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題名 不動產投資信託與直接不動產投資關係之探討
The relationship between real estate investment trusts and direct real estate investment作者 邱逸芬
Chiu, Yi Fen貢獻者 林左裕
Lin, Tsoyu Calvin
邱逸芬
Chiu, Yi Fen關鍵詞 不動產投資信託
代理問題
共整合
向量誤差修正模型
向量自我迴歸模型
Granger因果關係
資本資產定價模型
Real Estate Investment Trusts (REITs)
Agency Problem
Cointegration
Vector Error Correction Model (VECM)
Vector Autoregression (VAR)
Granger Causality
Capital Asset Pricing Model (CAPM)日期 2012 上傳時間 30-十月-2012 11:47:27 (UTC+8) 摘要 台灣不動產投資信託（T-REITs）自2005年發行至今已逾六年，然其市場表現仍不如發行之初所預期。過去國內已有許多研究針對T-REITs市場發展進行探討，然而目前就T-REITs與直接不動產投資市場價格表現間之相關研究尚付之闕如。有鑑於此，本研究藉由共整合與Granger因果關係檢定，檢視REITs與直接不動產市場間之關聯性，了解台灣與美國之REITs市場表現差異及其影響因素，進而作為改進T-REITs運作機制或架構之參考依據。 實證結果發現，美國之REITs與直接不動產市場之間存在共整合關係。此結果表示，長期而言，這兩者可能具有相似之風險分散效益。此外，透過Granger因果關係檢定發現REITs領先於直接不動產，乃因前者市場較具效率。另一方面，台灣之REITs與直接不動產市場之間則不具有共整合以及領先或落後關係，然直接不動產當期價格仍會受到本身與REITs之前期價格影響。 本研究進一步分析台、美兩國實證結果之差異原因如下：資料的樣本期間、REITs市場規模、存在於T-REITs市場之集中性風險以及潛在的代理問題。其中，針對T-REITs潛在代理問題，本研究藉由分析股票與T-REIT報酬率之波動性，發現T-REIT之不動產管理機構若與母集團相關者，則其市場表現較差。因此，我們得出T-REITs市場發展主要是受限於代理問題之結論。本研究成果不僅有助於改善T-REITs市場效率，亦可提供學術與實務之參考。
The mechanism of Real Estate Investment Trusts in Taiwan (or T-REITs) was launched in 2005, however, T-REITs market did not perform as expected. What caused the limited development of T-REITs market? Current literature on the performance between T-REITs and direct real estate investment is limited. Through the cointegration and Granger causality tests, the purpose of this study is hence to explore the short-term and long-term dynamics between REITs and direct real estate markets in the U.S. and Taiwan, respectively. This study presents evidence of the cointegration relationship between REITs and direct real estate in the U.S. It implies that the diversification properties of these two assets are likely to be similar over the long horizon. According to the Granger causality test, REITs leads direct real estate due to the market information efficiency. These findings are consistent with those of previous studies. On the other hand, we find no cointegration and lead-lag relation between T-REITs and commercial real estate. Moreover, the current commercial transaction price is affected by both its and T-REIT previous price. By comparing the difference between the results of these two countries, there are several possible explanations for the different results between the U.S. and Taiwan, including difference in sample period, market capitalization, concentrated risk, and most importantly, the potential agency problem existing in T-REITs market. Finally, the underperformance of parent-related management T-REIT is verified through the volatilities of stock and T-REIT returns. Therefore, we conclude that the limited development of T-REITs is caused by the agency problem in REITs market. Results of this study may provide T-REITs market for improving its efficiency, as well as for the reference for both academics and real practices.