题名

不動產基金之個別風險之估計與評析

并列篇名

Estimating and Explaining the Idiosyncratic Risk of REITs

DOI

10.29548/BGYY.201209.0002

作者

張千雲(Chien-Yun Chang)

关键词

不動產投資信託基金 ； 個別風險 ； 虛擬變數 ； Real estate investment fund ； idiosyncratic risk ； dummy variable

期刊名称

修平學報

卷期/出版年月

25期（2012 / 09 / 01）

页次

25 - 44

内容语文

繁體中文
中文摘要

本文旨在探討台灣不動產投資信託基金上市後，其與股市和債市之關聯性。本文以事件研究法與二因子模型，檢視各不動產基金報酬率與風險，受股市與債市風險之影響，以便進一步瞭解不動產投資信託基金個別風險之影響因素為何。實證結果顯示，目前國內不動產基金市場仍處於起步的階段，故不動產基金能夠透過規模的增加，增加市場競爭力（market power）或風險分散能力，降低不動產基金之個別或獨特風險（idiosyncratic risk）。此外，根據財報年度虛擬變數的係數為正數，亦說明了不動產基金的個別風險，會逐年的增加。而目前的國內不動產基金，因處於起步的階段，缺乏眾多的分析師與投資人加入，使得不動產基金之財報變數對於不動產基金個別風險之影響力，皆未達顯著。
英文摘要

This paper uses Stone (1974) two factors model with the event studying to investigate the impact of stock and bond risk on the performance of REITs. More specifically, we decompose the risk of REITs into stock market risk, bond market risk and idiosyncratic risk. The empirical results indicate that the significantly negative effects size effect on the idiosyncratic risk of REITs. In addition, the effects of dummy variable of fiscal year are sensitive to idiosyncratic risk of REITs. Finally, other impacts of REITs financial statements are insignificant on the idiosyncratic risk of REITs due to the lack of limited REITs analysts and investors.
主题分类 人文學 > 人文學綜合
基礎與應用科學 > 基礎與應用科學綜合
工程學 > 工程學綜合
工程學 > 機械工程
社會科學 > 社會科學綜合
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