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題名 不動產投資信託與股票報酬率連動性
Real Estate Investment Trusts (REITs) and Stock Return Comovements
作者 陳佰弦
Chen, Bai-Sian
貢獻者 周冠男<br>陳鴻毅
Chou, Robin K.<br>Chen, Hong-Yi
陳佰弦
Chen, Bai-Sian
關鍵詞 不動產投資信託
投資人關注
股票報酬率連動性
關注轉移連動性
REITs
Investor Attention
Stock Return Comovements
Attention-shifting Comovements
日期 2023
上傳時間 2-Jun-2023 11:39:25 (UTC+8)
摘要 此篇文章研究不動產市場的極端表現會如何透過轉移投資人關注而影響個別股票與股票市場之間的報酬率連動性。研究結果發現不動產投資信託指數的極端表現會分散投資人對於個別股票的關注，因而提高個別股票與股票市場之間的報酬率連動性。進一步研究顯示新獨立的不動產產業、不動產投資信託指數的更極端表現與高的散戶投資人集中度會增強投資人關注的轉移對股票報酬率連動性的影響。此外，投資人關注的轉移對股票報酬率連動性的影響並不是源於投資人情緒、熊市與經濟衰退等因素。此研究亦考量搜尋量指數、前一個月的不動產投資信託指數表現、不同的時間區間與房價指數等面向作為穩健性測試，並發現一致的結果。
This study investigates how the extreme performance of the real estate market affects individual stock return comovements with the stock market through a shift in investor attention. This study finds that the extremely high and low performance of the equity REIT index distracts investor attention from individual stocks, thereby increasing return comovements between individual stocks and the stock market. Moreover, the new and standalone real estate sector, the more extreme performance of the equity REIT index, and the high concentration of retail investors amplify attention-shifting comovements. Besides, attention-shifting comovements are not derived from investor sentiment, bear markets, and recessions. For robustness, this study provides consistent empirical evidence on search volume indices, the performance of the equity REIT index in the previous month, different subperiods, and the home price index.
參考文獻 Aguilar, M., Boudry, W. I., & Connolly, R. A. (2018). The dynamics of REIT pricing efficiency. Real Estate Economics, 46(1), 251-283.
Alcock, J., & Steiner, E. (2018). Fundamental drivers of dependence in REIT returns. The Journal of Real Estate Finance and Economics, 57, 4-42.
Ambrose, B. W., Lee, D. W., & Peek, J. (2007). Comovement after joining an index: Spillovers of nonfundamental effects. Real Estate Economics, 35(1), 57-90.
Andrei, D., & Hasler, M. (2015). Investor attention and stock market volatility. The Review of Financial Studies, 28(1), 33-72.
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009). High idiosyncratic volatility and low returns: International and further U.S. evidence. Journal of Financial Economics, 91(1), 1-23.
Antón, M., & Polk, C. (2014). Connected stocks. The Journal of Finance, 69(3), 1099-1127.
Bagwell, K., & Ramey, G. (1994). Advertising and coordination. The Review of Economic Studies, 61(1), 153-171.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.
Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies, 21(2), 785-818.
Barberis, N., & Shleifer, A. (2003). Style investing. Journal of Financial Economics, 68(2), 161-199.
Barberis, N., Shleifer, A., & Wurgler, J. (2005). Comovement. Journal of Financial Economics, 75(2), 283-317.
Becker, G. S., & Murphy, K. M. (1993). A simple theory of advertising as a good or bad. The Quarterly Journal of Economics, 108(4), 941-964.
Ben-Rephael, A., Da, Z., & Israelsen, R. D. (2017). It depends on where you search: Institutional investor attention and underreaction to news. The Review of Financial Studies, 30(9), 3009-3047.
Boudry, W. I., Coulson, N. E., Kallberg, J. G., & Liu, C. H. (2012). On the hybrid nature of REITs. The Journal of Real Estate Finance and Economics, 44, 230-249.
Boyer, B. H. (2011). Style‐related comovement: Fundamentals or labels?. The Journal of Finance, 66(1), 307-332.