參考文獻 Ambrose, B. and P. Linneman, 2001, “REIT Organizational Structure and Operating Characteristics”, Journal of Real Estate Research, 21(3), 141–162. Barkham, R. and D. Geltner, 1995, “Price Discovery in American and British Property Markets”, Real Estate Economics, 23: 21–44.Cannon, S. E. and S. Vogt, 1995, “REITs and Their management: An Analysis of Organizational Structure, Performance, and Management Compensation”, Journal of Real Estate Research, 10: 297–317.Capozza. D. R. and P. Seguin, 2000, “Debt, Agency, and Management Contracts in REITs: The External Advisor Puzzle”, Journal of Real Estate Finance and Economics, 20(2), 91–116.Clayton, J. and G. MacKinnon, 2001, “The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns”, Journal of Real Estate Portfolio Management, 7: 43–54.Dickey, D and W. A. Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49: 1057–1072. Enders, W., 2004, Applied Econometric Time Series, New York: John Willey & Sons, Inc.Engle, R. F. and Granger, C. W. J., 1987, “Cointegration and Error Correction Representation, Estimation and Test”, Econometrica, 55(2), 257–273.Fisher, J., D. Geltner, and H. Pollakowski, 2007, “A Quarterly Transaction-Based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand”, Journal of Real Estate Finance and Economics, 34: 5–33.Geltner, D. and B. Kluger, 1998, “REIT-Based Pure-Play Portfolios: The Case of Property Types”, Real Estate Economics, 26: 581–612.Ghosh, C., M. Miles, and C.F. Sirmans, 1996, “Are REITs Stocks?”, Real Estate Finance, Fall, 46-53.Giliberto, S.M., 1990, “Equity Real Estate Investment Trusts and Real Estate Returns”, Journal of Real Estate Research, 5: 259–263.Glascock, J. L., 1991, “Market Conditions, Risk, and Real Estate Portfolio Returns: Some Empirical Evidence”, Journal of Real Estate Finance and Economics, 4: 367–373.Goetzmann, W.N. and R.G. Ibbotson, 1990, “The Performance of Real Estate as an Asset Class”, Journal of Applied Finance, 13: 65–76.Granger, C. and P. Newbold, 1974, “Spurious Regression in Econometrics”, Journal of Econometrics, 2: 111–120.Gyourko, J. and D.B. Keim, 1992, “What Does the Stock Market Tell Us about Real Estate Returns? “, Real Estate Economics, 20: 457–485.Hoesli, M., J. Lekander, and W. Witkiewicz, 2004, “International Evidence on Real Estate as a Portfolio Diversifier”, Journal of Real Estate Research, 26, 161–206.Johansen, S., 1998, “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12: 231-254.Li, J., R.M. Mooradian, and S.X. Yang, 2009, “The Information Content of the NCREIF Index”, Journal of Real Estate Research, 31: 93–116.McIntosh, W., and Y. Liang, 1998, “REITs: What Are They?”, Prudential Real Estate Investors, Research, 8, April, 1–5.Mei, J. and A. Lee, 1994, “Is There a Real Estate Factor Premium?”, Journal of Real Estate Finance and Economics, 9: 113–126.Morawski, J., H. Rehkugler, and R. Füss, 2008, “The Nature of Listed Real Estate Companies: Property or Equity Markets?”, Financial Markets and Portfolio Management, 22: 101–136.Myer, F.C.N. and J.R. Webb, 1993, “Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison”, Journal of Real Estate Research, 8: 87–106.——, 1994, “Retail Stocks, Retail REITs and Retail Real Estate”, Journal of Real Estate Research, 9: 65–84.Newell, G., K.W. Chau, S.K. Wong, and K. McKinnell, 2005, “Dynamics of the Direct and Indirect Real Estate Markets in China”, Journal of Real Estate Portfolio Management, 11: 263–279.Oikarinen, E.,M. Hoesli, and C. Serrano, 2011, “The Long-Run Dynamics between Direct and Securitized Real Estate”, Journal of Real Estate Research, 33: 73–103.Phillips, P. and P. Perron, 1988, “Testing for a Unit Root in Time Series Regression”, Biometrica, 75, 335–346.Ross, S.A. and R.C. Zisler, 1991, “Risk and Return in Real Estate”, Journal