淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


  查詢圖書館館藏目錄
系統識別號 U0002-1205200918400500
中文論文名稱 權益型不動產投資信託波動性預測與特性
英文論文名稱 Volatility Forecasting and Characteristics of Equity REITs
校院名稱 淡江大學
系所名稱(中) 財務金融學系博士班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 黃聖志
研究生英文姓名 Sheng-Shih Huang
學號 894490118
學位類別 博士
語文別 英文
口試日期 2009-05-09
論文頁數 93頁
口試委員 指導教授-邱建良
共同指導教授-李命志
委員-邱建良
委員-邱忠榮
委員-林蒼祥
委員-黃彥聖
委員-王凱立
委員-黃博怡
委員-俞海琴
中文關鍵字 波動性  權益型不動產投資信託  WCARR模型  ARJI模型  GJR-ARJI 模型  超額報酬  變幅 
英文關鍵字 Volatility  Equity REITs  WCARR Model  ARJI Model  GJR-ARJI Model  Excess Return  Range 
學科別分類 學科別社會科學商學
中文摘要 本論文著重於權益型不動產投資信託波動性預測與特性,共包含三個部份。第一部份為「美國權益型不動產投資信託之波動性預測」、第二部份為「權益型不動產投資信託與股市、利率之敏感性」與第三部份為「權益型不動產投資信託風險溢酬與不對稱波動性」。將此三部份的內容簡述如下。
第一部份針對美國權益型不動產投資信託比較WCARRX模型與ECARRX模型進行波動性預測。實證結果簡述如下:1.檢驗變幅衝擊長期的穩定條件知悉美國權益型不動產投資信託資料較符合WCARRX模型。2.本文檢驗長期利率與股價指數將正向衝擊美國權益型不動產投資信託。此外,西德州原油指數對美國權益型不動產投資信託是不顯著,其隱含美國權益型不動產投資信託無法呈現有效的通貨膨脹避險。3.樣本外之預測支持WCARRX模型優於ECARRX模型。由上述之預測評估可以觀查到WCARRX模型較優於ECARRX模型波動性預測。
第二部份本文主要研究使用ARJI模型去檢驗美國與日本權益型不動產投資信託市場,對股市與長短期利率敏感性之動態分析。實證結果簡述如下:1.權益型不動產投資信託報酬與兩國之股價指數報酬皆呈現顯著之正相關,其隱含權益型不動產投資信託行為比較像普通股(小型股)標的而非標的不動產或債券。因此,權益型不動產投資信託給投資人好的分散風險收益。2.本文發現權益型不動產投資信託報酬與10年期政府公債報酬正相關,其隱含利率上升可能反應好的經濟成長與預期通貨膨脹,進而推升不動產價格。3.權益型不動產投資信託報酬與3個月期政府公債報酬皆無顯著性相關。最後證實兩國權益型不動產投資信託報酬皆存在高度之波動性叢聚現象。
第三部份本文使用GJR-ARJI模型去檢驗美國、澳洲與日本權益型不動產投資信託之超額報酬與市場投資組合之超額報酬。實證結果簡述如下: 1.權益型不動產投資信託之超額報酬與市場風險溢酬呈現相同方向關係。其隱含基於權益型不動產投資信託多樣化之特性權益型不動產投資信託指數與股票指數呈正相關。我們建議一個理性投資人在股市過熱時選擇權益型不動產投資信託指數諸如基金或債券避險。2.本文發現基於過去好消息和壞消息衝擊造成不對稱效果。實證結果證明權益型不動產投資信託超額報酬與市場風險溢酬皆存在高度之波動性叢聚現象。因此,本文建議使用GJR-ARJI模型去捕捉與理解美國、澳洲與日本權益型不動產投資信託之超額報酬特性與避免不正確的財務與經濟之決定。
英文摘要 The purpose of this dissertation is to contribute to the literature on volatility forecasting and characteristics of Equity REITs which comprises three parts. The first part is entitled “Forecasting Volatilities for U.S. Equity REITs”, the second part is named “Stock and Interest Rate Sensitivity of Equity REITs”, and the last one is “Risk Premium and Asymmetric Volatility of Equity REITs”.
A brief introduction of these three parts can be summarized as follows: The first part compares the WCARRX model with the ECARRX model in forecasting financial volatilities for U.S. Equity REITs. The empirical results are summarized as follows. First, we indicate the persistence of range shocks that U.S. Equity REITs data seem to support a Weibull alternative over the null of an exponential distribution. Secondly, this dissertation investigates that the long-run interest rate and stock market have positive shock with the U.S. Equity REITs. Furthermore, this dissertation finds that there is not statistically significant in the case of the West Texas crude oil Index, which implies that the U.S. EREITs do not represent effective inflation hedges. Third, out-of-sample volatility forecasts give rise to almost unanimous support for the WCARRX model over the ECARRX model. As a result of the above forecast evaluations, it is obvious that the WCARRX model does provide sharper volatility forecasts than the ECARRX model.
