本文延伸財務理論中CAPM模型架構之概念，分別探討大盤指數與利率對於權益型不動產投資信託(Equity REITs)、抵押型不動產投資信託(Mortgage REITs)的影響性。首先以利率與大盤指數之超額報酬分別探討其對於二種REITs市場超額報酬的影響為何，再進一步將此兩個因素分別加入模型之中，並且將大盤指數的超額報酬分為正超額報酬與負超額報酬，探討其在正超額報酬和負超額報酬的情況下，權益型不動產投資信託(Equity REITs)、抵押型不動產投資信託(Mortgage REITs)市場與股票市場及利率之間的連動關係。 本文研究結果顯示二市場受大盤指數與利率之影響具有差異性外，亦得知由二市場之超額報酬均存在異常資訊所造成瞬時的跳躍行為，因此可提供相關投資者在二市場差異性之了解，使其於大盤指數變動時進行投資避險等，進而於未來進行投資研究之參考。 Utilizing the context of the CAPM model, this study investigates whether REITs investment instrument provide investors with a superior investment basis. First, utilizes respectively with stock market index and interest rates for the impact of EREITs and MREITs. Excess returns on market index discriminate between positive and negative. This article investigates difference effect of EREITs and MREITs in positive and negative excess return of stock market index and interest rate. The findings reveal that both market index excess return and interest rate effect are negative significantly with EREITs and MREITs. In addition, excess return on market index and interest rate do not influence simultaneously. The market index excess return factor contains the interest rate factor to affects EREITs and MREITs. Futhermore, the volatility shocks are quite persistent. The results show that two types of EREITs and MREITs are not alike, and the S&P 500 market returns sufficiently helps to explain the excess returns of U.S. EREITs and MREITs.
