請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/42596
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 林修葳 | |
dc.contributor.author | Ming-Hsueh Chen | en |
dc.contributor.author | 陳明斈 | zh_TW |
dc.date.accessioned | 2021-06-15T01:17:16Z | - |
dc.date.available | 2014-07-30 | |
dc.date.copyright | 2009-07-30 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-07-28 | |
dc.identifier.citation | Essay 1.
Beckers, S., G. Connor, and R. Curds. (1996). “National Versus Global Influences on Equity Returns,” Financial Analysts Journal 52(2), 31-39. Chaudhry, M. K., F. C. N. Myer, and J. R. Webb. (1999). “Stationarity and Cointegration in Systems with Real Estate and Financial Assets,” Journal of Real Estate Finance and Economics 18(3), 339-349. Clayton, D. G. (1978). “A Model for Association in Bivariate Life Tables and Its Application in Epidemiological Studies of Familial Tendency in Chronic Disease Incidence,” Biometrika 65, 141-151. Cook, R. D., and M. E. Johnson. (1981). “A Family of Distributions for Modeling Nonelliptivelly Symmetric Multivariate Data,” Journal of the Royal Statistical Society 43, 210-218. De Wit, D. P. M. (1997). “Real Estate Diversification Benefits,” Journal of Real Estate Research 14(2), 117-136. Fermanian, J.-D., and O. Scaillet. (2003). “Nonparametric Estimation of Copulas for Time Series,” Journal of Risk 5, 25-54. Fisher, J., and Liang, Y. (2000). “Is Sector Diversification More Important Than Regional Diversification?” Real Estate Finance 17, 34–40. Frank, M. J. (1979). “On the Simultaneous Associativity of F(x, y) and x + y – F(x, y),” Aequationes Mathematiques 19, 194-226. Geltner, D., and B. Kluger. (1998). “REIT-Based Pure-Play Portfolios: The Case of Property Type,” Real Estate Economics 26(4), 581-612. Genest, C., K. Ghoudi, and L. P. Rivest. (1993). “A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions”, Biometrika 82, 543-552 Goorah, A. (2007). “Real Estate Risk Management with Copulas,” Journal of Property Research 24(4), 289-311. Gordon, M. J., and P. J. Halpern. (1974). “Cost of Capital for a Division of a Firm,” Journal of Finance 29(4), 1153-1163. Gumbel, E. J. (1960). “Bivariate Exponential Distributions,” Journal of American Statistical Association 55(292), 698-707. Gyourko, J., and E. Nelling. (1996). “Systematic Risk and Diversification in the Equity REIT Market,” Real Estate Economics 24(4), 493-515. Hartzell, D., J. Hekman, and M. Miles. (1986). “Diversification Categories in Investment Real Estate,” AREUEA Journal 14(2), 230-253. Heston, S. L., and K. G. Rouwenhorst. (1994). “Does Industrial Structure Explain the Benefits of International Diversification?” Journal of Financial Economics 36, 3-27. Knight, J., C. Lizier, and S. Satchell. (2005). “Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets,” Journal of Property Research 22, 309-323. Lee, S. L. (2001). “The Relative Importance of Property Type and Regional Factors in Real Estate Returns.” Journal of Real Estate Portfolio Management 7, 159-167. Lieblich, F. (1995). “The Real Estate Portfolio Management Process,” In The Handbook of Real Estate Portfolio Management. J. L. Pagliari (ed.). Chicago, IL: Irwin. Markowitz, H. (1952). “Portfolio Selection,” Journal of Finance 7(1), 77-91. Miles, M. E., and T. E. McCue. (1982). “Historic Returns and Institutional Real Estate Portfolio,” AREUEA Journal 10(2), 184-198. Miles, M. E., and T. E. McCue. (1984). “Commercial real estate returns,” AREUEA Journal 12, 355-377. Myer, F. C. N., and J. R. Webb. (1993). “Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison,” Journal of Real Estate Research 8(1), 87-106. Myer, F. C. N., and J. R. Webb. (1994). “Statistical Properties of Returns: Financial Assets Versus Commercial Real Estate,” Journal of Real Estate Finance and Economics 8(3), 267-282. Newell, G., P. Acheampong, and E. Worzala. (2002). “Property Research Priorities in Australia,” Pacific Rim Property Research Journal 8(2), 127-139. Newell, G., P. McAllister, and E. Worzala. (2003). “Property Research Priorities in the U.K.,” Journal of Property Investment and Finance 22(3), 269-282. Ross, S. A., and R. C. Zisler. (1991). “Risk and Return in Real Estate,” Journal of Real Estate Finance and Economics 4, 175-190. Schulte, K.