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題名 T-REITs與總體經濟及商用不動產市場關聯性之探討
The Relationship Among T-REITs, Macroeconomy and Commercial Real Estate Markets
作者 侯蔚楚
貢獻者 林左裕
Lin,tsoyu calvin
侯蔚楚
關鍵詞 不動產投資信託
共整合
因果關係
REITs
Cointegration
Granger Causality
日期 2009
上傳時間 3-Sep-2013 14:49:40 (UTC+8)
摘要 台灣不動產投資信託(T-REIT)自2005年發行至今已逾四年，過去國內相關的文獻多集中於法律面、制度架構及問卷調查等相關研究，對於整體市場實際表現的討論則較缺乏。隨著交易歷史資料的延展，本研究針對國內REITs施行的現況與總體經濟波動及不動產市場之關係進行討論。在總體經濟部分以股價指數、利率與通貨膨脹進行分析，在不動產市場部分則採用辦公室平均租金水準與實際商辦交易價格為指標，期望探索T-REITs價格與總體經濟及不動產市場間之長期關係。
本文發現T-REITs與股價指數、商辦租金以及商辦交易價格間，均會存在長期均衡關係，即有共整合情形，而T-REITs與通貨膨脹率以及T-REITs與利率間不具有長期均衡關係，且股價指數、商辦租金以及通貨膨脹率與T-REITs為正向關係，利率及商辦租金與T-REITs則為反向關係。此外，根據因果關係檢定，股價指數與通貨膨脹率皆領先T-REITs，而商辦租金與T-REITs為雙向回饋。本文結果顯示，台灣REITs與總體經濟及商用不動產市場具有長期均衡關係，亦即總體經濟的變動以及不動產市場的波動可做為探討T-REITs長期變化的指標。
Taiwan launched the first Real Estate Investment Trusts (T-REITs) in 2005. However, over the past few years, studies regarding T-REITs mainly focused on legal system, institutional framework and questionnaire surveys, but lack of empirical analysis on the performance of T-REIT markets. This study therefore intends to explore the cointegration and causality relationship among the T-REITs, macroeconomy and commercial real estate markets. The macroeconomic factors in this study include the stock prices, interest rate and inflation rate; and the real estate variables include the commercial rents and commercial prices.
Empirical results first demonstrate that there exists the long-run relationship among T-REITs, stock prices, commercial rents and commercial prices, but not the interest rate or inflation rate. Moreover, T-REITs are significantly related to stock prices, interest rate and inflation rates as well as commercial rents and commercial prices. Third, the changes of stock prices and inflation rate lead the change of T-REITs. Finally, there is a significant feedback relationship between T-REITs and commercial rents.
參考文獻 Adrangi, B., Arjun Chatrath and Kambiz Raffiee, 2004, “REIT Investment and Hedging Against Inflation”, Journal of Real Estate Portfolio Management, 10:2
Allen, M. T., Jeff Madura, and Thomas M. Springer, 2000, “REIT Characteristics and the Sensitivity of REIT Returns”, Journal of Real Estate Finance and Economics, 21:2, 141-152
Benjamin, J. D., Peter Chinloy and G. Donald Jud, 2004, “ Real Estate Versus Financial Wealth in Consumption ”, Journal of Real Estate Finance and Economics, 29:3, 341-354
Bredin, D., Gerard O’Reilly and Simon Stevenson , 2007, ” Monetary Shocks and REIT Returns”, Journal of Real Estate Finance and Economics, 35:315–331
Campbell, R. D., Milena Petrova and C. F. Sirmans, 2003, “ Wealth Effects Diversification and Financial Deal Structing : Evidence from REIT Property Portfolio Acquisitions”, Real Estate Economics, 31:3, 347-366
Chatrath, A. and Youguo Liang, 1998, “ REITs and Inflation: A Long-Run Perspective”, Journal of Real Estate Research, 16:3, 311-325
Chaudhry, M. K. , F. C. Neil Myer and James R. Webb, 1999, “ Stationarity and Cointegration in Systems with Real Estate and Financial Assets”, Journal of Real Estate Finance and Economics,18:3, 339-349
Chen, K. C., Daniel D. Tzang, 1988, “Interest-Rate Sensitivity of Real Estate Investment Trust” , The Journal of Real Estate Research, 3:3, 13-22
Clayton, J. and Greg Mackinnon, 2003, “ The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns”, Journal of Real Estate Finance and Economics,27:1, 39-60
