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研究生： 李宗鐸
Tsung-to Lee
論文名稱： 不動產投資信託與其它資產之配置
Strategic Allocation of REITs and Related Assets using ETFs
指導教授： 葉錦徽
Jin-Huei Yeh
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 99
語文別： 英文
論文頁數： 42
中文關鍵詞： 風險分散 、不動產投資信託 、指數股票型基金 、已實現變異數-共變異數
外文關鍵詞： REITs, ETFs, Realized variance-covariance, Diversification benefits
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    • 本研究使用近來新發展的「已實現共變異數」 (realized covariance) ，以2004年12月至2010年12月，不動產投資信託 (REIT) 、大型股、小型股、債券、黃金之指數股票型基金 (ETF) 日資料為研究樣本，檢驗 REIT 與其它資產的動態資產配置效益。經由估計一系列的24月滾動窗口複迴歸模型，觀察 REIT 變異數的動態組成結構；並使用平均數-變異數模型，觀察各資產之最佳投資權重的變化趨勢以及替代性。實證結果顯示，在樣本期間中， REIT 與股票有強烈的關聯性，尤其是大型股。此外，實證結果也顯示 REIT 與股票的關聯性在2008年10月以後有進一步地提升。與Case et al. (2010) 的結論一致，本研究指出在2000年代， REIT 與股票無法提供良好的風險分散效果，此與 NAREIT 的官方主張，亦即 REIT 與股票有良好的風險分散效果相互衝突。

    In this study, we use the recently developed realized measures of covariance to examine the dynamic asset allocation benefits between real estate investment trusts (REITs) and related assets in exchange traded funds (ETFs). We use daily ETF data of REITs, large cap stocks, small cap stocks, bonds, and gold from December 2004 to December 2010 as our samples. By estimating a series of rolling multiple regressions for 24-month window, we perform the variance decomposition of REITs; by using the mean-variance model, we observe the trends of optimal portfolio allocations of each asset and the substitutability among assets. The results show that REITs are more linked with stocks recently during the sample period, to large cap stocks especially. In line with Case et al. (2010), we find that REITs and stocks would not provide that great diversification effects in 2000s; our result conflicts with Chou et al. (2009) and the official arguments of the NAREIT society.

    CONTENTS 中文摘要 .............................................................................................................................I ABSTRACT ...................................................................................................................... II CONTENTS ..................................................................................................................... III LIST OF TABLES ............................................................................................................ IV LIST OF FIGURES ........................................................................................................... IV 1. INTRODUTION .......................................................................................................... 1 2. RESEARCH REVIEW ................................................................................................. 4 3. METHODOLOGY ....................................................................................................... 7 3.1 Realized Variance and Realized Covariance .......................................................... 7 3.2 Variance Decomposition of REITs ........................................................................ 9 3.3 Strategic Optimal Weights based on Realized Covariance .................................... 11 4. EMPIRICAL RESULTS ............................................................................................. 12 4.1 Data and Descriptive Statistics ............................................................................ 12 4.2 Dynamic Structure of the Variance Components of REIT .................................... 15 4.3 The Diversification Benefits and Trend of Optimal Weights among Assets .......... 18 5. CONCLUSIONS ........................................................................................................ 21 REFERENCES ................................................................................................................. 23

    REFERENCES
    [1]Andersen, T.G., T. Bollerslev, F. X. Diebold, and H. Ebens, “The Distribution of Realized Stock Return Volatility.” Journal of Financial Economics 61, 43-76, 2001.
    [2]Andersen, T., T. Bollerslev, F. X. Diebold, and P. Labys, “Modeling and Forecasting Realized Volatility.” Econometrica 71, 579-626, 2003.
    [3]Andersen, T., T. Bollerslev, F. X. Diebold, and P. Labys, “ The Distribution of Realized Exchange Rate Volatility.” Journal of the American Statistical Association 96, 42-55, 2001.
    [4]Barndorff-Nielsen, O. E. and N. Shephard, “Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics.” Econometrica 72, 885-925, 2004.
    [5]Bradford Case, Yawei Yang and Yildiray Yildirim, “Dynamic Correlations Among Asset Classes: REIT and Stock Returns.” The Journal of Real Estate Finance and Economics, forthcoming, 1-21, 2010.
    [6]Chandrashekaran, V., “Time-series properties and diversification benefits of REIT returns.” Journal of Real Estate Research 17, 91-112, 1999.
    [7]Chen, H. C., Ho, K. Y., Lu, C., and Wu, C.-H., “Real Estate Investment Trusts: An Asset Allocation Perspective.” Journal of Portfolio Management: Real Estate Special Issue, 46-54, 2005.
    [8]Chou, Robin K., Keng-Yu Ho and Chiuling Lu, “The Diversification Effects of Real Estate Investment Trusts: A Global Perspective.” FMA Annual Meeting, Reno, Nevada, USA, 2009.
    [9]Clayton, Jim and MacKinnon, Greg, “The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns.” Journal of Real Estate Portfolio Management 7(1), 43-54, 2001.
    [10]Clayton, Jim and MacKinnon, Greg, “The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns.” Journal of Real Estate Finance and Economics 27(1), 39-60, 2003.
    [11]John C. Topuz, “Structural Changes, Market Growth and Productivity Gains of the US Real Estate Investment Trusts in the 1990s.” Journal of Economics and Finance 33, 288-315, 2009.
    [12]Seiler, J. M. and V. L. Seiler, “ETF Short Shares: The Next Stage in the Evolution of REIT Ownership.” Journal of Real Estate Portfolio Management 15(1), 21-31, 2009.

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