| dc.contributor | 財管系 | en_US |
| dc.creator (作者) | 陳明吉 | zh_TW |
| dc.creator (作者) | Chen, Ming-Chi;Chi-Lu Peng;So-De Shyu;Jhih-Hong Zeng | en_US |
| dc.date (日期) | 2012 | en_US |
| dc.date.accessioned | 14-Nov-2014 18:17:04 (UTC+8) | - |
| dc.date.available | 14-Nov-2014 18:17:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Nov-2014 18:17:04 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/71483 | - |
| dc.description.abstract (摘要) | This study investigates the effect of changes in monetary policy on US equity real estate investment trust (EREIT) returns in lower and higher return ranges during bull, bear, and volatile stock market states using quantile regression. Results show that EREIT returns are sensitive to changes in monetary policy at different EREIT return ranges in different market states. During bull markets, changes in monetary policy have a significant negative impact on EREIT when investors have lower expectations of real estate price increases, but are not effective when investors have higher expectations of real estate price increases. During volatile and bear markets, EREIT returns are not sensitive to changes in monetary policy stance. Results also show that EREIT returns respond positively to stock returns in various states and conditions. | en_US |
| dc.format.extent | 253826 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Real Estate Finance and Economics, 45(2), 364-382 | en_US |
| dc.subject (關鍵詞) | Real estate investment trust (REIT);Monetary policy;Quantile regression;Macroeconomic factors | en_US |
| dc.title (題名) | Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance | en_US |
| dc.type (資料類型) | article | en |