Downs, D. H., Z. Nuray Guner, David J. Hartzell and Michanel A. Torres, 2001, “ Why Do REIT Price Change? The Information Content of Barron’s The Ground Floor”, Journal of Real Estate Finance and Economics, 22:1, 63-80
Engle, R. F. and Granger, C. W. J., 1987, “Cointegration and Error Correction Representation, Estimation and Test”, Econometrica, 55:2, 251-273
Fama, E. F. and G. William Schwert, 1977, “ Asset Returns and Inflation”, Journal of Financial Economics, 5:2, 115-146
Giliberto, S. M., 1990, “Equity Real Estate Investment Trusts and Real Estate Returns”, The Journal of Real Estate Research,5:2, 259-263
Glascoca, J. L., Chiuling Lu, Raymond W. So , 2002 ,” REIT Returns and Inflation: Perverse or Reverse Causality Effects ? ”, Journal of Real Estate Finance and Economics, 24:3, 301-317
Johansen, S., 1988, “ Statistical Analysis of Cointegration Vectors ” , Journal of Economic Dynamics and Control, 12:231-254
Johnl. G., Chingling Lu and Raymond W. So, 2000, “Further Evidence on the Integration of REIT, Bond, and Stock Returns”, Journal of Real Estate Finance and Economics, 20:2, 177-194
Kuhle, J. L., 1987, “ Portfolio Diversification and Return Benefits－Common Stock vs. Real Estate Investment Trusts（REITs）”, The Journal of Real Estate Research, 2:2, 1-9
Larsen, A.B. and Grant R. Mcqueen, 1995, “ REITs, Real Estate, and Inflation: Lessons from the Gold Market”, Journal of Real Estate Finance and Economics, 10:285-297
Lee, B. S., 1992, “Causal Relations Among Stock Returns, Interest Rate, Real Activity, and Inflation”, The Journal of Finance, 4, 1591-1603
Lee, M. L., Ming-Te Lee, and Kevin C. H. Chiang, 2008, “Real Estate Risk Exposure of Equity Real Estate Investment Trusts”, Journal of Real Estate Finance and Economics, 36:165-181
Li, Y. and Ko Wang, 1995, “The Predictability of REIT Returns and Market Segmentation”, The Journal of Real Estate Research, 10:4, 471-482
Liang, Y., Arjun Chatrath, and Willard McIntosh, 1996, “Apartment REITs and Apartment Real Estate”, The Journal of Real Estate Research, 11:3, 277-289
Liang, Y., McIntosh W. and Webb J. R., 1995, “Intertemporal Changes in the Riskiness of REITs”, The Journal of Real Estate Research, 10:4, 427-443
Ling, D. and A. Naranjo, 1997, “Economic Risk Factors and Commercial Real Estate Returns”, The Journal of Real Estate Finance and Economics, 14: 283–307
Ling, D. and Andy Naranjo, 2003, “ The Dynamics of REIT Capital Flows and Returns”, Real Estate Economics, 31:3, 405-434
Ling, D. C. and Andy Naranjo, 1999, “The Integration of Commercial Real Estate Markets and Stock Markets”, Real Estate Economics, 27:3, 483-515
Ling, D. C. and Andy Naranjo, 2006, “ Dedicated REIT Mutual Fund Flows and REIT Performance”, Journal of Real Estate Finance and Economics, 32:409-433
Liu, C. H. and Jianping Mei, 1992, “ The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets”, Journal of Real Estate Finance and Economics, 5:401-418
Liu, C. H., David J. Hartzell, Wylie Greig and Terry V. Grissom, 1990, “ The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence”, Journal of Real Estate Finance and Econmics, 3:261-282
Lu, C. and Raymond W. So, 2001, “ The relationship between REITs returns and inflation a vector error correction approach”, Review of Quantitative Finance and Accounting, 16, 103–115
Markowitz, H., 1952, “ Portfolio Selection”, The Journal of Finance, 7:1, 77-91
McCue, T. and J. Kling, 1994, “Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972–1991”, Journal of Real Estate Research, 9: 277–287.
