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Title: | 台灣不動產投資信託商品績效決定因素之分析 Determinants of the Performance Analysis for Taiwan REITs |
Authors: | Jui-Fu Sung 宋瑞夫 |
Advisor: | 謝德宗(Der-Tzon Hsieh) |
Keyword: | 不動產投資信託,多元迴歸分析,向量自我迴歸模型分析,縱列數據分析,績效分析, Real Estate Investment Trusts,multiple regression analysis,vector autoregression analysis,panel data analysis,performance analysis, |
Publication Year : | 2014 |
Degree: | 碩士 |
Abstract: | 本研究以分析REITs績效為主軸,使用多元迴歸分析、向量自我迴歸模型分析與縱列數據分析,研究包含信義指數、外資佔台股比率、通貨膨脹率、台幣美元匯率、台股指數報酬率與股利殖利率對REITs報酬率的影響。
本研究結果顯示信義指數對REITs報酬率有顯著的正面影響,這表示若礙於流動性、投資門檻等因素而無法投資傳統房地產,投資REITs是可行的選擇。再者,若想規避通貨膨脹風險,台灣集中市場交易的REITs並非好選擇。此外,外資即便看好台北房市,不會從REITs著手,而是藉由投資實體房地產獲取報酬。最後,台股指數報酬率與REITs報酬率之間的關係,顯示台灣REITs在多元化投資組合上,可能有相當好的功效。 This study provides an analysis of determinants of the performance for Real Estate Investment Trusts issued in Taiwan by utilizing multiple regression analysis, vector autoregression analysis and panel data analysis. The variables examined in the analysis include Sinyi Index, the percentage of shares held by foreign capital, the inflation rate, the exchange rate between USD and TWD, the rate of return of TAIEX Total Return Index, and the dividend yield. The research results suggest that investing in REITs can be a substitution of investing in real estate while focusing on rate of return. However, it is found that REITs issued in Taiwan cannot play the same role as traditional real estate investments while hedging against inflation. Besides that, only two of the REITs are affected significantly by foreign capital investment. This shows that the foreign capital tends to get the return by investing in real estate rather than REITs. Last but not least, the correlation between the rate of return of TAIEX Total Return Index and the rate of return of REITs implies that investing in REITs can be useful in diversifying the portfolio in Taiwan. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58077 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 經濟學系 |
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ntu-103-1.pdf Restricted Access | 468.59 kB | Adobe PDF |
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