不動產投資信託、股票與不動產報酬率之間長短期波動之關係

The Relationships across Permanent and Transitory Shocks to Price Returns on REIT, Real Estate and Stock Assets

王子健(Tzu-Chien Wang)

指導教授 ： 黃美綺

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2012年)

摘要

本研究以股票市場、城市的不動產市場以及不動產投資信託(REITs)為研究對象，探討房市泡沫化、政府財政政策的效率性、投資風險管理等議題，並且以1976年至2010年美國市場為主，並且把焦點放在洛杉磯房市的特色，讓其他城市與之比較，另外我們把1984年當作一個分水嶺，也觀察在1984年前後有什麼樣的特色與部不同。我們利用UC模型(Unobserved Component Model)將資產報酬率拆解成長期要素與短期要素，藉此我們可以更深入了解各資產間短期與長期的關係，然後建立一個適當的投資組合。實證結果顯示，長短期要素比率(permanent-transitory ratios)可以提供房市泡沫易發性的重要資訊，有五個城市擁有很高的長短期要素比率其中包括洛杉磯(LA)、紐約(NY)、費城(PH)、華盛頓(WA)以及波士頓(BO)，這些城市都被視為可能有房市泡沫傾向的城市。除此之外，1984年之後的波動都是以長期要素為主，也就是說財政政策的短期要素叫無法解釋1984年之後的波動，因此財政政策是沒有效率的。最後的發現是由於股票與不動產的相關性比REIT與不動產來的低，因此投資者的投資組合在做分散風險的時候，把股票跟不動產當作他們的投資組合會比REIT跟不動產來的好。

關鍵字

不動產投資信託 ； 房市泡沫 ； 風險管理 ； 不可觀察要素模型 ； 長短期要素比率

並列摘要

The paper extracts fresh implications for housing bubbles, the monetary policy effectiveness and time-varying risk management through investigations into the interrelationships across price returns on REITs (Real Estate Investment Trusts), un-securitized real estate properties, and stocks during 1976 to 2010. We extend the unobserved components model in order to decompose asset price returns into permanent and transitory movements. The decomposition method facilitates our exploring of drivers in the asset markets, and is able to examine the differences between short-term and long-term diversification benefits. Spotlighting the features of the housing price dynamics in Los Angeles, we address whether the ten most populous MSAs (Metropolitan Statistical Areas) display different cross-asset co-movements, and compare their correlations across pre- and post-1984 subperiods. The findings suggest that given the high permanent-transitory ratios, the five cities which include Los Angeles, New York, Philadelphia, Washington and Boston, can be regarded as the MSA-level housing markets which are more vulnerable to bubble-like housing cycles than the others during the post-1984 subperiod. In addition, the dominant roles of permanent shocks over transitory fluctuations in the post-break sub-period imply the weak effectiveness of monetary policies in stabilizing the asset price booms and busts after 1984. Importantly, investors can gain more diversification benefits as they make stock-housing asset allocation than REIT-housing portfolios in the post-1984 subperiod primarily due to lower stock-housing correlations than REIT-housing co-movements in a manner of permanent shocks.

並列關鍵字

Permanent-transitory Ratio ； REITs ； Housing Bubble ； Risk Management ； Unobserved Components model

參考文獻

Case, B., Yang, Y., & Yildirim, Y. (2009). Dynamic Correlations Among Asset Classes: REIT and Stock Returns. Journal of Real Estate Finance and Economics, DOI: 10.1007/s11146-010-9239-2

Clayton, J., & Mackinnon, G. (2003). The Relative Importance of Stock, Bond, and Real Estate Factors in Explaining REIT Returns. Journal of Real Estate Finance and Economics, 27(1), 39-60.

Case, K. E., & Shiller, R. J. (2003). Is There a Bubble in the Housing Market? Brookings Papers on Economic Activity, 2, 299-362.

Case, K. E. (2008). The Central Role of Home Prices in the Current Financial Crisis: How Will the Market Clear? Brookings Papers on Economic Activity, 2, 161.

Chung, R., Fung, S., Shilling, J. D., & Simmons-Mosley, T. X. (2011). What Determines Stock Price Synchronicity in REITs? Journal of Real Estate Finance and Economics, 43, 73-98.