REIT的報酬及股利成長之可預測性

Abstract

預測金融市場報酬對於社會大眾及經濟學者專家而言，一直是深感興趣的難解之謎；也因此許多學者熱衷於解開謎底的研究。至1988年經濟學者Campbell 和 Shiller提出以股利率(dividend-price ratio)來預測金融市場的報酬或其它學者提出本益比及股利發放比等等…而在這此財務比率中，以股利率最具代表性(發展為動態股利成長模型；DDM)；即是以可以反應公司財務結構面的財務比率來檢視公司的財務結構面是否健全；進而預測其股票的報酬率。我們也將股利率(dividend-price ratio)放入我們的計量迴歸模型。但是股利率(dividend-price ratio)只反映了公司的財務結構面，卻忽略了景氣循環的影響。本研究試著描述不動產投資信託(REIT)的預期報酬及股利成長之行為，並預測其預期報酬及股利成長之變動趨勢。我們使用兩個總體經濟因子 ”cayt ”和”cdyt”來預測不動產投資信託(REIT)的報酬和股利成長。我們發現不動產投資信託(REIT)的報酬和股利成長是可以被預測的，而且可能是落後於景氣循環的。

Predicting the return of financial market is always an interesting puzzle to general public and the Economists, hence there are many experts intent on researching in puzzle of financial market. In 1988, the dividend-price ratio was proposed by Campbell and Shiller. The dividend-price ratio is used to predict the return of financial market. In all financial ratios , the most representative is dividend yield (developing Dynamic Dividend Growth Model ；DDM). We also put the dividend price ratio in our regression model. But the dividend price ratio only reflects the financial structure of companies, it ignores the influence of business cycle. This paper tries to figure out the behavior of REITs’ returns and dividend growth, and predict the return and dividend growth. We use two macroeconomic variables “cayt ” and “cdyt ” to predict REITs’ returns and dividend growth. We find that REITs’ returns and dividend growth are predictable and might be lag the business cycle.