Boyer, B. H., Kumagai, T., & Yuan, K. (2006). How do crises spread? Evidence from accessible and inaccessible stock indices. The Journal of Finance, 61(2), 957-1003.
Brandt, M. W., Brav, A., Graham, J. R., & Kumar, A. (2010). The idiosyncratic volatility puzzle: Time trend or speculative episodes?. The Review of Financial Studies, 23(2), 863-899.
Brockman, P., Liebenberg, I., & Schutte, M. (2010). Comovement, information production, and the business cycle. Journal of Financial Economics, 97(1), 107-129.
Case, B., Yang, Y., & Yildirim, Y. (2012). Dynamic correlations among asset classes: REIT and stock returns. The Journal of Real Estate Finance and Economics, 44, 298-318.
Chan, K. C., Hendershott, P. H., & Sanders, A. B. (1990). Risk and return on real estate: Evidence from equity REITs. Real Estate Economics, 18(4), 431-452.
Chen, H., Harrison, D. M., & Khoshnoud, M. (2020). Investors’ limited attention: Evidence from REITs. The Journal of Real Estate Finance and Economics, 61, 408-442.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383-403.
Chue, T. K., Gul, F. A., & Mian, G. M. (2019). Aggregate investor sentiment and stock return synchronicity. Journal of Banking & Finance, 108, 105628.
Ciochetti, B. A., Craft, T. M., & Shilling, J. D. (2002). Institutional investors’ preferences for REIT stocks. Real Estate Economics, 30(4), 567-593.
Cooper, M. J., Gutierrez Jr, R. C., & Hameed, A. (2004). Market states and momentum. The Journal of Finance, 59(3), 1345-1365.
Coval, J. D., & Moskowitz, T. J. (1999). Home bias at home: Local equity preference in domestic portfolios. The Journal of Finance, 54(6), 2045-2073.
Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461-1499.
Durnev, A., Morck, R., & Yeung, B. (2004). Value‐enhancing capital budgeting and firm‐specific stock return variation. The Journal of Finance, 59(1), 65-105.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Fang, L. H., Peress, J., & Zheng, L. (2014). Does media coverage of stocks affect mutual funds` trading and performance?. The Review of Financial Studies, 27(12), 3441-3466.
Fang, L., & Peress, J. (2009). Media coverage and the cross‐section of stock returns. The Journal of Finance, 64(5), 2023-2052.
Foerster, S. R., & Karolyi, G. A. (1999). The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States. The Journal of Finance, 54(3), 981-1013.
Foucault, T., Sraer, D., & Thesmar, D. J. (2011). Individual investors and volatility. The Journal of Finance, 66(4), 1369-1406.
Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high-volume return premium. The Journal of Finance, 56(3), 877-919.
Greenwood, R. (2008). Excess comovement of stock returns: Evidence from cross-sectional variation in Nikkei 225 weights. The Review of Financial Studies, 21(3), 1153-1186.
Greenwood, R., & Thesmar, D. (2011). Stock price fragility. Journal of Financial Economics, 102(3), 471-490.
Grinblatt, M., & Keloharju, M. (2001). How distance, language, and culture influence stockholdings and trades. The Journal of Finance, 56(3), 1053-1073.
Grullon, G., Kanatas, G., & Weston, J. P. (2004). Advertising, breadth of ownership, and liquidity. The Review of Financial Studies, 17(2), 439-461.
Hameed, A., & Xie, J. (2019). Preference for dividends and return comovement. Journal of Financial Economics, 132(1), 103-125.
Hoesli, M., & Oikarinen, E. (2012). Are REITs real estate? Evidence from international sector level data. Journal of International Money and Finance, 31(7), 1823-1850.
Huang, G. C., Liano, K., & Pan, M. S. (2011). REIT stock splits and liquidity changes. The Journal of Real Estate Finance and Economics, 43, 527-547.
Huang, S., Huang, Y., & Lin, T. C. (2019). Attention allocation and return co-movement: Evidence from repeated natural experiments. Journal of Financial Economics, 132(2), 369-383.