Mueller, G. R., Keith R. Pauley, 1995, “ The Effect of Interest-Rate Movements on Real Estate Investment Trusts”, The Journal of Real Estate Research, 10:3, 319-325
Myer, F. C. N. and James R. Webb, 1993, “ Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison”, The Journal of Real Estate Research, 8:1, 87-106
Myer, F. C. N. and James R. Webb, 1994, “Retail Stocks, Retail REITs and Retail Real Estate”, The Journal of Real Estate Research, 9:1, 65-84
Nasseh, A. and Jack Strauss, 2000, ” Stock prices and domestic and international macroeconomic activity: a cointegration approach”, The Quarterly Review of Economics and Finance, 40:229-245
Nie and Zheng, 2000, “ The Linear and Nonlinear Interactions between Stock Price and Real Estate Price in Taiwan”, Journal of the Land Bank of Taiwan, 37:1, 29-45
Okunev, J. and Patrick J. Wilson, 1997, “ Using Nonlinear Test to Examine Integration Between Real Estate and Stock Market”, Real Estate Economics, 25:3, 487-503
Ooi, J. T. L., Graeme Newell and Tien-Foo Sing , 2006 ,” The Growth of REIT Markets in Asia”, Journal of Real Estate Literature, 14:2, 203-222
Park, J. Y., Donald J. Mullineaux, It-Keong Chew, 1990, “ Are REITs Inflation Hedges? “, Journal of Real Estate Finance and Economics, 3:91-103
Peterson, J. D. and Cheng-Ho Hsieh, 1997, “Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?” , Real Estate Economics, 25:2, 321-345
Poterba, J. M., 2000, “ Stock Market Wealth and Consumption”, Journal of Economic Perspectives, 14:2, 99-118
Quan, D. C. and Sheridan Titman, 1999, “Do real estate prices and stock prices move together：An international analysis”, Real Estate Economics, 27:2, 183-207
Simpson, M. W., Sanjay Ramchander and James R. Webb, 2007, ” The Asymmetric Response of Equity REIT Returns to Inflation”, Journal of Real Estate Finance and Economics, 34:513–529
Swanson, Z., John Theis, and K. Michael Casey, 2002, “REIT Risk Premium Sensitivity and Interest Rates”, Journal of Real Estate Economics and Finance, 24:3, 319-330
Tracy, J., Henry Schneider and Sewin Chan, 1999, “ Are Stocks Overtaking Real Estate in Household Portfolios ? ”, Current Issues in Economics and Finance, 5:5, 1-6
Wang, 2007, “ The Effect of Inflation and Unemployment on Real Estate Investment Trusts”, Department of Finance, Providence University Master Thesis
Westerheide, P., 2006, “Cointegration of Real Estate Stocks and Reits with Common Stocks, Bonds and Consumer Price Inflation”, ZEW - Centre for European Economic Research Discussion Paper No. 06-057
Wilson, P. J. and John Okunev, 1999, “ Long-Term Dependencies and Long Run Non-Periodic Co-Cycles: Real Estate and Stock Market”, Journal of Real Estate Research, 18:2, 257-278
Yobaccio, E., Jack H. Rubens and David C. Ketcham, 1995, “The Inflation-Hedging Properties of Risk Assets: The Case of REITs”, The Journal of Real Estate Research, 10:3, 279-296
Zheng and Chang, 2007, “ The Performance of T-REITs and the Portfolio”, The 16 th Annual Symposium, Chinese Society of Housing Studies
Zheng, 2008, “ Performance Comparison and Interrelationship between the US and Asia REITs Indices”, Department of Finance, National Sun Yat-sen University Master Thesis
描述 碩士
國立政治大學
地政研究所
97257004
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097257004
資料類型 thesis
dc.contributor.advisor 林左裕zh_TW
dc.contributor.advisor Lin,tsoyu calvinen_US
dc.contributor.author (Authors) 侯蔚楚zh_TW
dc.creator (作者) 侯蔚楚zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 3-Sep-2013 14:49:40 (UTC+8)-
dc.date.available 3-Sep-2013 14:49:40 (UTC+8)-
dc.date.issued (上傳時間) 3-Sep-2013 14:49:40 (UTC+8)-
dc.identifier (Other Identifiers) G0097257004en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59809-
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) 97257004zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 台灣不動產投資信託(T-REIT)自2005年發行至今已逾四年，過去國內相關的文獻多集中於法律面、制度架構及問卷調查等相關研究，對於整體市場實際表現的討論則較缺乏。隨著交易歷史資料的延展，本研究針對國內REITs施行的現況與總體經濟波動及不動產市場之關係進行討論。在總體經濟部分以股價指數、利率與通貨膨脹進行分析，在不動產市場部分則採用辦公室平均租金水準與實際商辦交易價格為指標，期望探索T-REITs價格與總體經濟及不動產市場間之長期關係。