In the second, the main study of this dissertation uses the ARJI model to examine the U.S. and Japan EREITs markets, which with the dynamic analysis of stock and long-term and short-term interest rate sensitivity. The empirical results have summarized as follows. First, our results show that there exists a positive correlation between the target EREITs returns and the market index. This implies that EREITs behave more like common stocks (small stocks) than the underlying real estate or bond. Furthermore, the results show that REITs, in particular EREITs, offer investors good diversification benefits. Secondly, this dissertation finds a positive correlation between the target EREITs returns and the yield of 10-year Treasury notes in recent years. This implies that an increase in interest rates may reflect stronger economics growth, higher inflationary expectations, and upward pressure on real estate prices. Third, this dissertation finds that there is not statistically significant between the target EREITs returns and the yield of 3-month T-bills. Finally, empirical results demonstrate that the return of U.S. EREITs and Japan EREITs indices have highly volatility clustering phenomenon.
The last part utilizes the GJR-ARJI model to examine the daily excess returns of the EREITs index and the daily excess returns of market portfolios in the U.S., Australia and Japan EREITs indices. The empirical results have summarized as follows. First, the excess EREITs returns and the market risk premium are related in that they move in the same direction. This implies that the international EREIT indices and stock indices are positive correlated based on the EREITs’ diversified characteristics. We suggest that a relational investor can choose a REIT index to replace an overreacting stock index such as a hedge fund or a bond. Secondly, this dissertation finds evidence of a strong asymmetric effect with respect to the impact of past good and bad news. The empirical results demonstrate that the excess EREIT returns and market risk premium exhibit jump phenomena. Hence, this study suggests using the GJR-ARJI model investigate the excess return concept to capture and comprehend the true features of the EREITs for the U.S., Australia and Japan, and thus avoids incorrect financial and economic decisions.
論文目次 TABLE OF CONTENTS
Page
ACKNOWLEDGEMENT i
ABSTRACT IN CHINESE ii
ABSTRACT IN ENGLISH iv
LIST OF TABLES ix
LIST OF FIGURES x

