Responsive image
博碩士論文 etd-0515123-142045 詳細資訊
Title page for etd-0515123-142045
論文名稱
Title
美國不動產投資信託(REITs)報酬率影響因子之研究
A Study on the Factors Affecting the Return of Real Estate Investment Trusts (REITs)in the United States
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
71
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2023-05-29
繳交日期
Date of Submission
2023-06-15
關鍵字
Keywords
不動產投資信託、多因子分析、股票報酬、公司財務因子、產業分析
Real Estate Investment Trusts (REITs), Multiple Factor Analysis, stock returns, corporate financial factors, industry analysis
統計
Statistics
本論文已被瀏覽 65 次,被下載 0
The thesis/dissertation has been browsed 65 times, has been downloaded 0 times.
中文摘要
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。

Abstract
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.

目次 Table of Contents
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
參考文獻 59
參考文獻 References
Allen, M. T. & Madura, J. & Springer, T. M., (2000) REIT Characteristics and the
Sensitivity of REIT Returns, The Journal of Real Estate Finance and Economics,
21, 141–152.

Amihud, Y. & Mendelson, H. (1986)Asset pricing and the bid-ask spread, Journal of
Financial Economics, 17, 2, 223-249.

An, H. & WU, Q. & Wu, Z. (2015) REIT Crash Risk and Institutional Investors, The
Journal of Real Estate Finance and Economics, 53, 527–558.

Banz, R.W. (1981) The Relationship between Return and Market Value of Common
Stocks. Journal of Financial Economics, 9, 3-18.

Beracha E. & Feng, Z. & Hardin, W.G. (2019) REIT Operational Efficiency:
Performance, Risk, and Return, The Journal of Real Estate Finance and Economics, 58, 408-437.

Brady,P. J., & Conlin, M.E. (2004) The Performance of REIT-owned Properties and
the Impact of REIT Market Power, The Journal of Real Estate Finance and Economics, 28, 81–95.

Brounen, D. & Koning, S. D. (2012) 50 Years of Real Estate Investment Trusts: An
International Examination of the Rise and Performance of REITs, Journal of Real Estate Literature, 20, 197-223.

Carhart, M. M. (1997) On Persistence in Mutual Fund Performance, The Journal of
Finance, 52, 57-82.

Case, B. & Yang, Y. & Yildirim, Y. (2011) Dynamic Correlations among Asset
Classes: REIT and Stock Returns, The Journal of Real Estate Finance and Economics, 44, 298-318.

Cakici, N. (2015) The Five-Factor Fama-French Model: International Evidence,
SSRN Electronic Journal.

Chan, K. C., Hendershott, P. H., & Sanders, A. B. (1990) Risk and Return on Real
Estate: Evidence from Equity REITs, NBER Working Paper Series, 18, 431-452.

Chen, M. C. & Wang, C. Y. & Shyu, S. D. (2012) Liquidity and the Future Stock
Returns of the REIT Industry, The Journal of Real Estate Finance and Economics, 45.

Clayton, J. & MacKinnon G., (2003) The Relative Importance of Stock, Bond and
Real Estate Factors in Explaining REIT Returns, The Journal of Real Estate Finance and Economics, 27, 39–60.

Coen, A. & Desfleurs, A. (2020) The relative performance of green REITs: Evidence
from financial analysts’forecasts and abnormal returns, Institute of Electrical and Electronics Engineers.

Fama, E. F., & French, K. R. (1992) The Cross-Section of Expected Stock Returns.
The Journal of Finance, 47, 427-465.

Fama, E. F. & French, K. R. (1993) Common risk factors in the returns on stocks and
bonds, Journal of Financial Economics, 33.3-56.

Fama, E. F. & French, K. R. (2014) A Five-Factor Asset Pricing Model. Journal of
Financial Economics, 116, 1-22.

Fama, E. F. & MacBeth J. D. (1973) Risk, Return, and Equilibrium: Empirical Tests,
The Journal of Political Economy, 81, 607-636.

Feng, Z. & Wu, Z. (2021) ESG Disclosure, REIT Debt Financing and Firm Value, The
Journal of Real Estate Finance and Economics.

Feng, Z. & Wu, Z. (2022) Local Economy, Asset Location and REIT Firm Growth,
The Journal of Real Estate Finance and Economics, 65, 75-102.

Foye, J. & Mramor, D. & Pahor, M. (2013) A respecified fama french three factor
model for the new European Union member states. Journal of International Financial Management & Accounting, 24, 3–25.

Griffin, J. M. (2002) Are the Fama and French Factors Global or Country Specific?, The
Review of Financial Studies Summer, 15, 783-803.

