A Comparison of Overreactions of REIT and Non-REIT Funds Using Options Data: The Role of the Financial Crisis

以選擇權資料比較REIT和非REIT基金之過度反應：金融危機之角色

10.6545/JFS.2017.25(2).2

廖麗凱(Li-Kai Connie Liao)；魏培煌(Peihwang Wei)；王凱立(Kai-Li Wang)

REITs ； option valuation ； volatility mean reversion ； overreaction ； REITs ； 選擇權評價 ； 波動均數復歸 ； 過度反應

財務金融學刊

25卷2期（2017 / 06 / 30）

51 - 73

英文

Li-Kai Connie Liao Peihwang Wei Kai-Li Wang Using Stein's (1989) methodology, we compare changes in option implied volatilities of two real estate investment trust (REIT) funds and four non-REIT funds. Results indicate that before the 2007-2009 financial crisis, strengths of reactions to information of a liquid REIT fund and a financial fund are less pronounced than other funds analyzed and the markets for the two funds are considered underreaction. However, during and after the crisis the two funds have the strongest degree of overreaction. A possible explanation is that a higher degree of leverage and regulation uncertainties make REIT and financial sectors vulnerable to extreme downturns.

本文運用Stein (1989)之方法，分析比較兩檔REIT和四檔非REIT基金之選擇權隱含波動率之變動。結果顯示，在2007-2009金融危機前具流動性的REIT和金融類基金對資訊的反應程度較低，謂之市場低度反應；但在金融危機當時及之後，此兩檔基金則呈現高度的過度反應。可以高財務槓桿及主管機關政策不確定性解釋此二基金何以在市場極端空頭時反應力脆弱。

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