台灣不動產投資信託績效評估與影響報酬因子之研究

A Study for Performance Evaluation and Influence Factors of Returns of Real Estates Investment Trusts in Taiwan.

鐘于婷(Yu-Ting Chung)

指導教授 ： 林佳靜

長榮大學/管理學院/經營管理研究所(博)/碩士(2008年)

摘要

面對「低利率、低成長」時代的來臨，許多民眾已將傳統的投資理財工具轉換為基金、各種衍生性金融商品等。隨著台灣通過不動產證券化條例後，眾多不動產證券化商品的出現，成為一般民眾投資不動產的管道之一。投資不動產相關產品不再是富人的權利，擁有小額的投資者亦可從中獲取報酬，增進不動產市場的活絡。
回顧不動產投資信託之相關文獻，多數偏向於探討不動產投資信託在台灣之發展歷史、商品之預測、與股票間的連動關係；或是以亞洲各國為例，藉以提供本國作為借鏡。研究台灣不動產投資信託之績效與影響報酬因子的文獻尚屬少數。
故本研究主要目的在於探討台灣不動產投資信託的投資報酬率與影響報酬之因子。樣本期間為2006年10月13日至2008年3月30日。樣本為台灣目前已上市的6檔不動產投資信託基金，取其日報酬資料進行實證研究。本研究利用資本資產定價模型（CAPM）與各種績效指標，像是夏普指標（Sharpe Index）、崔納指標（Treynor Index）、詹森指標（Jensen Index）及修正的詹森績效指標（the modified Jensen measure，MJ），來評估樣本之績效表現。此外，本研究亦運用二因子模型、三因子模型、總體經濟因子模型及多因子資產訂價模型，分析何種模型及因子對台灣不動產投資信託具有解釋能力。本研究之貢獻為: 實證研究的結果可作為投資人在選擇台灣REITs標的時之參考指標。
研究結果發現：台灣REITs之績效表現方面，以富邦一號REITs的Sharpe指標、Treynor指標、Jensen指標及修正的詹森績效指標（the modified Jensen measure）之績效表現最佳。對台灣REITs的超額報酬最具解釋能力之影響模型為三因子模型。

關鍵字

不動產投資信託 ； 績效評估 ； 資產定價模型

並列摘要

To fact「Low Interest Rate and Low Growth」, a lot of people have already changed the traditional finance investment tools into funds or other kinds of financial derivatives and so on. As the government of Taiwan passed the ordinance of Real-Estate securitization, the appearance of several real estate securitization goods became one of the outlets for investing real estate. It is no longer the rich's rights to invest the correlative products of real estate, and the small amount investors can also acquire returns from it and promote the activating of the real estate market.
As to review of the relative literatures of Real Estate Investment Trusts, most of them probe into the developing history, prediction of goods, relation with stocks of Real Estates Investment Trusts in Taiwan, or use of offering Taiwan as reference by taking each country of Asia as an example. This research still belongs to minority to study on the performance evaluation and influence factors of returns of of Real Estates Investment Trusts in Taiwan.
As a whole, this research mainly investigates rate of investment returns and influce factors of returns of Real Estates Investment Trusts in Taiwan. The data period is from October 13, 2006 to March 30, 2008. It uses six of Real Estate Investment Trusts funds which have been already listed in Taiwan at present as the samples, and takes their daily data of return to proceed evidence research. This study employs CAPM and various kinds of performance indicators as Sharpe Index, Treynor Index, Jensen Index and the modified Jensen measure to estimate performance behavior of data. Moreover, it used two-factors model, three-factors model, Macroeconomic-factors model and Arbitrage Pricing Theory to analyze what kind of models and factors have the capability of explanation for Real Estates Investment Trusts in Taiwan. The contribution of this research is the result of evidence research can be the referral indicator for investors in choosing the prizes of Real Estates Investment Trusts in Taiwan.
This research results：At performance evaluation, the best is Fubon Number One Real Estate Investment Trust. And three-factor model is the best Capital Asset Pricing Model which has great ability to explain abnormal returns of Taiwan Real Estates Investment Trust

並列關鍵字

Real Estate Investment Trusts ； Performance Evaluation ； Capital Asset Pricing Model

參考文獻

18. 張金鶚（2004）。日本不動產證券化之實施經驗與其對不動產市場影響探討。住宅學報，13:2，頁89-116。

24. 黃祺嵐（2004）。台灣不動產信託與證券化之發展。台灣金融財務季刊，第五輯第一期，頁67-85 。

29. 謝哲勝、李福隆（2002）。台灣推動不動產證券化的相關配套措施，台灣金融財務季刊，第三輯第二期，頁1-22。

10. 李宜豐（2004）。從美國經驗探討台灣不動產證券化機制。臺灣金融財務季刊，第5卷輯1期，頁35-65。

2. Chen, N., Richard, R., & Ross, S. A.（1986）. “Economic forces and the stock market”. Journal of Business, 59, pp.383-403.