of Real Estate Finance and Economics, 4: 175–190.Sagalyn, L. B., 1996, “Conflicts of Interest in the Structure of REITs”, Real Estate Finance, 13(2), 34–51.Sims, C., 1980, “Macroeconomics and Reality”, Econometrica, 48, 1–49.Tsai, I C., M. C. Chen, and K. L. Chang, 2011, “Are REITs in Taiwan Defensive?”, Review of Securities and Futures Markets, 23(3), 199–224.Wang, C. A. and C. O. Chang, 2009, “The cases of REITs and REATs in Taiwan: Stylized Facts Analysis”, Journal of Bank of Taiwan, 60(4), 169–223.Zheng, P. I, C. O. Chang, and C. A. Bai, 2008, “The Performance and Portfolio of Taiwan Real Estate Investment Trusts”, Journal of Bank of Taiwan, 59(1), 18–34.Ziering, B., B. Winograd, and W. McIntosh, 1997, “The Evolution of Public and Private Market – Investing in the New Real Estate Capital Markets”, Prudential Real Estate Investors, Research, June, 1–13. 描述 碩士
國立政治大學
地政研究所
99257003
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099257003 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.advisor Lin, Tsoyu Calvin en_US dc.contributor.author (作者) 邱逸芬 zh_TW dc.contributor.author (作者) Chiu, Yi Fen en_US dc.creator (作者) 邱逸芬 zh_TW dc.creator (作者) Chiu, Yi Fen en_US dc.date (日期) 2012 en_US dc.date.accessioned 30-十月-2012 11:47:27 (UTC+8) - dc.date.available 30-十月-2012 11:47:27 (UTC+8) - dc.date.issued (上傳時間) 30-十月-2012 11:47:27 (UTC+8) - dc.identifier (其他 識別碼) G0099257003 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54806 - dc.description (描述) 碩士 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) 99257003 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 台灣不動產投資信託（T-REITs）自2005年發行至今已逾六年，然其市場表現仍不如發行之初所預期。過去國內已有許多研究針對T-REITs市場發展進行探討，然而目前就T-REITs與直接不動產投資市場價格表現間之相關研究尚付之闕如。有鑑於此，本研究藉由共整合與Granger因果關係檢定，檢視REITs與直接不動產市場間之關聯性，了解台灣與美國之REITs市場表現差異及其影響因素，進而作為改進T-REITs運作機制或架構之參考依據。 實證結果發現，美國之REITs與直接不動產市場之間存在共整合關係。此結果表示，長期而言，這兩者可能具有相似之風險分散效益。此外，透過Granger因果關係檢定發現REITs領先於直接不動產，乃因前者市場較具效率。另一方面，台灣之REITs與直接不動產市場之間則不具有共整合以及領先或落後關係，然直接不動產當期價格仍會受到本身與REITs之前期價格影響。 本研究進一步分析台、美兩國實證結果之差異原因如下：資料的樣本期間、REITs市場規模、存在於T-REITs市場之集中性風險以及潛在的代理問題。其中，針對T-REITs潛在代理問題，本研究藉由分析股票與T-REIT報酬率之波動性，發現T-REIT之不動產管理機構若與母集團相關者，則其市場表現較差。因此，我們得出T-REITs市場發展主要是受限於代理問題之結論。本研究成果不僅有助於改善T-REITs市場效率，亦可提供學術與實務之參考。 zh_TW dc.description.abstract (摘要) The mechanism of Real Estate Investment Trusts in Taiwan (or T-REITs) was launched in 2005, however, T-REITs market did not perform as expected. What caused the limited development of T-REITs market? Current literature on the performance between T-REITs and direct real estate investment is limited. Through the cointegration and Granger causality tests, the purpose of this study is hence to explore the short-term and long-term dynamics between REITs and direct real estate markets in the U.S. and Taiwan, respectively. This study presents evidence of the cointegration relationship between REITs and direct real estate in the U.S. It implies that the diversification properties of these two assets are likely to be similar over the long horizon. According to the Granger causality test, REITs leads direct real estate due to the market information efficiency. These findings are consistent with those of previous studies. On the other hand, we find no cointegration and lead-lag relation between T-REITs and commercial real estate. Moreover, the current commercial transaction price is affected by both its and T-REIT previous