Internal Liquidity and REIT Excess Returns

內部流動性對不動產投資信託超額報酬之影響

陳宗岡(Tsung-Kang Chen) ； 廖咸興(Hsien-Hsing Liao) ； 李阿乙(Ahyee Lee) ； 顏汝芳(Ju-Fang Yen)

《證券市場發展季刊》 26卷4期 (2014/12) Pp. 113-154

https://doi.org/10.6529/RSFM.2014.26(4).4

摘要

由於美國稅法規定不動產投資信託公司至少需將其稅前盈餘的90%分配給股東，故不動產投資信託之權益證券具有較低程度的經理人裁決性股利政策且多數投資人會要求高股利等特性。因此，投資人會針對因內部流動性不足而導致無法支付法定股利的風險來要求補償。實證結果顯示不動產投資信託公司之內部流動性對其超額報酬有顯著影響；且在公司的資訊不確定性較低（負債比率較高）時，其內部流動性效果將顯著變弱（變強）。此外，本研究亦發現內部流動性的影響效果在次貸風暴期間將變得更強。最後，本研究結果在控制其他影響因子下仍然成立。

關鍵字

內部流動性 ； 不動產投資信託超額報酬 ； 資訊不確定性

並列摘要

Because tax codes require real estate investment trusts (REITs) to distribute at least 90% of taxable income to shareholders, REITs are stocks with less management's discretion in payout policy and most of their investors demand high dividends. Investors therefore may charge a premium for the risk that REITs are unable to pay legally required dividends due to insufficient internal liquidity. Our firm-level results confirm this premium. The internal liquidity effect becomes weaker (stronger) when a REIT's information uncertainty (leverage) is lower (higher). Besides, empirical investigations at aggregate level produce similar results. Moreover, empirical results also show that the influence of internal liquidity on REIT excess returns is larger in the subprime mortgage crisis period than in the pre-subprime mortgage crisis period.These findings are robust when controlling for other variables affecting REIT's excess returns.

並列關鍵字

Internal Liquidity ； REIT Excess Returns ； Information Uncertainty

參考文獻

Allen, M.T., J. Madura and T.M. Springer (2000), “REIT Characteristics and the Sensitivity of REIT Returns,” Journal of Real Estate Finance and Economics, Vol. 21, 141-152.

Bradley, M., D. Capozza and P. Sequin (1998), “Dividend Policy and Cash-Flow Uncertainty,” Real Estate Economics, Vol. 26, 556-580.

Campbell, J.Y. and G.B. Taksler (2003), “Equity Volatility and Corporate Bond Yields,” Journal of Finance, Vol. 58, 2321-2349.

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

Chen, T.K., H.H. Liao and C.W. Lu (2011a), “A Flow-based Corporate Credit Model,” Review of Quantitative Finance and Accounting, Vol. 36, 517-532.