Harrison, D.M. & Panasian A.P. & Seiler M.J. (2010) Further Evidence on the Capital
Structure of REITs, Real Estate Economics, 39, 133-166.

Hyunjoon K & Anna S. M. & Zheng G.(2002) Performance of hotel real estate
investment trusts: a comparative analysis of Jensen indexes, International Journal
of Hospitality Management, 21(1), 85-97.

Jegadeesh, N. & Titman, S. (1993)Returns to Buying Winners and Selling Losers:
Implications for Stock Market Efficiency, The Journal of Finance, 48, 1, 65-91

Kim, B. S. (2015) The Impact of the Global Financial Crisis on Asia-Pacific Real
Estate Markets: Evidence from Korea, Japan, Australia and U.S. REITs, Pacific Rim Property Research Journal, 15, 398-416.

Lamoureux, C. G. & SANGER G. C. (1989) Firm Size and Turn‐of‐the‐Year Effects
in the OTC/NASDAQ Market, The Journal of Finance, 44,1219-1245.

Letdin, M. & Sirmans, S. & Sirmans, G.S. (2022) Betting Against the Sentiment in
REIT NAV Premiums, The Journal of Real Estate Finance and Economics. 64, 590-614.

Lintner, J. (1965) The Valuation of Risk Assets and the Selection of Risky
Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47, 13-37.

Milcheva S. (2021) Volatility and the Cross-Section of Real Estate Equity Returns
during Covid-19, The Journal of Real Estate Finance and Economics, 65, 293–320.

Morri, G. & Parri E. (2017) US REITs capital structure determinants and financial
economic crisis effects, Journal of Property Investment & Finance, 35, 556-574.

Mueller G. (2020) REIT Size and Earnings Growth: Is Bigger Better, or a New
Challenge?, Journal of Real Estate Portfolio Management, 4, 149-157.

Pastor, L. & Stambaugh, R. (2003)Liquidity Risk and Expected Stock Returns,
Journal of Political Economy, 111, 642-685.

Redman, A. L. & Manakyan, H. (1995), A multivariate analysis of REIT performance
by financial and real asset portfolio characteristics, The Journal of Real Estate Finance and Economics 10, 169–175.

Reinganum, M. (1981) A Misspecification of Capital Asset Pricing: Empirical
Anomalies Based on Earnings Yields and Market Values. Journal of Financial Economics, 9, 19-46.

Rosenberg, B., Reid, K. and Lanstein, R. (1985) Persuasive Evidence of Market
Inefficiency. Journal of Portfolio Management, 11, 9-17.

Rovolis, A. & Feidakis, A. (2014) Evaluating the impact of economic factors on
REITs' capital structure around the world, Journal of Property Investment and Finance, 32, 5-20.

Sharpe, W.F. (1964) Capital Asset Prices A Theory of Market Equilibrium under
Conditions of Risk. Journal of Finance, 19, 425-442.

Stattman, D. (1980) Book Values and Stock Returns. The Chicago MBA A Journal of
Selected Papers, 4, 25-45.

Stoll, H. & Whaley R. E. (1983)Transaction costs and the small firm effect, Journal of
Financial Economics, 12, 1, 57-79.

Su, H. M. & Huang, C. M. & Pai, T. Y. (2010) The hybrid characteristic of REIT
returns: Evidence from Japanese and U.S. markets, Journal of Real Estate Literature, 18, 77-98.

Yan, R. & Bao, J. (2020) Analysis of Application of Fama-French 3-factor Model and
Fama-French 5-factor Model in Manufacture Industry and Health Industry, Institute of Electrical and Electronics Engineers,2020, 158-163.

Yang, Q. & Li, L., Zhu, Q. & Mizrach, B. (2017) Analysis of US Sector of Services
with a New Fama-French 5-Factor Model. Applied Mathematics, 8(9), 1307-1319.

Ying, Z. & Andrew, H. J., (2022), Industry Concentration and U.S. REIT Returns,
Real Estate Economics, 50, 247-267.

Zhang S. (2022) Research on the Application of Fama-French Five-Factor Model in
American Stock Market Before and During the COVID-19 Pandemic, Proceedings of the 5th International Conference on Economic Management and Green Development, 358–367.
電子全文 Fulltext
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
論文使用權限 Thesis access permission:自定論文開放時間 user define
開放時間 Available:
校內 Campus:開放下載的時間 available 2028-06-15
校外 Off-campus:開放下載的時間 available 2028-06-15

您的 IP(校外) 位址是 44.211.26.178
現在時間是 2024-06-13
論文校外開放下載的時間是 2028-06-15

Your IP address is 44.211.26.178
The current date is 2024-06-13
This thesis will be available to you on 2028-06-15.

紙本論文 Printed copies
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。
開放時間 available 2028-06-15

QR Code