Huberman, G. (2001). Familiarity breeds investment. The Review of Financial Studies, 14(3), 659-680.
Kaniel, R., & Parham, R. (2017). WSJ Category Kings–The impact of media attention on consumer and mutual fund investment decisions. Journal of Financial Economics, 123(2), 337-356.
Kaniel, R., Ozoguz, A., & Starks, L. (2012). The high volume return premium: Cross-country evidence. Journal of Financial Economics, 103(2), 255-279.
Kumar, A., & Lee, C. M. (2006). Retail investor sentiment and return comovements. The Journal of Finance, 61(5), 2451-2486.
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Pavlov, A., Steiner, E., & Wachter, S. (2018). The consequences of REIT index membership for return patterns. Real Estate Economics, 46(1), 210-250.
Peng, L., & Xiong, W. (2006). Investor attention, overconfidence and category learning. Journal of Financial Economics, 80(3), 563-602.
Solomon, D. H., Soltes, E., & Sosyura, D. (2014). Winners in the spotlight: Media coverage of fund holdings as a driver of flows. Journal of Financial Economics, 113(1), 53-72.
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Tang, H., Xie, K., & Xu, X. E. (2022). Real estate as a new equity market sector: Market responses and return comovement. Real Estate Economics, 50(2), 431-467.
Titman, S., & Warga, A. (1986). Risk and the performance of real estate investment trusts: A multiple index approach. Real Estate Economics, 14(3), 414-431.
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Zhou, J., & Anderson, R. I. (2013). An empirical investigation of herding behavior in the U.S. REIT market. The Journal of Real Estate Finance and Economics, 47, 83-108.
描述 博士
國立政治大學
財務管理學系
107357501
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357501
資料類型 thesis
dc.contributor.advisor 周冠男<br>陳鴻毅zh_TW
dc.contributor.advisor Chou, Robin K.<br>Chen, Hong-Yien_US
dc.contributor.author (Authors) 陳佰弦zh_TW
dc.contributor.author (Authors) Chen, Bai-Sianen_US
dc.creator (作者) 陳佰弦zh_TW
dc.creator (作者) Chen, Bai-Sianen_US
dc.date (日期) 2023en_US
dc.date.accessioned 2-Jun-2023 11:39:25 (UTC+8)-
dc.date.available 2-Jun-2023 11:39:25 (UTC+8)-
dc.date.issued (上傳時間) 2-Jun-2023 11:39:25 (UTC+8)-
dc.identifier (Other Identifiers) G0107357501en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145061-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 107357501zh_TW
dc.description.abstract (摘要) 此篇文章研究不動產市場的極端表現會如何透過轉移投資人關注而影響個別股票與股票市場之間的報酬率連動性。研究結果發現不動產投資信託指數的極端表現會分散投資人對於個別股票的關注，因而提高個別股票與股票市場之間的報酬率連動性。進一步研究顯示新獨立的不動產產業、不動產投資信託指數的更極端表現與高的散戶投資人集中度會增強投資人關注的轉移對股票報酬率連動性的影響。此外，投資人關注的轉移對股票報酬率連動性的影響並不是源於投資人情緒、熊市與經濟衰退等因素。此研究亦考量搜尋量指數、前一個月的不動產投資信託指數表現、不同的時間區間與房價指數等面向作為穩健性測試，並發現一致的結果。zh_TW
dc.description.abstract (摘要) This study investigates how the extreme performance of the real estate market affects individual stock return comovements with the stock market through a shift in investor attention. This study finds that the extremely high and low performance of the equity REIT index distracts investor attention from individual stocks, thereby increasing return comovements between individual stocks and the stock market. Moreover, the new and standalone real estate sector, the more extreme performance of the equity REIT index, and the high concentration of retail investors amplify attention-shifting comovements. Besides, attention-shifting comovements are not derived from investor sentiment, bear markets, and recessions. For robustness, this study provides consistent empirical evidence on search volume indices, the performance of the equity REIT index in the previous month, different subperiods, and the home price index.en_US
dc.description.tableofcontents 1. Introduction 1
2. Literature review and hypothesis development 6
2.1 Real estate market and REITs 6
2.2 Stock return comovements 8
2.3 Investor attention 9
2.4 Hypothesis development 12
3. Data, variables, and sample description 15
