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題名 直接與間接投資商用不動產風險與績效衡量
The evaluation of investment risk and performance of commercial real estate market作者 徐偉棋 貢獻者 林左裕
Lin, Tsoyu Calvin
徐偉棋關鍵詞 商用不動產
風險值
動態風險值
回溯測試
投資績效
Commercial Real Estate Markets
Value at Risk
Dynamic VaR
Back Testing
Investment Performance日期 2009 上傳時間 3-Sep-2013 14:52:55 (UTC+8) 摘要 投資決策時，除了關注資產的報酬外，更不可忽略風險。而風險的衡量上，一般常用風險值來衡量投資所面臨的風險，這是由於風險值具有動態管理、量化風險等優點。而國內研究對於不動產風險值的文獻上多以住宅市場為主，對於商用不動產較無著墨，是故本研究欲從不同風險值模型探討投資商用不動產的風險值，並分為直接投資(北市商用不動產)與間接投資(REITs)商用不動產兩個不同次市場。實證結果發現直接投資商用不動產風險值高於間接投資商用不動產。其次，本研究試圖比較靜態與動態風險值模型在估計不動產風險值的行為表現，經回溯測試(Back Testing)檢驗後發現，發現兩個模型衡量不動產風險值時，表現差異性不大。最後，本研究並以夏普績效(Sharp Ratio)來衡量直接投資與間接投資商用不動產的投資績效，研究期間為2007年6月至2009年3月。實證結果發現，直接投資商用不動產在景氣衰退與股市劇跌時具有抗跌性；而間接投資商用不動產則與股市發生同時下跌的現象，此現象可能是我國REITs具有代理問題(Agency Problem)與系統風險(Systematic Risk)等問題所致。因此，本研究建議投資者投資REITs時，應同時考量REITs存在上述的風險與問題，以避免投資上的損失。
When making investment strategies, aside from considering the return of investment, one cannot ignore the risk factors. In measuring risk, we usually use VaR (Value at Risk) to calculate the risks of investment because, among other reasons, VaR has dynamic and quantifiable advantages. Most of the studies regarding real estate investment risk in Taiwan focus on residential markets; thus, this paper investigates commercial real estate markets using different VaR models to determine the degree of risk, distinguishing further between direct investment markets and indirect investment markets like REITs (Real Estate Investment Trust). The result of this study reveals that direct real estate investment involves higher risks than indirect real estate investment. Furthermore, there was hardly any difference in investment risk when using either static or dynamic VaR models in the computations after using Back Testing. Finally, this study employs Sharp Ratio to calculate commercial real estate investment performance covering the period between June 2007 and March 2009. Direct real estate investment shows firmness during economic downturns or stock market crashes unlike indirect real estate investment like REITs which follows stock market trends. This phenomenon may be due to Agency Problem and Systematic Risk in Taiwan’s REITs market. Therefore this study suggests that when investing in REITs one has to take into account the risks and problems in order to avoid unnecessary investment losses.參考文獻 李進生、謝文良、林允永、蔣炤坪、陳達新和盧陽正，2001，『風險管理-風險值(VaR)理論與應用』，新竹市：清蔚科技股份有限公司。李曉玲，2004，「風險值的應用：以REITs 產業為例」，私立元智大學財務金融研究所碩士論文：桃園。林左裕，2007，『不動產投資管理』三版，台北市：智勝文化。林劭杰譯，Kevin Dowd著，2009，『市場風險-現代風險衡量方法』，台北市：台灣金融研訓院。莊益源、林文昌、徐嘉彬、邱臙珍，2003，「靜態與動態風險值模型績效之比較」，『證券市場發展季刊』，60：107-160。陳明吉、鄭傑榮，2007，「不動產投資信託風險分析-亞洲與美國市場為例」，『貨幣觀測與信用評等』，68：54-69。 張金鶚，2003，『房地產投資與市場分析: 理論與實務(上篇:房地產投資分析) 』，台北市：華泰文化事業股份有限公司。張金鶚、陳明吉、鄧筱蓉、楊智仁，2009，「台北市房價泡沫知多少？—房價vs.租金、房價vs.所得」，『住宅學報』，18(2)：1-22。黃瓊瑩、林秋瑾，2004，「購屋者住宅投資風險衡量之研究—風險值之應用」，『台灣土地研究』，7(1)：71-94。楊奕農，2009，『時間序列分析-經濟與財務上之應用』二版，台北市：雙葉書廊有限公司。蔡怡純、陳明吉，2007，「台北地區不動產價格波動與蛛網理論」，『台灣土地研究』，10(2)：1-22。鄭佩怡、張金鶚(2007)，「台灣不動產投資信託之表現與投資組合」，收錄於『中華民國住宅學會第十六屆年會學術研討會論文集』，台北：住宅學會。Baumol, W.J., 1963, “An expected gain-confidence limit criterion for portfolio selection ” Management science, 174.Barone-Adesi, G., Bourgoin, F. and Giannopoulos K., 1998, “Don’t Look Back, ” Risk ,11 August:100-103.Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedasticity ”,Journal of Econometics, 31:307-327.Bollerslev, T., 1987, “A Conditional Heteroskedastic Time Series Model for Speculative Prices and, Rates of Return”, Review of Economics and Statistics, 69:542-547.Dolde, W. and Tirtiroglu, D., 1997, “Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances”, Real Estate Economics, 25:539–565.Dowd, K., 1999, “A Value at Risk Approach to Risk-Return Analysis”, Journal of Portfolio Management, 25 Summer:60-67.Dowd, K., 2000, “Adjusting for risk: An improved Sharpe Ratio”, International Review of Economics and Finance, 9: 209-222.Engle, R.F., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation”, Econometrica, 50: 987-1008.Engle, J. and Gizycki, M., 1999, “Conservatism, Accuracy and eEfficiency: Comparing Value-at-Risk Models”, Working Paper 2, March, Australian Prudential Regulation Authority.Fama, E.F., 1965, “The Behavior of Stock Market Prices”, Journal of Business, 38: 34-105.Goldstein, M.A. and Nelling, E.F., 1999, “REIT Return Behavior in Advancing and Declining Stock Markets,” Real Estate Finance, 15(4):68-77.Hull, J. and White, A., 1998, “Value at Risk When Daily Changes in Market Variables Are not Normally Distributed”, The Journal of Derivatives, 6(1):5-19.Hudson-Wilson, S., Fabozzi, F.J. and Gordon, J.N., 2003, “Why real estate”, Journal of Portfolio Management, 30:12-25.Ho, L.C., Burridge, P., Cadle, J. and Theobald, M., 2000, “Value at Risk: Applying the extreme value approach to Asian markets in the recent financial turmoil” Pacific-Basin Finance Journal, 8:249-275.Morgan, J.P., 1996, “RiskMetrics”, Technical Document 4th ed, New York.Jorion, P., 1996, “Risk：Measuring the Risk in Value at Risk”, Financial Analysts Journal, 52(6):47-56.Jorion, P., 2000, “Value at Risk：the New Benchmark for Controlling Market Risk”,McGraw-Hill Publishing, New York.Lamoureux, C.G. and Lastrapes, W.D., 1990, “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects”, Journal of Finance, 45:221-229.Leibowitz, M.L. and Henriksson, R.D., 1989, “Portfolio optimization with shortfall constraints:A confidence-limit approach to managing downside risk”, Financial Analyst Journal,15(2):34-41.Mandelbrot, B., 1963, “The Variation of Certain Speculative Prices”, Journal of Business, 36:394-419.Markowitz, H., 1952, “Portfolio selection”, Journal of finance, 7:79-91.McNeil, A. J.,1999, “Extreme value theory for risk managers”, Preprint, Department Mathematik, ETH Zentrum, Zurich.McNeil, A.J., and Frey, R., 2000, “Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach”, Journal of Empirical Finance, 7:271-300.Meen, G. P., 1990, “The removal of mortgage constraints and the implications for econometric modelling of UK house prices”, Oxford Bulletin of Economics and Statistics, 52(1):1-23.Redman, A. L. and Manakyan, H., 1995, “A Multivariate Analysis of REITs Performance by Financial and Real Asset Portfolio Characteristics”, Journal of Real Estate Finance and Economics, 10:169-175.Sharp, W.F., 1966, “Mutual fund performance”, Journal of Business, 39:119-138.Schwager, J., 1985, “ Alternative to Sharpe Ratio Better Measure of Performance ”, Futures: The Magazine of Commodities & Options, 14:56-58.Roy, A.D., 1952, “Safety-First and the Holding of Assets”, Econometrica, July:43I-449. 描述 碩士
國立政治大學
地政研究所
97257015
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0972570151 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.advisor Lin, Tsoyu Calvin en_US dc.contributor.author (Authors) 徐偉棋 zh_TW dc.creator (作者) 徐偉棋 zh_TW dc.date (日期) 2009 en_US dc.date.accessioned 3-Sep-2013 14:52:55 (UTC+8) - dc.date.available 3-Sep-2013 14:52:55 (UTC+8) - dc.date.issued (上傳時間) 3-Sep-2013 14:52:55 (UTC+8) - dc.identifier (Other Identifiers) G0972570151 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59825 - 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) 97257015 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 投資決策時，除了關注資產的報酬外，更不可忽略風險。