美國不動產投資信託月份效應之研究

An Investigation of the Monthly Effect in the Stock Returns of Real Estate Investment Trusts

10.6697/TBPJ.201412_8(1).0004

紀宗利(Tsung-Li Chi)；吳昇曄(Sheng-Yeh Wu)；凃品妙(Pin-Miao Tu)

月份效應 ； 規模效應 ； 隨機優勢理論 ； 不動產投資信託 ； Monthly Effect ； Size Effect ； Stochastic Dominance ； Real Estate Investment Trusts

臺灣企業績效學刊

8卷1期（2014 / 12 / 01）

97 - 119

繁體中文

在低利率時代，不動產投資信託(Real Estate Investment Trusts, REITs)讓一般投資人有機會參與金額龐大、且有固定收入的不動產進行投資，相較於投資股票、債券等金融商品，房地產投資的確有機會成為最佳的保值之道，頗受投資人的歡迎。本研究運用加入或不加入無風險資產的隨機優勢理論(Stochastic Dominance with or without Risk-free Asset)，來檢視美國不動產投資信託市場是否存在月份效應或規模效應。在隨機優勢的理論下，允許投資人資金的某一比率配置在具有風險性的資產，而其餘之比率則投資在無風險性的資產，決定出最恰當的資產配置；亦即隨機優勢理論能將投資人的資產作最佳的配置。實證結果發現，依發行的類別來看，市場價值較小之抵押型REITs 投資組合的一月份報酬較優於其他類別投資組合的報酬；另外依公司市場價值來看，規模最小投資組合的一月份報酬較優於其他規模月份的報酬，此結果與Colwell and Park(1990)的發現存在元月效應及規模效應的結果一致，接著運用Friday and Peterson (1997)的稅賦損失銷售假說解釋REITs 月份效應的形成原因的方法驗證，實證結果發現支持此項假說，解釋REITs 存在元月效應的原因，實證結果(發行的類別與公司市場價值)亦發現皆存在十月弱效應。

This study uses stochastic dominance with or without a risk-free asset(SDR, SD) theory to examine whether American real estate investment trusts market exist size effect or monthly effect. Furthermore, allowing part of investors' assets is invested in the risky asset and the remaining part in a risk-free asset. To make an optimal asset set, stochastic dominance theory could use investor’s capital to do the best choice. According to issue category, the results show that the mortgage REITs January effect is indeed exist. The particular findings of this study are that the January effect and the January-size effect indeed exist. This consequence proves it is the same for January effect and Colwell and Park (1990), then by the Friday and Peterson (1997) the Tax-Loss Selling Hypothesis, explain the forming cause for the monthly effect. Weak October effect is also observed in this study. Furthermore, allowing part of investors’ assets is invested in the risky asset and the remaining part in a risk-free asset is useful in distinguishing the performance among various size-month portfolios.

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