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研究生： 黃俊晏
Chun-Yen Huang
論文名稱： 不動產投資信託報酬與不動產類型之研究
REITs Returns and Property Types
指導教授： 史綱
Gang Shyy
何中達
Chung-Da Ho
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： 94
語文別： 英文
論文頁數： 38
中文關鍵詞： 不動產投資信託 、不動產類型 、多因子模型
外文關鍵詞： multi-factor model, property type, REITs
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    • 摘要
    本篇論文探討美國不動產投資信託將資金投資於不同的不動產類型，其報酬與股票市場、債券市場、以及原物料價格之間的關連性。我們使用1994年1月到2005年12月的月報酬資料以及1999年1月到2004年12月的周報酬資料，以多因子模型檢驗被歸類為不同類型的不動產投資信託與各市場之間的關連性，並且將不動產投資信託的報酬波動性分解，區分出其報酬波動性受到各市場影響的相對比例。
    結果顯示，不同類型的不動產投資信託報酬確實和股市、債市以及原物料價格之間有著程度不同的關連性。整體而言，股票報酬是影響不動產投資信託報酬最重要的因子，相較於大型股而言，不動產投資信託報酬比較類似小型股，而債券報酬與工業型、組合式住宅型以及零售型不動產投資信託報酬有正向的關聯，原物料價格則與工業型不動產投資信託報酬有正向的關聯。我們在周報酬資料分析中加入了公司規模因子，發現規模較大的零售型不動產投資信託有較高的報酬。

    Abstract
    This paper investigates whether REIT returns have different relationships to stock, bond, and commodity markets when REIT investments specialize in different property types. We utilize the monthly data over the period of 1994 to 2005 and the weekly data over the period of 1999 to 2004. Using a multi-factor model, we examine the relationships between REIT returns of various property types and each factor. We also decompose the proportion of REIT volatility to explore the relative contributions of each factor to REIT volatility.
    The results suggest that each type of REIT return possesses different relationships to stock, bond, and commodity market. Overall, stock market has the greatest influence on all types of REIT returns and REITs are more like small-cap stocks than large-cap stocks. Industrial, manufactured homes, and retail REITs are positively related to bond returns. Industrial REITs are related to commodity price. In our weekly analysis, we add the size factor into the multi-factor model. We find that larger retail REITs outperform smaller ones.

    Contents 1. Introduction...........................................................1 2. The Property Type of REIT..............................................2 3. Relationships between REIT and Various Markets.........................7 3.1. REIT, Stock and Bond Markets.......................................7 3.2. REIT and Real Estate Markets.......................................8 3.3. REIT and Commodity Markets.........................................9 4. Data description and Methodology......................................11 4.1. Data description..................................................11 4.2. Methodology.......................................................12 4.2.1. Standard Linear Regression (OLS)..............................12 4.2.2. Linear Regression on Orthogonalized Explanatory Variables.....16 5. Empirical results and discussion......................................19 5.1. Descriptive statistics............................................19 5.2. The Relationships between Each Market and REITs...................23 5.3. The Relative Contributions of Each Factor to REIT Volatility......27 5.4. Discussion........................................................32 6. Conclusions...........................................................35 References...............................................................37

    References
    [1] Adrangi, Bahram, Chatrath, Arjun, and Raffiee, Kambiz, 2004, REIT Investments and Hedging Against Inflation, Journal of Real Estate Portfolio Management, 10(2): 97-112
    [2] Capozza, Dennis R. and Lee, Sohan, 1995, Property Type, Size and REIT Value, Journal of Real Estate Research, 10(4): 363-379
    [3] Clayton, Jim and MacKinnon, Greg, 2001, 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
    [4] Clayton, Jim and MacKinnon, Greg, 2003, 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
    [5] Delcoure, Natalya and Dickens, Ross, 2004, REIT and REOC Systematic Risk Sensitivity, Journal of Real Estate Research, 26(3): 237-254
    [6] Eichholtz, Piet, Op’t Veld, Hans and Schweitzer, Mark, 1999, REIT Performance: Does Managerial Specialization Pay?, Performance of Financial Institutions, edited by P. Harker and S. Zenios, Cambridge University Press.
    [7] Giliberto, S. Michael, 1990, Equity Real Estate Investment Trusts and Real Estate Returns, Journal of Real Estate Research, 5(2): 259-263
    [8] Glascock, John L., Lu, Chiuling, and So, Raymond W., 2000, Further Evidence on the Integration of REIT, Bond, and Stock Returns, Journal of Real Estate Finance and Economics, 20(2): 177-194
    [9] Gyourko, Joseph and Nelling, Edward, 1996, Systematic Risk and Diversification in the Equity REIT Market, Real Estate Economics, 24(4): 493-515
    [10] Mueller, Glenn R. and Laposa, Steven P., 1996, REIT Returns: A Property-Type Perspective, Real Estate Finance, 13(1): 45-55
    [11] Mueller, Glenn R. and Anikeeff, Michael A., 2001, Real Estate Ownership and Operating Businesses: Does Combining Them Make Sense for REITs?, Journal of Real Estate Portfolio Management, 7(1): 55-65
    [12] Young, Michael S., 2000, REIT Property-Type Sector Integration, Journal of Real Estate Research, 19(1/2): 3-21

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