而風險的衡量上，一般常用風險值來衡量投資所面臨的風險，這是由於風險值具有動態管理、量化風險等優點。而國內研究對於不動產風險值的文獻上多以住宅市場為主，對於商用不動產較無著墨，是故本研究欲從不同風險值模型探討投資商用不動產的風險值，並分為直接投資(北市商用不動產)與間接投資(REITs)商用不動產兩個不同次市場。實證結果發現直接投資商用不動產風險值高於間接投資商用不動產。其次，本研究試圖比較靜態與動態風險值模型在估計不動產風險值的行為表現，經回溯測試(Back Testing)檢驗後發現，發現兩個模型衡量不動產風險值時，表現差異性不大。最後，本研究並以夏普績效(Sharp Ratio)來衡量直接投資與間接投資商用不動產的投資績效，研究期間為2007年6月至2009年3月。實證結果發現，直接投資商用不動產在景氣衰退與股市劇跌時具有抗跌性；而間接投資商用不動產則與股市發生同時下跌的現象，此現象可能是我國REITs具有代理問題(Agency Problem)與系統風險(Systematic Risk)等問題所致。因此，本研究建議投資者投資REITs時，應同時考量REITs存在上述的風險與問題，以避免投資上的損失。 zh_TW dc.description.abstract (摘要) When making investment strategies, aside from considering the return of investment, one cannot ignore the risk factors. In measuring risk, we usually use VaR (Value at Risk) to calculate the risks of investment because, among other reasons, VaR has dynamic and quantifiable advantages. Most of the studies regarding real estate investment risk in Taiwan focus on residential markets; thus, this paper investigates commercial real estate markets using different VaR models to determine the degree of risk, distinguishing further between direct investment markets and indirect investment markets like REITs (Real Estate Investment Trust). The result of this study reveals that direct real estate investment involves higher risks than indirect real estate investment. Furthermore, there was hardly any difference in investment risk when using either static or dynamic VaR models in the computations after using Back Testing. Finally, this study employs Sharp Ratio to calculate commercial real estate investment performance covering the period between June 2007 and March 2009. Direct real estate investment shows firmness during economic downturns or stock market crashes unlike indirect real estate investment like REITs which follows stock market trends. This phenomenon may be due to Agency Problem and Systematic Risk in Taiwan’s REITs market. Therefore this study suggests that when investing in REITs one has to take into account the risks and problems in order to avoid unnecessary investment losses. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機與目的 1第二節 研究方法、範圍 5第三節 研究架構與流程 7第二章 相關理論與文獻回顧 9第一節 傳統風險衡量 9第二節 風險值的起源、定義與相關文獻 10第三節 時間序列報酬波動異質變異現象 13第四節 動態(條件式)風險值相關文獻 15第五節 績效相關文獻 16第六節 本章小結 18第三章 資料說明與研究方法 19第一節 資料描述與分析 19第二節 研究方法 23第四章 實證結果 34 第一節 北市商用不動產與REITs報酬ARMA-GARCH模型配適 34 第二節 靜態、動態風險值計算結果 39 第三節 風險值檢驗實證結果 41 第四節 投資績效 43第五章 結論與建議 47第一節 結論與建議 47第二節 研究限制 50參考文獻51 附錄55 zh_TW dc.format.extent 700434 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/#G0972570151 en_US dc.subject (關鍵詞) 商用不動產 zh_TW dc.subject (關鍵詞) 風險值 zh_TW dc.subject (關鍵詞) 動態風險值 zh_TW dc.subject (關鍵詞) 回溯測試 zh_TW dc.subject (關鍵詞) 投資績效 zh_TW dc.subject (關鍵詞) Commercial Real Estate Markets en_US dc.subject (關鍵詞) Value at Risk en_US dc.subject (關鍵詞) Dynamic VaR en_US dc.subject (關鍵詞) Back Testing en_US dc.subject (關鍵詞) Investment Performance en_US dc.title (題名) 直接與間接投資商用不動產風險與績效衡量 zh_TW dc.title (題名) The evaluation of investment risk and performance of commercial real estate market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 李進生、謝文良、林允永、蔣炤坪、陳達新和盧陽正，2001，『風險管理-風險值(VaR)理論與應用』，新竹市：清蔚科技股份有限公司。李曉玲，2004，「風險值的應用：以REITs 產業為例」，私立元智大學財務金融研究所碩士論文：桃園。林左裕，2007，『不動產投資管理』三版，台北市：智勝文化。林劭杰譯，Kevin Dowd著，2009，『市場風險-現代風險衡量方法』，台北市：台灣金融研訓院。莊益源、林文昌、徐嘉彬、邱臙珍，2003，「靜態與動態風險值模型績效之比較」，『證券市場發展季刊』，60：107-160。陳明吉、鄭傑榮，2007，「不動產投資信託風險分析-亞洲與美國市場為例」，『貨幣觀測與信用評等』，68：54-69。 張金鶚，2003，『房地產投資與市場分析: 理論與實務(上篇:房地產投資分析) 』，台北市：華泰文化事業股份有限公司。張金鶚、陳明吉、鄧筱蓉、楊智仁，2009，「台北市房價泡沫知多少？—房價vs.租金、房價vs.所得」，『住宅學報』，18(2)：1-22。黃瓊瑩、林秋瑾，2004，「購屋者住宅投資風險衡量之研究—風險值之應用」，『台灣土地研究』，7(1)：71-94。楊奕農，2009，『時間序列分析-經濟與財務上之應用』二版，台北市：雙葉書廊有限公司。