本文發現T-REITs與股價指數、商辦租金以及商辦交易價格間，均會存在長期均衡關係，即有共整合情形，而T-REITs與通貨膨脹率以及T-REITs與利率間不具有長期均衡關係，且股價指數、商辦租金以及通貨膨脹率與T-REITs為正向關係，利率及商辦租金與T-REITs則為反向關係。此外，根據因果關係檢定，股價指數與通貨膨脹率皆領先T-REITs，而商辦租金與T-REITs為雙向回饋。本文結果顯示，台灣REITs與總體經濟及商用不動產市場具有長期均衡關係，亦即總體經濟的變動以及不動產市場的波動可做為探討T-REITs長期變化的指標。		zh_TW
dc.description.abstract (摘要) Taiwan launched the first Real Estate Investment Trusts (T-REITs) in 2005. However, over the past few years, studies regarding T-REITs mainly focused on legal system, institutional framework and questionnaire surveys, but lack of empirical analysis on the performance of T-REIT markets. This study therefore intends to explore the cointegration and causality relationship among the T-REITs, macroeconomy and commercial real estate markets. The macroeconomic factors in this study include the stock prices, interest rate and inflation rate; and the real estate variables include the commercial rents and commercial prices.
Empirical results first demonstrate that there exists the long-run relationship among T-REITs, stock prices, commercial rents and commercial prices, but not the interest rate or inflation rate. Moreover, T-REITs are significantly related to stock prices, interest rate and inflation rates as well as commercial rents and commercial prices. Third, the changes of stock prices and inflation rate lead the change of T-REITs. Finally, there is a significant feedback relationship between T-REITs and commercial rents.		en_US
dc.description.tableofcontents Chapter 1 Introduction 1
1.1 General Background and Motivation 1
1.2 Research Method and Scope 3
1.3 Research Overview 5
Chapter 2 Literature Review 7
2.1 The Exploration of “ Wealth Effect Theory” 7
2.2 Review of REITs Volatility Factors 9
2.3 Long-run Relationship Between REITs and Factors 16
Chapter 3 Research Method and Data Information 22
3.1 Research Method 22
3.2 Variable selection and data source 28
3.3 T-REITs Index presentation and data analysis 30
Chapter 4 Empirical Results 38
4.1 Results of Structure Change and Unit-root Test 38
4.2 Results of Cointegration Test 40
4.3 Results of Vector Error Correction Model 44
4.4 Results of Vector Autoregression 48
4.5 Results of Granger Causality Test 51
Chapter 5 Conclusions and Discussion 54
5.1 Conclusions 54
5.2 Limitations 55
5.3 Recommendations for Further Research 55
References 56		zh_TW
dc.format.extent 619369 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097257004en_US
dc.subject (關鍵詞) 不動產投資信託zh_TW
dc.subject (關鍵詞) 共整合zh_TW
dc.subject (關鍵詞) 因果關係zh_TW
dc.subject (關鍵詞) REITsen_US
dc.subject (關鍵詞) Cointegrationen_US
dc.subject (關鍵詞) Granger Causalityen_US
dc.title (題名) T-REITs與總體經濟及商用不動產市場關聯性之探討zh_TW
dc.title (題名) The Relationship Among T-REITs, Macroeconomy and Commercial Real Estate Marketsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Adrangi, B., Arjun Chatrath and Kambiz Raffiee, 2004, “REIT Investment and Hedging Against Inflation”, Journal of Real Estate Portfolio Management, 10:2
Allen, M. T., Jeff Madura, and Thomas M. Springer, 2000, “REIT Characteristics and the Sensitivity of REIT Returns”, Journal of Real Estate Finance and Economics, 21:2, 141-152
Benjamin, J. D., Peter Chinloy and G. Donald Jud, 2004, “ Real Estate Versus Financial Wealth in Consumption ”, Journal of Real Estate Finance and Economics, 29:3, 341-354
Bredin, D., Gerard O’Reilly and Simon Stevenson , 2007, ” Monetary Shocks and REIT Returns”, Journal of Real Estate Finance and Economics, 35:315–331
Campbell, R. D., Milena Petrova and C. F. Sirmans, 2003, “ Wealth Effects Diversification and Financial Deal Structing : Evidence from REIT Property Portfolio Acquisitions”, Real Estate Economics, 31:3, 347-366
Chatrath, A. and Youguo Liang, 1998, “ REITs and Inflation: A Long-Run Perspective”, Journal of Real Estate Research, 16:3, 311-325
