen. 2006. Does the Source of Capital Affect Capital Structure? Review of Financial Studies, 19(1): 45–79. Feng, Z., C. Ghosh and C.F. Sirmans. 2007. On the Capital Structure of Real Estate Investment Trusts, The Journal of Real Estate Finance and Economics, 34(1): 81–105. Hackbarth, D., C. Hennessy and H. Leland. 2007. Can the Trade-Off Theory Explain Debt Structure?, Review of Financial Studies, 20(5): 1389–1428. Harrison, D. M., Panasian, C. A., & Seiler, M. J. (2011). Further evidence on the capital structure of REITs. Real Estate Economics, 39(1), 133-166. Holmström, B., & Tirole, J. (2001). LAPM: A Liquidity‐Based Asset Pricing Model, the Journal of Finance, 56(5), 1837-1867. Hoim, T., Jakee, K., & Shrestha, N. (2014). New Trends, Old People: The Effect of Population Aging on House Prices in the United States and Japan. Howe, J. S., & Shilling, J. D. (1988). Capital structure theory and REIT security offerings. The Journal of Finance, 43(4), 983-993. K. C. Chan, Patric H. Hendershott andAnthony B. Sanders, (1990), Real Estate Economics, Volume 18, Issue 4, pages 431–452. Lim, K. G., & Sing, T. F. (2013). Leverage Strategies of Asian REITs and Real Estate Operating Companies. McIntosh Willard, Liang Youguo, Tompkins L. Daniel, (1991), Journal of Real Estate Research, Volume 6, Number, Pages 9-17. Mohd Ali, H. (2006), Size Effect on the Performance of Listed Real Estate Companies, International Real Estate Research Symposium (Irers), 11-13th April 2006, PWTC, Kuala Lumpur, Malaysia. Ming-Chi Chen, Chi-Lu Peng, So-De Shyu, Jhih-Hong Zeng, (2010), Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance, The Journal of Real Estate Finance and Economics, Volume 45, Issue 2, pp 364-382. Yu-Hsi Chou, Yi-Chi Chen, (2014), Is the Response of REIT Returns to Monetary Policy Asymmetric?, Journal of Real Estate Research, Volume 36, Number 1 / 2014. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17936 | - |
dc.description.abstract | 不動產投資信託(REITs)為一證券化商品,對於發行人及投資人而言有許多優點,但其市場上觀察到的高槓桿特徵、內部資金缺乏及市場流動性較一般普通股為低的特性,亦可能成為影響其報酬率的因素。本研究針對市場流動性及融資流動性兩個面向,分析並比較美國及日本兩個市場,發現兩個國家的差異性並點出可能解釋的原因,希望能對REITs投資人及發行人提供影響REITs績效原因的新思考方向。研究發現美國對融資流動性較有反應(TED Spread),除了Healthcare REITs之報酬率對TED Spread不顯著外,其他類型之REITs報酬率均對TED Spread呈現顯著反應,且其係數為負,代表融資流動性與預期報酬率呈現正相關;而日本則對市場流動性較有反應,但並不是全部類型之REITs均有顯著結果(在Hotel REITs上均找不到顯著現象),其中並發現周轉率與預期報酬率呈現負相關,意即市場流動性與REITs報酬率的負向關係。 | zh_TW |
dc.description.abstract | Real Estate Investment Trusts (REITs) are securitization products which possess various advantages. However, they still have many issues which some researchers are concerned, which are high leverage ratio, insufficient internal funding capacity and inferior market liquidity compared to stock market, and those issues might have impacts on stock return. This paper focuses on market liquidity and funding liquidity to analyze two markets and make a comparison between US and Japan. We find funding liquidity is more important in US and the most significant variable is TED Spread except for the model of Healthcare REITs which acts as a dependent variable, and the negative coefficient stands for the positive relationship between financing liquidity and REITs return. And market liquidity is more active in Japan except for the model which tests on Hotel REITs. And the negative coefficient implied the negative relationship between the market liquidity and REITs return. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T00:46:34Z (GMT). No. of bitstreams: 1 ntu-104-R02723064-1.pdf: 1594952 bytes, checksum: cdf8e0340b0212a0e4bd947178316d89 (MD5) Previous issue date: 2015 | en |
dc.description.tableofcontents | 目 錄
中文摘要………………………………………………………...………….……..….. #3 英文摘要……………………………………………………………………….....… #4 第一章 前言……………………………………………………………………….. #7 第二章 文獻回顧………………………………………………………….…….. #8 2. 1影響REITs報酬率績效表現之因素…………………………………… #8 2. 2 REITs之資本結構……………………………………………………… #9 2. 3衡量市場流動性之指標與公司價值、公司報酬率之關係….……….#10 2. 4實證假說……………………………………………………….…………#11 第三章 實證資料與模型…………………………………………….…………. #11 3. 1 美國REITs之市場流動性衡量指標…………………………………… #11 3. 2 美國REITs之融資流動性衡量指標…………………………………… #11 3. 3 美國REITs之績效衡量指標…………………………………………… #12 3. 4 日本REITs之市場流動性衡量指標…………………………………… #12 3. 5 日本REITs之融資流動性衡量指標…………………………………… #12 3. 6日本REITs之績效衡量指標……………………………………..…… #13 3. 7美國實證模型……….…………………………………………………… #13 3. 8日本實證模型……………………………………………………….…… #15 第四章 實證結果…………………..……………………………………………. #17 4. 1美國實證結果…………………………………………………………… #17 4. 2日本實證結果…………………………………………………………… #28 第五章 結論……………………………….....………………………………….. #35 參考文獻………………………………………………………………… #39 附錄.………………………………………………………………………...……. #41 | |
dc.language.iso | zh-TW | |
dc.title | 市場流動性、融資流動性與不動產投資信託(REITs)
績效之研究 – 以美國及日本為例 | zh_TW |
dc.title | Market Liquidity, Funding Liquidity and Real Estate Investment Trusts (REITs) Performance – Evidence from US and Japan | en |
dc.type | Thesis | |
dc.date.schoolyear | 103-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 張邦茹,黃柏凱 | |
dc.subject.keyword | 不動產投資信託,報酬率,不動產, | zh_TW |
dc.subject.keyword | REITs,rate of return,Real Estate, | en |
dc.relation.page | 41 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2015-07-29 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-104-1.pdf 目前未授權公開取用 | 1.56 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。