台灣不動產投資信託之表現與投資組合

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(16) ~ilf /GmtJ ~m:j'im~{;Z~WH)iH9:j'i*J1 il. - : ~f~m,. , ~SJl6 (2003). nt~;eE!,:::r'~1lJJC7}. t~tJjlHB'izlttt{§~EfJ19:~A1§-. , ~t~tJjfJjH:lnf!~'f*llli¥]~£fI*8 '. : ~*j'ijf:iEflff~~. (33 ). , f.ftnn)l;~J::/GIfJ~~fr~1l:zm~~. j;)&~fl~1l:mrlSlJ:o~~. , l!~H~:!liU~i'lltEfm*i¥J1n! ". (capital asset pricing model. eAPM) , n;\i!:ffl*~BJlm~l::n"Jflf~;\i!:~[JfriHEii;R::iE. i¥J ' ~~~±~~lli:r:E/j~!f'il:iEfImJjU~RUDm~~/Mi1zrJJml!~HiU~~Z~f~rISl1*, rmj[/ll! ' tlHflX: ' 2006 ' MiZHIi ' ~~tm : ~,*x1l:.lJ~~P] 0. 0. (~.$~ , £~Lll. '. ). ~~:.m~.m.,~*.mm~.-$m• •MIfJ~z~.m.,~tn.mm~.-$$ffi~az~. , 1'tHJJ~J:tE!, : TOPIX= (*E3.mm!~_--$zmflf~,~~ + ~~mflf*,~~) x 100 j'iJ!9.*7JJ¥,~.~ruEl{Xij IpTr ' http://www.tse.or.jp/topix/topixs/topixorganization.html : j'i*1*7~~.~ruE~lfxij IpTr ' http://www.tse.or.jp/topix/reitlindex.html : @;1I3-'ljtJttn 94:tv· 3 Fl 10 E3 m.~l\U:: m ' I1fttnf8J:q=.gp Fl f5}J~I!14$1fii*,ft (itG!~g~7}) , !ibI~,ijU~83DR 58.3{@JJ.lk¥: 80.9 it J1~r{}j6bE!,H~rJ~. o. 0. 0. 0. ~t:m~*m~~*~~tn~~~~~~,~%. m REIl's ~l5Hfj-~tmfiiJ ' )[1/\ :. :. f[[tf}}J5~il'nife. 4't~ REITs ¥4>=1;:'1iJ!9.~f .ti.Pf1~. 2R@E.=ljtJt~m~OO.5mFl'**~~~Z~. 0. ,. ~ri3-·ljtJt 95 ij'·~l'flfil5't~ffHUm!&~~~ 3.86% ' ~;~ --W}E 95 'rf.~l'flfll5'ttH.rHJUm!&~>f~tiy. 4.14% ' jJ:fiJtft!:Jflil.n:.~!'ic~Z1f.fl:~c,\iJ,~Z~'ltJ£/J\. '. }Jf£LiH£:~Zlf;E[~JFJg. 0. : il1.l~l~,*::)lm:fi1f7l:*Ei~ j:iljllirt~,Hn ' fQf~1&~ID1!~ . : ~ff,!f~ , 5MiZ:J.~ , PJjtHJJS (2003) mtIJ-·~§H~:1£'l~·!t:fIR~tt~{glFt~iJ1tiliit'lJtl'~}lU~ , fflf:t!;il!cUi111J1t. ~1:I-. 0. illj'I"1(t:Jlft1l!1''RIJt ' H+-~.. : Ong ( 1995). ~4Jf~'IJ--~§tt9::tU]!t4m>UuH¥l11tr;]R.n'tg@fl. 0. ~HHffrJJLI!btZ1,j)Jpt&1HMJf:,):~~zf~f;YdM!t'H¥lIiJf~. -- : Newell'. !fl:febrrltf.i!T;\i!:rJH~1~'l~H~IfJ~(j"JJ:jj:tz. !IVJ,a'.f.JM! Jt l~ 1~j'i REITs ~ l\.tN;gij!!ill. , f'F~.j1t~1'E»fr}Jo!Bl:t~1v~;g~. Chou' Wong and Keith (2005) , ~rB9ffHstj'i::f. 0. . :tJmrli~Zl\.t~lt~<.< ' ;\i!:.I:)*~mf,!i{ Beta fOOJ,B I • , Ji1JiS:/ljiJ, , m~x: ' 2006 • M1fL f~jHfl:Nr!ilJ.llXXfI!;tn.k~m. (~m!!~ ,. __ : Beta flt'Ujxt'djr~t~n~fEltx:m~il~Jfj~8/:Jl$.\.~ Bela. ful(!J\m. I'. 0. o. ). H+~;~~m::fIfJ~i¥Jm~~m~~~'/G • • • ~.·m~m~~~~.IfJ.M~::f*·~~~~~a. 95Q4 ~~m!~~m.**M ~t+h. : ~ nlct1illiJ!l~n~* (!Io/)fWm.). 0. j;)&:iE{¥fIJ*~~jU4Z~Ntf.'fIf. ' tnJltlj1*m. T-REIT Z~~. M,*~m.RffiM~;ga~m.Fl~~~ff~m· : T.. REITs EHM~~*~ EJ *M~Zf§r3!]flf:.~ 0.11 ' T..REITs. .E!, 0.06 ' .l'::0]li!JJl fl£l!Htlr3!] • ~± -i-t : Johansen ( 1988.1994) ;& Johansen and Jusclius Likchood) j;)fi&JE• • rl'J~:Jir8~fi:tH\~iJr3!]flf:. EJ ¥,*~~r~ 9l~JKHI'i'HH~~zmr3!]flf:. ( 1990). tJ£ tI~. *iIl:l:f~J- fl!;. it:. ( Maximun. 0. *~3t'i I. ~f~fJj ,. 2. ~t~~o. Hifex:. ,. ~Bjj0. ' 2003 '. rti:t~~*ZfJJ~. ' 2004 . /GmtJ~1§l:~m~{;f.f1§l:j'im§.iJ~J'EJ1l:n'~~~- .... ~:f*'ft~ 0. ,. , f:t"f:;~m ' 12 ' 1-29. 0. EJlctl:k*~Mf$iZj,jj!H}f~pTrtiJl.

