本研究主要以美國上市之不動產投資信託公司作為研究標的，資料期間為2001年1月至2022年4月，並採取最小平方法，進行迴歸分析，以探討不同因子之模型對於不動產投資信託公司報酬率的解釋能力。在Fama-French三因子模型、Carhart四因子模型、以及Fama-French五因子模型中，除了醫療保健的REITs由於本身產業為基本需求的因素，其餘類型REITs之超額報酬與市場溢酬因子皆有顯著的正向關係；而零售業、辦公室、住宅、醫療保健，以及工業的REITs屬於較為傳統的產業類別、投資偏好較為保守，與投資因子(CMA)有顯著的正向關係。而根據所屬交易所性質，屬於櫃檯買賣交易(OTC)的股票，會帶來顯著的超額溢酬；以過去的期間切割來看，Covid-19疫情全球大流行導致的不動產使用結構性的改變，也使得REITs的超額報酬增加。
進一步探討公司因子的面向，研究發現資產規模大的公司，在不動產投資標的選擇上可能會稀釋其收益率，進而降低股價的報酬率；當REITs的財務槓桿提升，會被視為較有風險的標的，故造成股價的下降；而獲利能力則有助於股價的表現。此外，REITs的投資人較偏好公司的資產屬於如不動產型態的有形資產及過去一年的股票報酬率較高的公司；而較不偏好股息權益比大而保留較少資金做後續投資而限縮未來現金流的公司。而不同投資類型的REITs，因各自的產業特性迥異，故影響報酬率的公司因子各有所不同。

This study focuses on publicly traded real estate investment trusts (REITs) in the United States and covers the period from January 2001 to April 2022. The study uses the least squares method to conduct regression analysis and explore the explanatory power of different factors on the returns of REITs. Among the Fama-French three-factor model, Carhart four-factor model, and Fama-French five-factor model, all types of REITs, except health REITs, which are considered a basic necessity industry, show a significant positive relationship between excess returns and market risk premium factors. Meanwhile, retail, office, residential, health, and industrial REITs, which are considered more traditional and conservative industries, show a significant positive relationship with the investment factor (CMA). In addition, OTC-listed stocks bring significant excess premiums, and the Covid-19 pandemic has led to a structural change in the use of real estate, resulting in an increase in excess returns for REITs.
Further analysis of company factors reveals that larger REITs may dilute their returns by choosing more investment targets, leading to lower stock returns. When REITs increase their financial leverage, they are considered more risky targets, leading to a decrease in stock prices. Profitability, on the other hand, contributes to stock performance. In addition, REIT investors prefer companies with tangible assets such as real estate and higher stock returns in the past year, while they are less likely to favor companies with high dividend payout ratios leading to less retained earnings for future investments, which may limit future cash flows. Lastly, the factors that affect the returns of REITs vary depending on the characteristics of each investment type.

論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
圖次 vi
表次 vii
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究目的 5
第四節 研究架構 6
第貳章 文獻探討 8
第一節 影響REITs報酬之因子分析的相關文獻 8
第二節 Fama-French模型的相關文獻 10
第三節 REITs公司理財與財務因子的相關文獻 12
第四節 REITs延伸議題的相關文獻 14
第參章 研究方法 16
第一節 資料說明 16
第二節 多因子模型 25
第三節 實證模型 26
第肆章 實證結果與分析 32
第一節 敘述統計與變數分析 32
第二節 投資類型與市場多因子模型之關係 37
第三節 REITs報酬與所屬交易所模型之關係 40
第四節 REITs報酬與所屬期間模型之關係 41
第五節 REITs報酬率與公司因子之關係 43
第伍章 結論與建議 55
第一節 研究結論 55
第二節 研究限制與建議 58
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