3.1 Data and sample 15
3.2 Stock return comovements 16
3.3 Variables and descriptive statistics 16
4. The impact of a shift in attention on stock return comovements 20
4.1 Attention-shifting comovements with the stock market 20
4.2 The role of the standalone real estate sector in attention-shifting comovements 22
4.3 The role of the different levels of performance in attention-shifting comovements 24
4.4 The role of retail investors in attention-shifting comovements 26
4.5 Attention-shifting comovements with industries 28
5. Alternative sources of stock return comovements 31
5.1 Attention-shifting comovements with different degrees of investor sentiment 31
5.2 Attention-shifting comovements excluding bear markets and recessions 33
6. Additional support for attention-shifting comovements 36
6.1 Attention shifting from individual stocks to the real estate market 36
6.2 The use of the performance of the equity REIT index in the previous month for attention-shifting comovements 37
6.3 Attention-shifting comovements in different subperiods 39
6.4 The use of the home price index for attention-shifting comovements 41
6.5 The use of the home price index for attention shifting 42
7. The impact of asset reallocation on stock return comovements 44
7.1 Asymmetric attention-shifting comovements 44
7.2 The role of long-term performance in asset-reallocation comovements 45
8. Additional support for asset-reallocation comovements 48
8.1 The use of the home price index for asymmetric attention-shifting comovements 48
8.2 The use of long-term performance of the home price index for asset-reallocation comovements 49
9. Future research 51
10. Conclusion 52
References 54		zh_TW
dc.format.extent 2157740 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357501en_US
dc.subject (關鍵詞) 不動產投資信託zh_TW
dc.subject (關鍵詞) 投資人關注zh_TW
dc.subject (關鍵詞) 股票報酬率連動性zh_TW
dc.subject (關鍵詞) 關注轉移連動性zh_TW
dc.subject (關鍵詞) REITsen_US
dc.subject (關鍵詞) Investor Attentionen_US
dc.subject (關鍵詞) Stock Return Comovementsen_US
dc.subject (關鍵詞) Attention-shifting Comovementsen_US
dc.title (題名) 不動產投資信託與股票報酬率連動性zh_TW
dc.title (題名) Real Estate Investment Trusts (REITs) and Stock Return Comovementsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Aguilar, M., Boudry, W. I., & Connolly, R. A. (2018). The dynamics of REIT pricing efficiency. Real Estate Economics, 46(1), 251-283.
Alcock, J., & Steiner, E. (2018). Fundamental drivers of dependence in REIT returns. The Journal of Real Estate Finance and Economics, 57, 4-42.
Ambrose, B. W., Lee, D. W., & Peek, J. (2007). Comovement after joining an index: Spillovers of nonfundamental effects. Real Estate Economics, 35(1), 57-90.
Andrei, D., & Hasler, M. (2015). Investor attention and stock market volatility. The Review of Financial Studies, 28(1), 33-72.
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009). High idiosyncratic volatility and low returns: International and further U.S. evidence. Journal of Financial Economics, 91(1), 1-23.
Antón, M., & Polk, C. (2014). Connected stocks. The Journal of Finance, 69(3), 1099-1127.
Bagwell, K., & Ramey, G. (1994). Advertising and coordination. The Review of Economic Studies, 61(1), 153-171.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.
Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies, 21(2), 785-818.
Barberis, N., & Shleifer, A. (2003). Style investing. Journal of Financial Economics, 68(2), 161-199.
Barberis, N., Shleifer, A., & Wurgler, J. (2005). Comovement. Journal of Financial Economics, 75(2), 283-317.
Becker, G. S., & Murphy, K. M. (1993). A simple theory of advertising as a good or bad. The Quarterly Journal of Economics, 108(4), 941-964.
Ben-Rephael, A., Da, Z., & Israelsen, R. D. (2017). It depends on where you search: Institutional investor attention and underreaction to news. The Review of Financial Studies, 30(9), 3009-3047.
