美國不動產投資信託證劵績效影響因素分析–以Sharpe-VaR為例

Useing Sharpe-VaR Index to Analyze What Factors Influence American Real Estate Investment Trust Achievements

王啟明(Chi-Ming Wang)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600245

摘要

不動產投資信託証劵在金融商品中被認為是具有低風險、穩定報酬特性的投資標的，過去研究多著重於報酬的影響因子分析，少注意到風險的議題。由於巴塞爾協定著重風險量化得以客觀的評估、控管多種型態之風險可能。本文將Sharpe 指標加入考慮損失風險所形成風險值修正Sharpe指標，利用風險修正後的Sharpe指標考量不動產投資信託證劵之投資績效與風險，藉以探討並分析影響績效指標變動的風險因子。研究發現不動產投資信託證劵市場之報酬平均值與大盤市場比較呈相對穩定性。Sharpe指標和風險改良Sharpe指標在不動產投資信託証劵也同樣具有指標性。由各績效指標之整體平均值比較，發現Sharpe指標有低估風險的現象，分析以標竿指數報酬取代無風險利率績效指標(SRR)、投資組合相對標竿指數風險值績效指標(SRBVaR)則顯示不動產投資信託証劵不僅在績效表現上超越美國三大證劵市場價值權重指數，同時在投資風險部份亦相對較低。影響不動產投資信託證劵績效指標表現的風險因子，會因不動產投資信託之不動產運用型態的差異而具有不同的風險因子組合。評估具顯著的指標中可知，風險因子對各資產運用型態的Sharpe指標最具影響性。其中，商務型與住宅型較具解釋能力。整體而言，前期績效與本期之績效為負相關，益本比、資產規模與績效表現為正相關，市場價值/帳面價值比率、信用風險則與績效指標間為負相關。
本研究驗證不動產投資信託証劵市場低風險、穩定報酬的特性，並解釋Sharpe指標及風險改良Sharpe指標對其適用性。投資人在進行相關投資時，應了解不動產投資信託之資產運用型態，俾能選擇適當的績效指標和風險因子組合以做為投資與評估風險的準則，方能有效的降低投資風險提高報酬。對相關政策制定者而言，可藉著評估政策對風險因子的影響性，可間接預測對產業影響性，以避免政策無效或失當。

關鍵字

Panel Data ； 不動產投資信託 ； Sharpe指標 ； 風險值

並列摘要

Real Estate Investment Trusts securities(REIT) are regard as one of the invest targets which have the characteristics of low risks and steady returns. In the past, research only focus on the factors that influenced returns regardless of the factors of risk. Taking Basel Accord into account, we should be objective to assess and control several types of risks. This paper puts loss-risk into consideration and revises the Sharpe ratio. By using revised Sharpe to measure the performances and the risks of REIT, we further analyze the factors that influencd the changes of the performance indexes. The result shows that the average value of REIT is more stable than the stock market. Sharpe ratios and the revised Sharpe ratios are two remarkable indexes when measuring the performances of REITs. Compared with the whole average values of each performance index, the Sharpe ratio would have the appearance of underestimated the risk. If we replace the benchmark index with the risk-free interest performance index(SRR), the relative VaR performance index(SRBVaR), it shows that not only the performance of REIT would surpass the value-weighted index of the three America stock markets, but also the parts of the investment risks are lower than theses indexes.
The risk factors influence the performance of REIT having different combinations owing to the different types of REIT. By evaluating the significant results, we could know that the risk factors have the most significant appearance for Sharpe ratio in terms of each type of REIT. This study show that the commercial and residential risk factors have generally superior explaining performances. In generally, the result also indicated that the former performance affect the present performance negatively, but that earning/price ratio and asset scale are positively the performance correlated with. In addition, higher the market value/book value ratio and credit risk decrease in the performed index.
This research verifies the characteristics of low risk and the stable revenue for REIT market and explains suitability of the Sharpe ratio and revised Sharpe ratio. When the investors maks a investment decision connected with risks they should realize the types of REIT to choose the proper performance index and the risk factors for lowering the investment risk and increasing profit. By evaluating the risk factor policy makers could indirectly predict the effect for the industry to avoid any policy failure or unsuitable.

並列關鍵字

Real Estate Investment Trusts ； Panel Data ； Sharpe Ratio ； Risk Value

參考文獻

5. 黃玉芳,「台灣組合型基金發行初期風險與績效評估」,2004.

3. 張有若,「全球共同基金群組風險與績效評估—以風險值修正夏普指標之應用」,2002

46. Mukesh K. Chaudhry, Suneel Maheshwari and James R. Webb, REITs and Idiosyncratic Risk, The Journal of Real Estate Research, Apr-Jum 2004, 26, 2, pg.207.

45. Mooradian, R. M. and S. X. Yang, Dividend Policy and Firm Performance: Hotel REITs vs. Non-REIT Hotel Companies, Journal of Real Estate Portfolio Management, 2001, 7:1, pp.79-87.

11. Andy C. W. Chui, Sheridan Titman and K. C. John Wei, The Cross-section of Expected REIT Returns, Journal of Real Estate Economics, 2003, 31:3, pp.451-479.