price. By comparing the difference between the results of these two countries, there are several possible explanations for the different results between the U.S. and Taiwan, including difference in sample period, market capitalization, concentrated risk, and most importantly, the potential agency problem existing in T-REITs market. Finally, the underperformance of parent-related management T-REIT is verified through the volatilities of stock and T-REIT returns. Therefore, we conclude that the limited development of T-REITs is caused by the agency problem in REITs market. Results of this study may provide T-REITs market for improving its efficiency, as well as for the reference for both academics and real practices. en_US dc.description.tableofcontents Chapter 1 Introduction 11.1 General Background and Research Purpose 11.2 Research Scope and Method 31.3 Research Overview 5Chapter 2 Literature Review 72.1 Dynamics between REITs and Direct Real Estate 72.2 Agency Problem in REITs 10Chapter 3 Research Methodology and Data Information 123.1 Research Methodology 123.2 Data Information 18Chapter 4 Empirical Results 284.1 Results of the U.S. 284.2 Results of Taiwan 354.3 Agency Problem in T-REITs Market 43Chapter 5 Conclusions and Discussion 50References 51 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099257003 en_US dc.subject (關鍵詞) 不動產投資信託 zh_TW dc.subject (關鍵詞) 代理問題 zh_TW dc.subject (關鍵詞) 共整合 zh_TW dc.subject (關鍵詞) 向量誤差修正模型 zh_TW dc.subject (關鍵詞) 向量自我迴歸模型 zh_TW dc.subject (關鍵詞) Granger因果關係 zh_TW dc.subject (關鍵詞) 資本資產定價模型 zh_TW dc.subject (關鍵詞) Real Estate Investment Trusts (REITs) en_US dc.subject (關鍵詞) Agency Problem en_US dc.subject (關鍵詞) Cointegration en_US dc.subject (關鍵詞) Vector Error Correction Model (VECM) en_US dc.subject (關鍵詞) Vector Autoregression (VAR) en_US dc.subject (關鍵詞) Granger Causality en_US dc.subject (關鍵詞) Capital Asset Pricing Model (CAPM) en_US dc.title (題名) 不動產投資信託與直接不動產投資關係之探討 zh_TW dc.title (題名) The relationship between real estate investment trusts and direct real estate investment en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Ambrose, B. and P. Linneman, 2001, “REIT Organizational Structure and Operating Characteristics”, Journal of Real Estate Research, 21(3), 141–162. Barkham, R. and D. Geltner, 1995, “Price Discovery in American and British Property Markets”, Real Estate Economics, 23: 21–44.Cannon, S. E. and S. Vogt, 1995, “REITs and Their management: An Analysis of Organizational Structure, Performance, and Management Compensation”, Journal of Real Estate Research, 10: 297–317.Capozza. D. R. and P. Seguin, 2000, “Debt, Agency, and Management Contracts in REITs: The External Advisor Puzzle”, Journal of Real Estate Finance and Economics, 20(2), 91–116.Clayton, J. and G. MacKinnon, 2001, “The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns”, Journal of Real Estate Portfolio Management, 7: 43–54.Dickey, D and W. A. Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49: 1057–1072. Enders, W., 2004, Applied Econometric Time Series, New York: John Willey & Sons, Inc.Engle, R. F. and Granger, C. W. J., 1987, “Cointegration and Error Correction Representation, Estimation and Test”, Econometrica, 55(2), 257–273.Fisher, J., D. Geltner, and H. Pollakowski, 2007, “A Quarterly Transaction-Based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand”, Journal of Real Estate Finance and Economics, 34: 5–33.Geltner, D. and B. Kluger, 1998, “REIT-Based Pure-Play Portfolios: The Case of Property Types”, Real Estate Economics, 26: 581–612.Ghosh, C., M. Miles, and C.F. Sirmans, 1996, “Are REITs Stocks?”, Real Estate Finance, Fall, 46-53.Giliberto, S.M., 1990, “Equity Real Estate Investment Trusts and Real Estate Returns”, Journal of Real Estate Research, 5: 259–263.Glascock, J. L., 1991, “Market Conditions, Risk, and Real Estate Portfolio Returns: Some Empirical Evidence”, Journal of Real Estate Finance and Economics, 4: 367–373.Goetzmann, W.N. and R.G. Ibbotson, 1990, “The Performance of Real Estate as an Asset Class”, Journal of Applied Finance, 13: 65–76.Granger, C. and P. Newbold, 1974, “Spurious Regression in Econometrics”, Journal of Econometrics, 2: 111–120.Gyourko, J. and D.B. Keim, 1992, “What Does the Stock Market Tell Us about Real Estate Returns? “, Real Estate Economics, 20: 457–485.Hoesli, M., J. Lekander, and W. Witkiewicz, 2004, “International Evidence on Real Estate as a Portfolio Diversifier”, Journal of Real Estate Research, 26, 161–206.Johansen, S., 1998, “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12: 231-254.Li, J., R.M. Mooradian, and S.X. Yang, 2009, “The Information Content of the NCREIF Index”, Journal of Real Estate Research, 31: 93–116.McIntosh, W., and Y. Liang, 1998, “REITs: What Are They?”, Prudential Real Estate Investors, Research, 8, April, 1–5.Mei, J. and A. Lee, 1994, “Is There a Real Estate Factor Premium?”, Journal of Real Estate Finance and Economics, 9: 113–126.Morawski, J., H. Rehkugler, and R. Füss, 2008, “The Nature of Listed Real Estate Companies: Property or Equity Markets?”, Financial Markets and Portfolio Management, 22: 101–136.Myer, F.C.N. and J.R. Webb, 1993, “Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison”, Journal of Real Estate Research, 8: 87–106.——, 1994, “Retail Stocks, Retail REITs and Retail Real Estate”, Journal of Real Estate Research, 9: 65–84.Newell, G., K.W. Chau, S.K. Wong, and K. McKinnell, 2005, “Dynamics of the Direct and Indirect Real Estate Markets in China”, Journal of Real Estate Portfolio Management, 11: 263–279.Oikarinen, E.,M. Hoesli, and C. Serrano, 2011, “The Long-Run Dynamics between Direct and Securitized Real Estate”, Journal of Real Estate Research, 33: 73–103.Phillips, P. and P. Perron, 1988, “Testing for a Unit Root in Time Series Regression”, Biometrica, 75, 335–346.Ross, S.A. and R.C. Zisler, 1991, “Risk and Return in Real Estate”, Journal of Real Estate Finance and Economics, 4: 175–190.Sagalyn, L. B., 1996, “Conflicts of Interest in the Structure of REITs”, Real Estate Finance, 13(2), 34–51.Sims, C., 1980, “Macroeconomics and Reality”, Econometrica, 48, 1–49.Tsai, I C., M. C. Chen, and K. L. Chang, 2011, “Are REITs in Taiwan Defensive?”, Review of Securities and Futures Markets, 23(3), 199–224.Wang, C. A. and C. O. Chang, 2009, “The cases of REITs and REATs in Taiwan: Stylized Facts Analysis”, Journal of Bank of Taiwan, 60(4), 169–223.Zheng, P. I, C. O. Chang, and C. A. Bai, 2008, “The Performance and Portfolio of Taiwan Real Estate Investment Trusts”, Journal of Bank of Taiwan, 59(1), 18–34.Ziering, B., B. Winograd, and W. McIntosh, 1997, “The Evolution of Public and Private Market – Investing in the New Real Estate Capital Markets”, Prudential Real Estate Investors, Research, June, 1–13. zh_TW