Boudry, W. I., Coulson, N. E., Kallberg, J. G., & Liu, C. H. (2012). On the hybrid nature of REITs. The Journal of Real Estate Finance and Economics, 44, 230-249.
Boyer, B. H. (2011). Style‐related comovement: Fundamentals or labels?. The Journal of Finance, 66(1), 307-332.
Boyer, B. H., Kumagai, T., & Yuan, K. (2006). How do crises spread? Evidence from accessible and inaccessible stock indices. The Journal of Finance, 61(2), 957-1003.
Brandt, M. W., Brav, A., Graham, J. R., & Kumar, A. (2010). The idiosyncratic volatility puzzle: Time trend or speculative episodes?. The Review of Financial Studies, 23(2), 863-899.
Brockman, P., Liebenberg, I., & Schutte, M. (2010). Comovement, information production, and the business cycle. Journal of Financial Economics, 97(1), 107-129.
Case, B., Yang, Y., & Yildirim, Y. (2012). Dynamic correlations among asset classes: REIT and stock returns. The Journal of Real Estate Finance and Economics, 44, 298-318.
Chan, K. C., Hendershott, P. H., & Sanders, A. B. (1990). Risk and return on real estate: Evidence from equity REITs. Real Estate Economics, 18(4), 431-452.
Chen, H., Harrison, D. M., & Khoshnoud, M. (2020). Investors’ limited attention: Evidence from REITs. The Journal of Real Estate Finance and Economics, 61, 408-442.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383-403.
Chue, T. K., Gul, F. A., & Mian, G. M. (2019). Aggregate investor sentiment and stock return synchronicity. Journal of Banking & Finance, 108, 105628.
Ciochetti, B. A., Craft, T. M., & Shilling, J. D. (2002). Institutional investors’ preferences for REIT stocks. Real Estate Economics, 30(4), 567-593.
Cooper, M. J., Gutierrez Jr, R. C., & Hameed, A. (2004). Market states and momentum. The Journal of Finance, 59(3), 1345-1365.
Coval, J. D., & Moskowitz, T. J. (1999). Home bias at home: Local equity preference in domestic portfolios. The Journal of Finance, 54(6), 2045-2073.
Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461-1499.
Durnev, A., Morck, R., & Yeung, B. (2004). Value‐enhancing capital budgeting and firm‐specific stock return variation. The Journal of Finance, 59(1), 65-105.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Fang, L. H., Peress, J., & Zheng, L. (2014). Does media coverage of stocks affect mutual funds` trading and performance?. The Review of Financial Studies, 27(12), 3441-3466.
Fang, L., & Peress, J. (2009). Media coverage and the cross‐section of stock returns. The Journal of Finance, 64(5), 2023-2052.
Foerster, S. R., & Karolyi, G. A. (1999). The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States. The Journal of Finance, 54(3), 981-1013.
Foucault, T., Sraer, D., & Thesmar, D. J. (2011). Individual investors and volatility. The Journal of Finance, 66(4), 1369-1406.
Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high-volume return premium. The Journal of Finance, 56(3), 877-919.
Greenwood, R. (2008). Excess comovement of stock returns: Evidence from cross-sectional variation in Nikkei 225 weights. The Review of Financial Studies, 21(3), 1153-1186.
Greenwood, R., & Thesmar, D. (2011). Stock price fragility. Journal of Financial Economics, 102(3), 471-490.
Grinblatt, M., & Keloharju, M. (2001). How distance, language, and culture influence stockholdings and trades. The Journal of Finance, 56(3), 1053-1073.
Grullon, G., Kanatas, G., & Weston, J. P. (2004). Advertising, breadth of ownership, and liquidity. The Review of Financial Studies, 17(2), 439-461.
Hameed, A., & Xie, J. (2019). Preference for dividends and return comovement. Journal of Financial Economics, 132(1), 103-125.
Hoesli, M., & Oikarinen, E. (2012). Are REITs real estate? Evidence from international sector level data. Journal of International Money and Finance, 31(7), 1823-1850.
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