不動產投資信託多角化議題之研究

此篇博士論文探討兩個議題: (1) 應用純粹遊戲法所產生之不動產指數之間關聯性研究；與(2) 權益型不動產投資信託公司的融資及多角化策略研究。第一個議題，應用純粹遊戲法及copula模型，探討不動產投資組合經理人透過地域分散不動產以降低風險之策略的有效性。首先利用純粹遊戲法，建立不動產投資信託的純粹遊戲投資組合，目的是去除不同不動產類型及不同地域之間相互影響的因素，得到純粹為某種不動產類型或地域分布的不動產投資組合，再利用權益型不動產投資信託的歷史日報酬，建立純粹不動產類型及純粹地域分布的指數，研究期間為1999年到2008年。研究結果顯示純粹不動產類型指數在市場呈現空頭或多頭時，各指數間共同上漲或下跌的程度不對稱，在市場為熊市時，各指數之間的關聯性相對於牛市時較高。相對而言，本研究發現純粹地域分布指數之間的關聯性結構並不明顯。第二個議題，關於權益型不動產投資信託風險的研究。我們將焦點放在不動產類型、地域及經濟地域多角化對於非槓桿貝他及財務槓桿的影響，想要探究不動產投資信託公司的總風險中，各種組成要素之間的相互影響程度。我們的研究結果顯示，不動產投資信託公司的多角化程度，在解釋不動產投資信託公司的非槓桿貝他上並不顯著。然而，經濟地域多角化程度則是影響財務槓桿的重要解釋變數。

關鍵字

純粹遊戲法； Copula 模型；關聯性結構；多角化

並列摘要

This doctoral thesis explores (1) “Investigation of the Structure of Dependence in REIT-Based Pure-Play Portfolios” and (2) “Financing and Diversification Strategies of Equity REIT Firms”. The first essay of this dissertation employs the pure-play method to explore the effectiveness of REIT managers’ diversifying their real estate portfolios geographically in reducing risks. Specifically, we derive property type and regional pure-play returns from security returns of equity REITs from 1999 to 2008. The historical pure-play indices help us evaluate the performance of specific REIT sectors and regions. Then, we employ copula functions for pure real estate indices that remove the compounding factors from each index. We find that there exists an asymmetric structure of dependence among pure-play property type indices in bull versus bear markets. In contrast, the structure of dependence between pure-play regional indices is obscure. The second essay of this dissertation expands on previous studies regarding the financial risk of equity real estate investment trusts (REITs) by focusing on the effects of property type and geographic (economic) diversification in terms of unlevered beta and financial leverage. We examine the interrelationships among the variables regarding the total risk of these firms and explore several research questions. First, we explore the association between property type as well as geographic (economic) diversification and unlevered beta. Second, we investigate the relationship between the level of diversification and REIT firm’s’ capital structure. Our evidence indicates that the measures of diversification for REIT firms do not help explain the variability of their unlevered beta. In contrast, the degree of economic diversification appears to serve as a variable to debt ratios.

並列關鍵字

Pure-Play Method ； Copula Model ； Structure of Dependence ； Diversification

參考文獻

Beckers, S., G. Connor, and R. Curds. (1996). “National Versus Global Influences on Equity Returns,” Financial Analysts Journal 52(2), 31-39.

Clayton, D. G. (1978). “A Model for Association in Bivariate Life Tables and Its Application in Epidemiological Studies of Familial Tendency in Chronic Disease Incidence,” Biometrika 65, 141-151.

De Wit, D. P. M. (1997). “Real Estate Diversification Benefits,” Journal of Real Estate Research 14(2), 117-136.

Fermanian, J.-D., and O. Scaillet. (2003). “Nonparametric Estimation of Copulas for Time Series,” Journal of Risk 5, 25-54.

Frank, M. J. (1979). “On the Simultaneous Associativity of F(x, y) and x + y – F(x, y),” Aequationes Mathematiques 19, 194-226.

國際替代計量

不動產投資信託多角化議題之研究

全文下載

主題瀏覽