(17) 5. Adrangi, B.. A. Chatrath and K. Raffiee(2004), RElTs Investments and Hedging Against Inflation. Journal of Real Estate Portfolio Management, 10:2, 97-112. 6. Balogh, C. and Corgel. 1.B. (1992). Initial return behaviour of one class of composite security IPOs: REITs. Working Paper, Bentley College 7. Booth, P. M.(2002), Real Estate Investment in an AssetlLiability Modeling Context. Journal of Real Estate Portfolio Management, 8:3, 183-198. 8. Chen. Jun and Peiser. Richard(l999), The Risk and Return Characteristics of REITs - 1993-1997. Real Estate Finance. Spring, 61-68. 9. Glascock. J. L., Chiuling Lu, Raymond (2002), REITs Returns and Inflation: Perverse or Reverse Causality Effects?, Journal of Real Estate Finance and Economics. Boston. 24: 3,301-317 10. Howe. J. S. and J. D. Shilling(I990), RElTs Advisor Performance. Journal of the American Real Estate and Urban Economics Association. 18. 479-500. , I. Jensen, M. c.( 1968). The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance, 23:2, 389 416. 12. Johansen, Soren (1988). Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control,voI.12,231-254. 13. Joseph T L Ooi; Kim-Hiang Liow(2004), Risk-Adjusted Performance of Real Estate Stocks: Evidence from Developing Markets, The Journal of Real Estate Research, 26: 4,371-395. 14. Lee, S., Stevenson, S. (2005). The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run, Journal of Real Estate Portfolio Management. 11 :2, 55-80. 15. Li, Y. and K. Wang(1995), The Predictability of REITs Returns and Market Segmentation, The Journal of Estate Research, 10:2, 471-481. 16. Ling, D. C. and A. Naranjo (1999), The integration of commercial real estate markets and stock markets, Real Estate Economics, 27:3, 1-28. 17. Lowy, J. M.(I999), Real estate investment trusts., Tax Management Real Estate Journal. 15(5), I 15-158. 18. Newell, G., Chau, K. W., Wong S. K. and McKinnell, K. (2005), Journal of Real Estate Portfolio Management, I 1:3, 263-280. 19. Ong. S. E. (1995), Singapore real estate and property stocks - a cointegraton test. Journal of Property Research, No.12,29-39. 20. Redman, A. L. and H. Manakyan(l995), A Multivariate Analysis of REITs Performance by Financial and Real Asset Portfolio Characteristics, Journal of Real Estate Finance and Economics. 10. 169-75. 21. Sharpe, W. F(1966), Mutual Fund Performance, Journal of Business, 39:1, 119-38. 22. Sowden, Wand S. Young(l997), The Impact of Real Estate Investment Manager Mergers. Real Estate Review. Summer 1996,26:2, 7-13. 23. Treynor. J. E.(1965), How to Rate Management oflnvestment Funds. Harvard Business Review, 43: I. 63-75. 24. Wang, K., S. H. Chan and G. W. Gau(l992). Initial Public Offerings of Equity Securities: Anomalous Evidence Using REITs, Journal of Financial Economics, 31,38] -41 0.. 25. Wilson, H .. Fabozzi, S. F. and Gordon, J. (2003), Why Real Estate? , Journal of Portfolio Management: Special Real Estate Issue, 12·27. 26. Wilson, P. and Okunev, 1. (1997), "Using Nonlinear Tests to examine integration between real estate and stock markets", Real Estate Economics. 25:3, 487-503..

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