資訊不對稱與不動產共同基金之績效

The Relationship between Information Asymmetry and Real Estate Mutual Fund Performance

毛凱民(Kai-Min Mao)

指導教授 ： 盧秋玲 博士

元智大學/管理學院/財務金融學系/碩士(2002年)

摘要

本研究欲探討不動產共同基金是否導因於不動產市場存在資訊不對稱之問題，使得不動產基金之表現，並不同於一般股票型基金，而有超額報酬之績效。實證結果顯示，無論使用何種不動產指數為風險調整之市場指標，不動產基金皆具有顯著正超額報酬，顯示不動產基金之績效普遍擊敗大盤。我們藉由檢驗不動產基金經理人是否具有較佳之擇時與選股能力，與共同因子之橫斷面迴歸分析，和績效之持續性分析等，皆提供了不動產市場確實存在嚴重資訊不對稱的問題，導致不動產市場不效率的證據。

關鍵字

不動產共同基金 ； 超額報酬 ； 擇時能力 ； 選股能力 ； 持續性

並列摘要

This study tests whether the information asymmetry of real estate market, causes the positive abnormal return of real estate mutual funds. Empirical result shows that no matter whatever real estate market index is used to calculate risk-adjusted return, the real estate mutual funds’ performance has positive abnormal return significantly. It means that the real estate mutual funds generally beat the market. We also examine the real estate mutual funds’ performance by using the timing and selectivity model, common factor’s cross-sectional regression, and the performance persistence model. All tests provide evidence that information asymmetric problems in deed exist in the real estate market seriously, resulting in the real estate market inefficiency.

並列關鍵字

real estate mutual fund ； abnormal return ； timing ability ； selectivity ability ； persistence

參考文獻

5.巫慧燕，基金百科，金錢文化企業股份有限公司，民國八十六年三月。

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