| dc.contributor.advisor | 張金鶚 | zh_TW |
| dc.contributor.author (Authors) | 鄭佩宜 | zh_TW |
| dc.creator (作者) | 鄭佩宜 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 19-Sep-2009 13:13:54 (UTC+8) | - |
| dc.date.available | 19-Sep-2009 13:13:54 (UTC+8) | - |
| dc.date.issued (上傳時間) | 19-Sep-2009 13:13:54 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094257020 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/37345 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 地政研究所 | zh_TW |
| dc.description (描述) | 94257020 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 國內不動產投資信託發行至今已屆兩年，從各檔REITs上市造成大量的超額認購的盛況顯示，REITs顯然將成為一項重要的投資工具。但國內缺乏市場實際表現的討論，因此本研究針對國內施行狀況進行研究。在各檔績效表現方面，以富邦二號表現較佳，三鼎與基泰之星之表現則略顯較差，而且各檔REITs均無顯著的股價蜜月期。在整體REITs市場方面，透過T-REITs指數的建立與指數走勢，得知目前國內REITs整體呈上升的趨勢；而於流通情況方面大致在新REITs上市當日，有相對較高的成交量之外，整體而言國內REITs週轉率明顯低於大盤與營建股；在報酬與風險方面，顯示T-REITs是具有低風險、穩定報酬特性的投資標的。 本文檢驗T-REITs加入投資組合之可行性，由相關係數分析得知，T-REITs相較於其他股票提供較佳的避險能力，是具有對抗通貨膨脹與利率變動之規避風險功用的投資工具，且T-REITs與其他股票走勢的相關性低，乃是分散投資組合風險的有效途徑。另外，由共整合檢定結果顯示，T-REITs指數與大盤指數以及T-REITs與營建股價指數之間，均無共整合之均衡關係存在，表示投資人可達到投資分散風險之目的。整體而言，國內REITs是一項值得加入投資組合的商品。 | zh_TW |
| dc.description.abstract (摘要) | T-REITs has been launched for two years, and the oversubscribtion of all REITs demonstrates that T-REITs has become an important investment instrument. But due to the lack of study on the market performance in the domestic area, therefore derives the necessity of relative research. We find that Fubon No. 2 REIT REIT is better than the others, and none of the REITs have honeymoon period. Through the establishment of T-REITs index, we discover that T-REITs has been trending up; the turnover rates are relatively higher when T-REITs first goes public, but significantly lower than that of market index and property stocks overall. Moreover, our findings indicate that T-REITs is an investment instrument which provides stabile return at a low risk. In this study, We investigate if T-REITs is capable of hedging. From the correlation analysis, we discover that T-REITs provides a better hedge over other stocks as an investment instrument, which is effective against inflation and variation of interest rates. And also, the cointergration test shows that T-REITs, market index and property stocks are not cointergrated, suggesting that markets tend to behave differently during the time of our observation; hense the investment portfolio shares the benefit of diversification by including REITs, therefore worthy of investment. | en_US |
| dc.description.tableofcontents | 第一章 緒論……………………………………………………………………....1第一節 研究動機與研究問題………………………………………………1第二節 研究方法與研究流程………………………………………………4第三節 研究架構與研究範圍………………………………………………6第二章 相關理論與文獻回顧……………………………………………………7第一節 績效表現衡量相關文獻……………………………………………7第二節 不動產投資信託指數………………………………………………9第三節 投資組合理論與相關研究………………………………………..11第四節 小結………………………………………………………………..14第三章 各檔REITs資料與表現分析…….........................................................15第一節 研究資料說明……………………………………………………..15第二節 各檔REITs表現分析……………………………………………..18第三節 小結………………………………………………………………..24第四章 台灣不動產投資信託（T-REITs）指數建立與表現………………...25第一節 T-REITs指數之建立……………………………………………...25第二節 T-REITs之表現…………………………………………………...27第五章 T-REITs納入投資組合之可行性……………………………………..33第一節 T-REITs之投資避險……………………………………………...33第二節 T-REITs與其他股票市場之互動………………………………...37第六章 結論與建議…………………………………………………………….40第一節 結論……………………………………………………………….40第二節 建議與後續研究………………………………………………….42參考文獻………………………………………………………………………….44附錄……………………………………………………………………………….47 圖目錄圖1-1：研究流程圖……………………………………………………………….5圖3-1：國內REITs發行規模…………………………………………………...16圖3-2：國內REITs投資不動產區位及類型…………………………………...16圖3-3：各檔REITs之總報酬率圖……………………………………………...20圖4-1：T-REITs指數走勢圖…………………………………………………….27圖4-2：T-REITs週轉率………………………………………………………….30圖4-3：中央公債利率與國內REITs配息率…………………………………...32圖5-1：消費者物價指數圖……………………………………………………...34圖5-2：五大銀行平均利率圖…………………………………………………...34圖5-3：T-REITs與其它指數走勢……………………………………………….36表目錄表3-1：台灣證券交易所上市REITs…………………………………………..…15表3-2：各檔REITs基本資料…………………………………………………….17表3-3：各檔REITs風險調整後績效表現……...………………………………..18表3-4：各檔REITs年化總報酬率…………...…………………………………..19表3-5：各檔REITs流通情形 ……………...……………………………………21表3-6：各檔REITs超額報酬檢定…...…………………………………………..22表4-1：事件檢定結果（一）..……………………………………………….......29表4-2：事件檢定結果（二）..……………………………………………….......29表4-3：T-REITs之報酬與風險………………………………………………......31表5-1：Person相關係數分析結果……………………………………………….35表5-2：單根檢定結果…………………………………………………………….38表5-3：共整合關係檢定結果（T-REITs指數與大盤指數）…………………..39表5-4：共整合關係檢定結果（T-REITs指數與營建股指數）………………..39表7-1：我國與日本REITs之制度比較…………………………………………48表7-2：T-REITs與J-REITs之報酬風險………………………………….……..49表7-3：公開發行之J-REITs……………………………………………………..50 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094257020 | en_US |
| dc.subject (關鍵詞) | 不動產投資信託 | zh_TW |
| dc.subject (關鍵詞) | 投資組合 | zh_TW |
| dc.subject (關鍵詞) | T-REITs | en_US |
| dc.title (題名) | 台灣不動產投資信託之表現與投資組合 | zh_TW |
| dc.type (資料類型) | thesis | en |
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