PART I 1
Forecasting Volatilities for U.S. Equity REITs

ABSTRACT 2
CHAPTER
1. Introduction 3
1.1 Motivations and Objectives 3
1.2 Flow Chart 5
2. Literature Review 6
3. Econometric Methodology 11
3.1 The Weibull Conditional Autoregressive Range (WCARR) model 11
3.2 Out-of-Sample Volatility Forecasting Comparison 15
4. Data Description and Empirical Results 16
4.1 Data Description 16
4.2 Estimation Results 17
4.3 Out-of-Sample Volatility Forecast Comparison 22
5. Concluding Remarks 25
BIBLIOGRAPHY 27





PART II 34
Stock and Interest Rate Sensitivity of Equity REITs

ABSTRACT 35
CHAPTER
1. Introduction 36
1.1 Motivations and Objectives 36
1.2 Flow Chart 39
2. Literature Review 40
3. Econometric Methodology 45
3.1 ARJI Model 45
4. Data Description and Empirical Results 49
4.1 Data Description 49
4.2 Empirical Results 52
5. Conclusions 55
BIBLIOGRAPHY 57















PART III 62
Risk Premium and Asymmetric Volatility of Equity REITs


ABSTRACT 63
CHAPTER
1. Introduction 64
1.1 Motivations and Objectives 64
1.2 Flow Chart 68
2. Literature Review 69
3. Econometric Methodology 73
3.1 GJR-ARJI Model 73
4. Data and Empirical Results 77
4.1 Data Description 77
4.2 Empirical Results 78
5. Conclusions 87
BIBLIOGRAPHY 89



LIST OF TABLES
Page
PART I
Table I.1. Summary Statistics for the Returns and Ranges of Daily
U.S. EREITs Index 16
Table I.2. Estimation of the ECARR Models Using Daily U.S. EREITs Index
With Exponential Distribution-The ECARR(1,1) Model 20
Table I.3. Estimation of the WCARR Models Using Daily U.S. EREITs Index
With Weibull Distribution-The WCARR(1,1) Model 21
Table I.4. Out-of-Sample Forecasting of ECARR AND WCARR Forecast from
EREITs 23

PART II

Table II.1. Descriptive Statistics of Daily Returns 51
Table II.2. Estimation of the ARJI Model with two target U.S. and Japan EREITs
Indices 54


PART III

Table III.1. Descriptive Statistics of daily excess equity REIT Index returns 79
Table III.2. Estimation of the ARJI Model with the Excess Return Model 82
Table III.3. Estimation of the GJR-ARJI Model with the Asymmetric Excess Return
Model 86






LIST OF FIGURES
Page
PART I

Figure I.1 The U.S. EREITs index in level and daily returns 16

PART II

Figure II.1 The two target EREITs indices in levels, daily returns and
daily returns density 50
PART III