Chaudhry, M. K. , F. C. Neil Myer and James R. Webb, 1999, “ Stationarity and Cointegration in Systems with Real Estate and Financial Assets”, Journal of Real Estate Finance and Economics,18:3, 339-349
Chen, K. C., Daniel D. Tzang, 1988, “Interest-Rate Sensitivity of Real Estate Investment Trust” , The Journal of Real Estate Research, 3:3, 13-22
Clayton, J. and Greg Mackinnon, 2003, “ The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns”, Journal of Real Estate Finance and Economics,27:1, 39-60
Downs, D. H., Z. Nuray Guner, David J. Hartzell and Michanel A. Torres, 2001, “ Why Do REIT Price Change? The Information Content of Barron’s The Ground Floor”, Journal of Real Estate Finance and Economics, 22:1, 63-80
Engle, R. F. and Granger, C. W. J., 1987, “Cointegration and Error Correction Representation, Estimation and Test”, Econometrica, 55:2, 251-273
Fama, E. F. and G. William Schwert, 1977, “ Asset Returns and Inflation”, Journal of Financial Economics, 5:2, 115-146
Giliberto, S. M., 1990, “Equity Real Estate Investment Trusts and Real Estate Returns”, The Journal of Real Estate Research,5:2, 259-263
Glascoca, J. L., Chiuling Lu, Raymond W. So , 2002 ,” REIT Returns and Inflation: Perverse or Reverse Causality Effects ? ”, Journal of Real Estate Finance and Economics, 24:3, 301-317
Johansen, S., 1988, “ Statistical Analysis of Cointegration Vectors ” , Journal of Economic Dynamics and Control, 12:231-254
Johnl. G., Chingling Lu and Raymond W. So, 2000, “Further Evidence on the Integration of REIT, Bond, and Stock Returns”, Journal of Real Estate Finance and Economics, 20:2, 177-194
Kuhle, J. L., 1987, “ Portfolio Diversification and Return Benefits－Common Stock vs. Real Estate Investment Trusts（REITs）”, The Journal of Real Estate Research, 2:2, 1-9
Larsen, A.B. and Grant R. Mcqueen, 1995, “ REITs, Real Estate, and Inflation: Lessons from the Gold Market”, Journal of Real Estate Finance and Economics, 10:285-297
Lee, B. S., 1992, “Causal Relations Among Stock Returns, Interest Rate, Real Activity, and Inflation”, The Journal of Finance, 4, 1591-1603
Lee, M. L., Ming-Te Lee, and Kevin C. H. Chiang, 2008, “Real Estate Risk Exposure of Equity Real Estate Investment Trusts”, Journal of Real Estate Finance and Economics, 36:165-181
Li, Y. and Ko Wang, 1995, “The Predictability of REIT Returns and Market Segmentation”, The Journal of Real Estate Research, 10:4, 471-482
Liang, Y., Arjun Chatrath, and Willard McIntosh, 1996, “Apartment REITs and Apartment Real Estate”, The Journal of Real Estate Research, 11:3, 277-289
Liang, Y., McIntosh W. and Webb J. R., 1995, “Intertemporal Changes in the Riskiness of REITs”, The Journal of Real Estate Research, 10:4, 427-443
Ling, D. and A. Naranjo, 1997, “Economic Risk Factors and Commercial Real Estate Returns”, The Journal of Real Estate Finance and Economics, 14: 283–307
Ling, D. and Andy Naranjo, 2003, “ The Dynamics of REIT Capital Flows and Returns”, Real Estate Economics, 31:3, 405-434
Ling, D. C. and Andy Naranjo, 1999, “The Integration of Commercial Real Estate Markets and Stock Markets”, Real Estate Economics, 27:3, 483-515
Ling, D. C. and Andy Naranjo, 2006, “ Dedicated REIT Mutual Fund Flows and REIT Performance”, Journal of Real Estate Finance and Economics, 32:409-433
Liu, C. H. and Jianping Mei, 1992, “ The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets”, Journal of Real Estate Finance and Economics, 5:401-418
Liu, C. H., David J. Hartzell, Wylie Greig and Terry V. Grissom, 1990, “ The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence”, Journal of Real Estate Finance and Econmics, 3:261-282
Lu, C. and Raymond W. So, 2001, “ The relationship between REITs returns and inflation a vector error correction approach”, Review of Quantitative Finance and Accounting, 16, 103–115
Markowitz, H., 1952, “ Portfolio Selection”, The Journal of Finance, 7:1, 77-91
McCue, T. and J. Kling, 1994, “Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972–1991”, Journal of Real Estate Research, 9: 277–287.
