全球不動產投資信託市場之投資人情緒散播

Investor sentiment contagion in global REITs markets

李啟源(Lee, Chi Yuan)

指導教授 ： 索樂晴

國立清華大學/科技管理學院/計量財務金融系/碩士(2015年)

摘要

本篇研究以行為財務學的角度來探討全球不動產投資信託(Real Estate Investment Trust, REIT)市場的波動，我們以美國、歐元區、日本與澳洲來進行跨國研究，根據 Qiu and Welch (2004)與 Schmeling (2009)的研究以各地區之消費者信心指數作為投資人情緒之代理變數，並根據 Baker, Wurgler and Yuan (2012)的做法，以主成分分析法與簡單迴歸來建構全球投資人情緒指數以及各地區之本土投資人情緒指數，研究2004年至2013年這十年期間各區域不動產投資信託市場是否受到投資人情緒影響，實證結果發現，各區域REIT市場報酬受到顯著的投資人情緒所影響，且與過去文獻相符，當投資人越樂觀時，市場報酬亦會越大，反之亦然，且由於四地區皆為高度發展區域，實證結果發現同時受全球投資人情緒與本土投資人情緒的顯著影響。本文希望釐清投資人情緒對不動產投資信託市場之影響，除了可增加行為財務於不動產市場指數的影響證據，亦有助於投資者掌握對不動產投資信託的投資時點。

關鍵字

投資人情緒 ； 消費者信心指數 ； 情緒散播

並列摘要

In this paper, we study the global real estate investment trust market in terms of behavior finance. We take the US, Euro area, Japan and Australia this four regions as our research fields.
We use two methods to construct the investor sentiment. One is to recollect the consumer confidence index (CCI) in terms of 12 months, and use the principal components analysis to isolate the common component to form one candidate of the sentiment indexes. The other is to use the first difference of the consumer confidence index (CCI), and then construct investor sentiment indexes for four major REIT markets by using the principal components analysis and decompose them into one global and four local indexes.
We like to analyze which of the two candidates would be a better proxy of investor sentiment and how they affect REIT index returns. We also want to analyze whether the worldwide investor sentiment index and the investor sentiment of individual countries have influences on REIT index returns. We conclude that when investors are optimistic, REIT returns become higher.

參考文獻

Agrawal, A., and Tandon, K. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of international Money and Finance,13(1), 83-106.

Baker, M., and Wurgler, J. (2004). Appearing and disappearing dividends: The link to catering incentives. Journal of Financial Economics, 73(2), 271-288.

Baker, M., and Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.

Baker, M., Wurgler, J., and Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of Financial Economics, 104(2), 272-287.

Barone, E. (1990). The Italian stock market: efficiency and calendar anomalies.Journal of Banking & Finance, 14(2), 483-510.