English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49199/83641 (59%)
Visitors : 7096023      Online Users : 63
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31598


    Title: 與時間變動之不對稱市場風險溢酬:權益型與抵押型REITs市場之探討
    Other Titles: Time varying of asymmetric market risk premium for equity reits and mortgage reits
    Authors: 李詩惠;Li, Shi-hu
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱建良;Chiu, Chien-liang;洪瑞成;Hung, Jui-cheng
    Keywords: 波動跳躍;ARJI 模型;Equity REITs;Mortgage REITs;Volatility;ARJI Model
    Date: 2008
    Issue Date: 2010-01-11 01:01:29 (UTC+8)
    Abstract: 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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat
    0KbUnknown148View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback