The Diversification Effects of Real Estate Investment Trusts: A Global Perspective

全球不動產投資信託之風險分散效益

周冠男(Robin K. Chou) ； 何耕宇(Keng-Yu Ho) ； 盧秋玲(Chiu-Ling Lu)

《財務金融學刊》 21卷1期 (2013/03) Pp. 1-27

https://doi.org/10.6545/JFS.2013.21(1).1

摘要

我們檢視美國以及其他六個國家的投資人，是否可以藉著不動產投資信託的資產配置，來增加其投資組合的風險分散效益。實證結果顯示對各國國內的投資人而言，不動產投資信託的配置確實可以顯著的增加投資績效。另一方面，對美國投資人而言，加入其他國家的不動產投資信託亦可以提升夏普指數並降低風險。

關鍵字

國際多角化 ； 平均數變異數分析 ； 不動產投資信託 ； 夏普指數

並列摘要

We examine whether investors can improve their investment opportunity sets by incorporating real estate investment trusts (REITs) into their equity portfolios for the United States and six other countries. The result indicates that the addition of a REIT portfolio leads to a statistically significant increase in the investment opportunity sets available to domestic investors in all countries. We further show that U.S. investors who include international REITs in their equity portfolios experience significant diversification benefits, which come from both an improved Sharpe ratio and an overall reduction in risk. Our study not only fills a gap in the academic literature but also provides implications to the practitioners.

並列關鍵字

International diversification ； mean-variance analysis ； real estate investment trust (REIT) ； Sharpe ratio

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