Mueller, G. R., Keith R. Pauley, 1995, “ The Effect of Interest-Rate Movements on Real Estate Investment Trusts”, The Journal of Real Estate Research, 10:3, 319-325
Myer, F. C. N. and James R. Webb, 1993, “ Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison”, The Journal of Real Estate Research, 8:1, 87-106
Myer, F. C. N. and James R. Webb, 1994, “Retail Stocks, Retail REITs and Retail Real Estate”, The Journal of Real Estate Research, 9:1, 65-84
Nasseh, A. and Jack Strauss, 2000, ” Stock prices and domestic and international macroeconomic activity: a cointegration approach”, The Quarterly Review of Economics and Finance, 40:229-245
Nie and Zheng, 2000, “ The Linear and Nonlinear Interactions between Stock Price and Real Estate Price in Taiwan”, Journal of the Land Bank of Taiwan, 37:1, 29-45
Okunev, J. and Patrick J. Wilson, 1997, “ Using Nonlinear Test to Examine Integration Between Real Estate and Stock Market”, Real Estate Economics, 25:3, 487-503
Ooi, J. T. L., Graeme Newell and Tien-Foo Sing , 2006 ,” The Growth of REIT Markets in Asia”, Journal of Real Estate Literature, 14:2, 203-222
Park, J. Y., Donald J. Mullineaux, It-Keong Chew, 1990, “ Are REITs Inflation Hedges? “, Journal of Real Estate Finance and Economics, 3:91-103
Peterson, J. D. and Cheng-Ho Hsieh, 1997, “Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?” , Real Estate Economics, 25:2, 321-345
Poterba, J. M., 2000, “ Stock Market Wealth and Consumption”, Journal of Economic Perspectives, 14:2, 99-118
Quan, D. C. and Sheridan Titman, 1999, “Do real estate prices and stock prices move together：An international analysis”, Real Estate Economics, 27:2, 183-207
Simpson, M. W., Sanjay Ramchander and James R. Webb, 2007, ” The Asymmetric Response of Equity REIT Returns to Inflation”, Journal of Real Estate Finance and Economics, 34:513–529
Swanson, Z., John Theis, and K. Michael Casey, 2002, “REIT Risk Premium Sensitivity and Interest Rates”, Journal of Real Estate Economics and Finance, 24:3, 319-330
Tracy, J., Henry Schneider and Sewin Chan, 1999, “ Are Stocks Overtaking Real Estate in Household Portfolios ? ”, Current Issues in Economics and Finance, 5:5, 1-6
Wang, 2007, “ The Effect of Inflation and Unemployment on Real Estate Investment Trusts”, Department of Finance, Providence University Master Thesis
Westerheide, P., 2006, “Cointegration of Real Estate Stocks and Reits with Common Stocks, Bonds and Consumer Price Inflation”, ZEW - Centre for European Economic Research Discussion Paper No. 06-057
Wilson, P. J. and John Okunev, 1999, “ Long-Term Dependencies and Long Run Non-Periodic Co-Cycles: Real Estate and Stock Market”, Journal of Real Estate Research, 18:2, 257-278
Yobaccio, E., Jack H. Rubens and David C. Ketcham, 1995, “The Inflation-Hedging Properties of Risk Assets: The Case of REITs”, The Journal of Real Estate Research, 10:3, 279-296
Zheng and Chang, 2007, “ The Performance of T-REITs and the Portfolio”, The 16 th Annual Symposium, Chinese Society of Housing Studies
Zheng, 2008, “ Performance Comparison and Interrelationship between the US and Asia REITs Indices”, Department of Finance, National Sun Yat-sen University Master Thesis		zh_TW