蔡怡純、陳明吉，2007，「台北地區不動產價格波動與蛛網理論」，『台灣土地研究』，10(2)：1-22。鄭佩怡、張金鶚(2007)，「台灣不動產投資信託之表現與投資組合」，收錄於『中華民國住宅學會第十六屆年會學術研討會論文集』，台北：住宅學會。Baumol, W.J., 1963, “An expected gain-confidence limit criterion for portfolio selection ” Management science, 174.Barone-Adesi, G., Bourgoin, F. and Giannopoulos K., 1998, “Don’t Look Back, ” Risk ,11 August:100-103.Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedasticity ”,Journal of Econometics, 31:307-327.Bollerslev, T., 1987, “A Conditional Heteroskedastic Time Series Model for Speculative Prices and, Rates of Return”, Review of Economics and Statistics, 69:542-547.Dolde, W. and Tirtiroglu, D., 1997, “Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances”, Real Estate Economics, 25:539–565.Dowd, K., 1999, “A Value at Risk Approach to Risk-Return Analysis”, Journal of Portfolio Management, 25 Summer:60-67.Dowd, K., 2000, “Adjusting for risk: An improved Sharpe Ratio”, International Review of Economics and Finance, 9: 209-222.Engle, R.F., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation”, Econometrica, 50: 987-1008.Engle, J. and Gizycki, M., 1999, “Conservatism, Accuracy and eEfficiency: Comparing Value-at-Risk Models”, Working Paper 2, March, Australian Prudential Regulation Authority.Fama, E.F., 1965, “The Behavior of Stock Market Prices”, Journal of Business, 38: 34-105.Goldstein, M.A. and Nelling, E.F., 1999, “REIT Return Behavior in Advancing and Declining Stock Markets,” Real Estate Finance, 15(4):68-77.Hull, J. and White, A., 1998, “Value at Risk When Daily Changes in Market Variables Are not Normally Distributed”, The Journal of Derivatives, 6(1):5-19.Hudson-Wilson, S., Fabozzi, F.J. and Gordon, J.N., 2003, “Why real estate”, Journal of Portfolio Management, 30:12-25.Ho, L.C., Burridge, P., Cadle, J. and Theobald, M., 2000, “Value at Risk: Applying the extreme value approach to Asian markets in the recent financial turmoil” Pacific-Basin Finance Journal, 8:249-275.Morgan, J.P., 1996, “RiskMetrics”, Technical Document 4th ed, New York.Jorion, P., 1996, “Risk：Measuring the Risk in Value at Risk”, Financial Analysts Journal, 52(6):47-56.Jorion, P., 2000, “Value at Risk：the New Benchmark for Controlling Market Risk”,McGraw-Hill Publishing, New York.Lamoureux, C.G. and Lastrapes, W.D., 1990, “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects”, Journal of Finance, 45:221-229.Leibowitz, M.L. and Henriksson, R.D., 1989, “Portfolio optimization with shortfall constraints:A confidence-limit approach to managing downside risk”, Financial Analyst Journal,15(2):34-41.Mandelbrot, B., 1963, “The Variation of Certain Speculative Prices”, Journal of Business, 36:394-419.Markowitz, H., 1952, “Portfolio selection”, Journal of finance, 7:79-91.McNeil, A. J.,1999, “Extreme value theory for risk managers”, Preprint, Department Mathematik, ETH Zentrum, Zurich.McNeil, A.J., and Frey, R., 2000, “Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach”, Journal of Empirical Finance, 7:271-300.Meen, G. P., 1990, “The removal of mortgage constraints and the implications for econometric modelling of UK house prices”, Oxford Bulletin of Economics and Statistics, 52(1):1-23.Redman, A. L. and Manakyan, H., 1995, “A Multivariate Analysis of REITs Performance by Financial and Real Asset Portfolio Characteristics”, Journal of Real Estate Finance and Economics, 10:169-175.Sharp, W.F., 1966, “Mutual fund performance”, Journal of Business, 39:119-138.Schwager, J., 1985, “ Alternative to Sharpe Ratio Better Measure of Performance ”, Futures: The Magazine of Commodities & Options, 14:56-58.Roy, A.D., 1952, “Safety-First and the Holding of Assets”, Econometrica, July:43I-449. zh_TW
