台灣不動產證券化基金之績效評估-超效率DEA之應用

Performance Evaluation of Taiwan’s Real Estate Securitization Fund: Using A Super-Efficiency in Data Envelopment Analysis

楊舒喬(YANG, SHU-CHIAO)

指導教授 ： 徐芳霞

國立臺北大學/社會科學學院/經濟學系/碩士(2013年)

摘要

台灣不動產價格長期以來不斷攀升，不少投資人藉此賺取許多利潤，然而不動產投資需要龐大的資金，導致一般小額投資人不容易參與投資；另一方面，在金融市場快速發展下，不動產證券化基金因應龐大的不動產市場而產生。不動產證券化基金不但能參與不動產市場之長期投資，回收穩定的收益，還有提供專業經理人代為操作，尤其在金融海嘯後的表現不錯，逐漸獲得投資人的注意。因此，本研究選取自2008年至2012年的年資料，運用資料包絡分析法(Data Envelopment Analysis, DEA)評估台灣不動產證券化基金之相對效率，同時把交易費率和直接扣除費率納入考量，藉此改善傳統績效指標之缺陷；並且進一步透過超效率DEA模式，有效區分出有效率基金之績效表現，提供投資人作決策之參考。
實證結果發現以超效率DEA評估之台灣不動產證券化基金績效具有持續性，而且與傳統指標間無顯著一致性。另一方面，以Malmquist生產力指數分析則發現在研究期間總要素生產力有明顯進步，主要來自規模效率和生產管理技術之進步。接著以差額變異數分析投入面，研究顯示交易費率應獲得改善的幅度最大，而年化標準差次之，直接扣除費率應獲得改善的幅度最小。另外，以作為參考決策單位之次數為衡量標準，被參考最多次之基金表示其為相對有效率且穩健度較高，可視為改善無效率基金之榜樣。

關鍵字：超效率DEA、Malmquist生產力指數、差額變異數。

關鍵字

超效率DEA ； Malmquist生產力指數 ； 差額變異數

並列摘要

Taiwan’s real estate prices has been rising in long time, and many investors have earned a lot of profits from it, but real estate investment requires huge funds, resulting in small investors to invest in is not easy. On the other hand, the rapid development of the financial markets, the Real Estate Securitization Fund was generated. Real Estate Securitization Fund can not only participate in the real estate market in long-term to recover a stable income, but also provide professional managers on behalf of operating Fund. Especially Real Estate Securitization Fund performed well in the financial crisis, thus gradually gained the attention of investors. Therefore, the study selected from 2008 to 2012 annual data, using Data Envelopment Analysis to evaluate the relative efficiency of Taiwan’s Real Estate Securitization Fund. And the transaction rates and direct deduction rates take into account, to improve the traditional performance indicators defects. Further, using the Super Efficiency DEA model to effectively distinguish the efficient of Fund’s performance, and providing investors with a reference for decision-making.
The empirical results found that Taiwan’s Real Estate Securitization Fund performance is persistent by Super Efficiency DEA model, but with no significant consistency between the traditional indicators. On the other hand, The empirical results found that total factor productivity has significant progress during the study period by Malmquist Productivity Index. The mainly advancements come from scale efficiency and technology efficiency. Then, analyzing inputs side by slacked variance analysis, the study showed transaction rates should be improved the most, and then was the annualized standard deviation, and the smallest one was the direct deduction rates. In addition, as the frequency of being reference set as the measured standard. The most number of being reference set Fund represents that it is relatively efficient and with higher robust, which can be regarded as an example to improve the inefficient funds.
Keywords: Super Efficiency DEA, Malmquist Productivity Index, slacked variance.

並列關鍵字

Super Efficiency DEA ； Malmquist Productivity Index ； Slacked variance

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