-W., G. Newell and E. Worzala. (2003). “Property Research Priorities in Germany,” Paper presented at ERES Conference, Helsinki. Shi, J., and T. Louis. (1995). “Inferences on the Association Parameter in Copula Models for Bivariate Survival Data”, Biometrics 51, 1384-1399. Sklar, A. (1959). “Fonctions de répartition à n dimensions et leurs marges,” Publ. Inst. Statist. Univ. Paris 8, 229–231 Webb, J. R., and W. McIntosh. (1986). “Real Estate Acquisition Rules for REITs: A Survey,” Journal of Real Estate Research 1(1), 77-98. Worzala, E., D. Gilliland, and J. Gordon. (2002). “Real Estate Research Needs of the Plan Sponsor Community,” Journal of Real Estate Portfolio Management 8(1), 65-78. Worzala, E., and V. Bajtelsmit. (1997). “Real Estate Asset Allocation and Decision Making Framework Used by Pension Fund Managers.” Journal of Real Estate Portfolio Management 3(1), 47-56. Young, M. S., and R. A. Graff. (1995). “Real Estate is Not Normal: A Fresh Look at Real Estate Return Distributions,” Journal of Real Estate Finance and Economics 10, 225-259. Essay 2. Cheng, P., and Roulac, S. E. (2007). Measuring the Effectiveness of Geographical Diversification. Journal of real estate portfolio management, 13(1), 29-44. Cole, R., Guilkey, D., Miles, M., and Webb, B. (1989). More Scientific Diversification Strategies for Commercial Real Estate. Real Estate Review, 19, 59–66. De Wit, D. P. M. (1997). Real Estate Diversification Benefit. Journal of Real Estate Research, 14(1/2), 117-135. Fisher, J. D., and Liang, Y. (2000). Is Sector Diversification More Important Than Regional Diversification? Real Estate Finance, 17(3), 35-40. Giliberto, M., and Hopkins, R. (1990). Metro Employment Trends: Analysis and Portfolio Considerations. Solomon Brother Report, New York. Grissom, T. V., Kuhle, J. L., and Walther, C. H. (1987). Diversification Works in Real Estate, Too. The Journal of Portfolio Management, 13(2), 66–71. Gyourko, J., and Nelling, E. (1996). Systematic Risk and Diversification in the Equity REIT Market. Real Estate Economics, 24(4), 493-515. Hartzell, D. J., Hekman, J., and Miles, M. (1986). Diversification Categories In Investment Real Estate. Journal of the American Real Estate and Urban Economics Association, 14(2), 230-254. Hartzell, D. J., Shulman, D. G., and Wurtzbach, C. H. (1987). Refining the Analysis of Regional Diversification for Income-Producing Real Estate. Journal of Real Estate Research, 2(2), 85-95. Howe, J. S., and Shilling, J. D. (1988). Capital Structure Theory and REIT Security Offerings. The Journal of Finance, 43(4), 983-993. Lee, S., and Byrne, P. (1998). Diversification by Sector, Region or Function? A Mean Absolute Deviation Optimisation. Journal of Property Valuation & Investment, 16(1), 38-56. Malizia, E. E., and Sirmons, R. A. (1991). Comparing Regional Classifications for Real Estate Portfolio Diversification. Journal of Real Estate Research, 6(1), 53-77. Miles, M., and McCue, T. (1982). Historic Returns and Institutional Real Estate Portfolios. Journal of the American Real Estate Association, 2, 184-199. Mueller, G. R. (1993). Refining Economic Diversification Strategies for Real Estate Portfolios. Journal of Real Estate Research, 8(1), 55-68. Oppenheimer, P. H. (2000). An Investigation of Current Debt Levels of Equity REITs. Journal of Real Estate Portfolio Management, 6(3), 225–237. Sharpe, W. F. (1963). A simplified Model of Portfolio Analysis. Management Science, 9(2), 425-442. Webb, J. R., and McIntosh, W. (1986). Real Estate Investment Acquisition Rules for REITs: A Survey. Journal of Real Estate Research, 1(1), 77-98. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/42596 | - |
