應用不同之計量方法研究REITs之報酬與波動性

The Research of REITs Return and Volatility via Alternative Econometric Approaches

白東岳(Tung-Yueh Pai)

指導教授 ： 邱建良

共同指導教授 ： 李命志(Ming-Chih Lee)

淡江大學/商學院/財務金融學系博士班/博士(2009年)

https://doi.org/10.6846/TKU.2009.01183

摘要

本篇摘要未授權

關鍵字

不動產投資信託 ； 狀態轉換 ； 不對稱均衡 ； 波動性預測

並列摘要

This abstract would not be displayed due to no authorization.

並列關鍵字

REITs ； Regime-change ； Asymmetric Equilibrium ； Volatility forecasting

參考文獻

Ambrose, B., Ancel E. and Griffiths, M., (1992), “The fractural structure of real estate investment trust returns: the search for evidence of market segmentation and nonlinear dependency”, Journal of American Real Estate and Urban Economics Association, pp. 25-54.

Chan, K. C., Hendershott, P. H. and Sanders, A. B., (1990), “Risk and Return on Real Estate: Evidence from Equity REITs”, Journal of the American Real Estate and Urban Economics Association, 18, pp. 431-52.

Chen, S., Hsieh, C. and Jordan, B. D., (1997), “Real estate and the arbitrage pricing theory: macrovariables vs derived factors”, Real Estate Economics, 25, pp. 505-523.

Chen, K. C. and Tzang, D. D., (1988), “Interest-Rate Sensitivity of Real Estate Investment Trusts”, The Journal of Real Estate Research, 3(3), pp. 13-22.

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