市場流動性、融資流動性與不動產投資信託(REITs) 績效之研究 – 以美國及日本為例

Market Liquidity, Funding Liquidity and Real Estate Investment Trusts (REITs) Performance – Evidence from US and Japan

傅聖元(Sheng-Yuan Fu)

指導教授 ： 姜堯民

國立臺灣大學/管理學院/財務金融學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.11214

摘要

不動產投資信託(REITs)為一證券化商品，對於發行人及投資人而言有許多優點，但其市場上觀察到的高槓桿特徵、內部資金缺乏及市場流動性較一般普通股為低的特性，亦可能成為影響其報酬率的因素。本研究針對市場流動性及融資流動性兩個面向，分析並比較美國及日本兩個市場，發現兩個國家的差異性並點出可能解釋的原因，希望能對REITs投資人及發行人提供影響REITs績效原因的新思考方向。研究發現美國對融資流動性較有反應(TED Spread)，除了Healthcare REITs之報酬率對TED Spread不顯著外，其他類型之REITs報酬率均對TED Spread呈現顯著反應，且其係數為負，代表融資流動性與預期報酬率呈現正相關；而日本則對市場流動性較有反應，但並不是全部類型之REITs均有顯著結果(在Hotel REITs上均找不到顯著現象)，其中並發現周轉率與預期報酬率呈現負相關，意即市場流動性與REITs報酬率的負向關係。

關鍵字

不動產投資信託 ； 報酬率 ； 不動產

並列摘要

Real Estate Investment Trusts (REITs) are securitization products which possess various advantages. However, they still have many issues which some researchers are concerned, which are high leverage ratio, insufficient internal funding capacity and inferior market liquidity compared to stock market, and those issues might have impacts on stock return. This paper focuses on market liquidity and funding liquidity to analyze two markets and make a comparison between US and Japan. We find funding liquidity is more important in US and the most significant variable is TED Spread except for the model of Healthcare REITs which acts as a dependent variable, and the negative coefficient stands for the positive relationship between financing liquidity and REITs return. And market liquidity is more active in Japan except for the model which tests on Hotel REITs. And the negative coefficient implied the negative relationship between the market liquidity and REITs return.

並列關鍵字

REITs ； rate of return ； Real Estate

參考文獻

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