dc.description.abstract | 此篇博士論文探討兩個議題: (1) 應用純粹遊戲法所產生之不動產指數之間關聯性研究;與(2) 權益型不動產投資信託公司的融資及多角化策略研究。
第一個議題,應用純粹遊戲法及copula模型,探討不動產投資組合經理人透過地域分散不動產以降低風險之策略的有效性。首先利用純粹遊戲法,建立不動產投資信託的純粹遊戲投資組合,目的是去除不同不動產類型及不同地域之間相互影響的因素,得到純粹為某種不動產類型或地域分布的不動產投資組合,再利用權益型不動產投資信託的歷史日報酬,建立純粹不動產類型及純粹地域分布的指數,研究期間為1999年到2008年。研究結果顯示純粹不動產類型指數在市場呈現空頭或多頭時,各指數間共同上漲或下跌的程度不對稱,在市場為熊市時,各指數之間的關聯性相對於牛市時較高。相對而言,本研究發現純粹地域分布指數之間的關聯性結構並不明顯。 第二個議題,關於權益型不動產投資信託風險的研究。我們將焦點放在不動產類型、地域及經濟地域多角化對於非槓桿貝他及財務槓桿的影響,想要探究不動產投資信託公司的總風險中,各種組成要素之間的相互影響程度。我們的研究結果顯示,不動產投資信託公司的多角化程度,在解釋不動產投資信託公司的非槓桿貝他上並不顯著。然而,經濟地域多角化程度則是影響財務槓桿的重要解釋變數。 | zh_TW |
dc.description.abstract | This doctoral thesis explores (1) “Investigation of the Structure of Dependence in REIT-Based Pure-Play Portfolios” and (2) “Financing and Diversification Strategies of Equity REIT Firms”.
The first essay of this dissertation employs the pure-play method to explore the effectiveness of REIT managers’ diversifying their real estate portfolios geographically in reducing risks. Specifically, we derive property type and regional pure-play returns from security returns of equity REITs from 1999 to 2008. The historical pure-play indices help us evaluate the performance of specific REIT sectors and regions. Then, we employ copula functions for pure real estate indices that remove the compounding factors from each index. We find that there exists an asymmetric structure of dependence among pure-play property type indices in bull versus bear markets. In contrast, the structure of dependence between pure-play regional indices is obscure. The second essay of this dissertation expands on previous studies regarding the financial risk of equity real estate investment trusts (REITs) by focusing on the effects of property type and geographic (economic) diversification in terms of unlevered beta and financial leverage. We examine the interrelationships among the variables regarding the total risk of these firms and explore several research questions. First, we explore the association between property type as well as geographic (economic) diversification and unlevered beta. Second, we investigate the relationship between the level of diversification and REIT firm’s’ capital structure. Our evidence indicates that the measures of diversification for REIT firms do not help explain the variability of their unlevered beta. In contrast, the degree of economic diversification appears to serve as a variable to debt ratios. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T01:17:16Z (GMT). No. of bitstreams: 1 ntu-98-D91724013-1.pdf: 1517217 bytes, checksum: d55e40a0dc6eec85dc7ab21fb3e9a664 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | Essay 1. Investigation of the Structure of Dependence in REIT-Based Pure-Play Portfolios
1. Introduction 1 2. Methodology 6 3. Data 13 4. Empirical results 14 5. Conclusions 26 References 27 Essay 2. Financing and Diversification Strategies of Equity REIT Firms 1. Introduction 32 2. Sample Selection and Data Description 34 3. Variables and Methodology 36 4. Results 40 5. Conclusions 45 References 45 | |
dc.language.iso | en | |
dc.title | 不動產投資信託多角化議題之研究 | zh_TW |
dc.title | Diversification in the Equity REIT Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 盧信昌,葉小蓁,何耕宇,張元晨,盧秋玲 | |
dc.subject.keyword | 純粹遊戲法,Copula 模型,關聯性結構,多角化, | zh_TW |
dc.subject.keyword | Pure-Play Method,Copula Model,Structure of Dependence,Diversification, | en |
dc.relation.page | 47 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2009-07-28 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-98-1.pdf 目前未授權公開取用 | 1.48 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。