不動產投資信託投資因子之研究-以美國市場為例

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。

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.