Figure III.1. The three target EREITs indices & stock indices in levels……………… 78
參考文獻 BIBLIOGRAPHY(Part I)
Adrangi, B., Chatrath, A. and Raffiee, K.(2004), REITs Investments and Hedging Against Inflation, Journal of Real Estate Portfolio Management, 10, 97--112.
Alizadeh, S., Brandt, M., and Diebold, F. (2001), Range-based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think, Journal of Finance, 57, 1047--1092.
Allen, M. T., Madura, J., and Springer, T. M. (2000), REIT Characteristics and the Sensitivity of REIT Returns, Journal of Real Estate Finance and Economics, 21, 141--152.
Andersen, T., and Bollerslev, T. (1998), Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts, International Economic Review, 39, 885--905.
Beckers, S. (1983), Variance of Security Price Return Based on High, Low and Closing
Prices, Journal of Business, 56, 97--112.
Black, F., and Scholes M. (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 637--659.
Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, 307--327.
Bollerslev, T., Chou, R. Y., and Kroner, K. F. (1992), ARCH modeling in finance: A review of the theory and empirical evidence, Journal of Econometrics, 52, 5--60.
Chatrath, A., and Liang, Y. (1998), REITs and Inflation : A Long-Run Perspective , Journal of Real Estate Research , 16 , 311--325.
Chen, K. C., and Tzang, D. D. (1988), Interest rate Sensitivity of Real Estate Investment Trusts , Journal of Real Estate Research , 3 , 13--22.
Chou, R. Y. (2005), Forecasting financial volatilities with extreme values: the conditional autoregressive range (CARR) Model, Journal of Money, Credit, and Banking, 37,561--582.
Cox, J., and Rubinstein, M. (1985), Options Markets. Englewood Cliffs, NJ: Prentice-Hall.
Devaney, M. (2001), Time varying risk premium for real estate investment trusts: A GARCH–M model, The Quarterly Review of Economics and Finance, 41, 335--346.
Eichholtz, P. M. A. and Hartzell, D. J. (1996), Property Shares, Appraisals and the Stock Market: An International Perspective, Journal of Real Estate Finance and Economics, 12, 163--178.
Engle, R. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation, Econometrica, 50, 987--1008.
Engle, R. (2002), New Frontiers for ARCH Models, Journal of Applied Econometrics, 17, 425--446.
Engle, R. F., and Bollerslev, T. (1986), Modeling the persistence of conditional variances (with discussion), Econometric Reviews, 5, 1--50.
Engle, R.F., and Ng, V.K., (1993), Measuring and testing the impact of news on volatility, Journal of Finance, 48, 1749--1777.
Engle, R., and Russell, J. (1998), Autoregressive Conditional Duration: A New Model for Irregular Spaced Transaction Data, Econometrica, 66, 1127--1162.
Fama, E.F. and Schwert, G.W. (1977), Asset Return and Inflation, Journal of Financial Economics, 5, 115--146.
Gallant, R., Hsu, C.T., and Tauchen, G. (1999), Calculating Volatility Diffusions and Extracting Integrated Volatility, Review of Economics and Statistics, 81, 617--631.
Garman, M., and Klass, M. (1980), On the Estimation of Security Price Volatilities From Historical Data, Journal of Business, 53, 67--78.
Glascock, M. D. (1991), Tables for Neutron Activation Analysis (3rd edition). The University of Missouri Research Reactor Facility.
Glascock, J., Lu, C. and So, R. (2002), REIT Returns and Inflation : Perverse or Reverse Causality Effects ?, Journal of Real Estate Finance and Economics, 24, 301--317.
Glascock J., Lu, C., and So, R. (2000), Further evidence on the integration of REIT, bond and stock returns, J Real Estate Financ Econ, 20,177--194.
Gouri’eroux, C. (1997), ARCH Models and Financial Applications. Springer.
Gisser, M., and Goodwin, T.H., (1986), Crude oil and the macroeconomy: tests of some popular notions, Journal of Money, Credit and Banking, 18, 95--103.
Gyourko, J., and Linneman, P. (1988), Owner-Occupied Homes, Income- Producing Real Property, and REITs as Inflation Hedges, Journal of Real Estate Finance and Economics, 1, 347--72.
Hakan, B., and Hakan, T.(2002), Inflationary effect of crude oil prices in Turkey, Physica A, 31, 568--580.
Hamilton, J. D. (1983), Oil and the Macroeconomy since World War II, Journal of Political Economy, 91, 228--248.
Hartzell, D., Heckman, J. and Miles, M.(1987), Real Estate Returns and Inflation, AREUEA Journal, 15, 617--637.
He, L. T., Webb, J.R. and Neil, F.C. M. (2003), Interest Rate Sensitivities of REIT Returns, International Real Estate Review, 6, 1--21.
Hull, J. and White, A. (1987), The Pricing of Options on Assets with Stochastic Volatilities, Journal of Finance, 42, 281--300.
Hurst, H. E. (1951), Long-term Storage Capacity of Reservoirs, Transactions of the American Society of Civil Engineers, 116, 770--799.
IEA, (2004), Analysis of the impact of high oil prices on the global economy. International Energy Agency report 2004.May.
Jacquier, E., Polson, N. G. and Rossi, P. E. (1994), Bayesian analysis of stochastic volatility models (with discussion), Journal of Business & Economic Statistics, 12, 371--417.
Jarque, C. M. and Bera, A. K. (1987), A test for normality of observations and regression residuals, International Statistical Review, 55, 163--172.
Jones, D.W., Leiby, P.N., and Paik, I.K., (2004), Oil price shocks and the macroeconomy: what has been learned since 1996, Energy Journal, 25, 1--32.
Kim, J. W., Leatham, D. J. and Bessler, D. A. (2007), REITs' Dynamics under Structural Change with Unknown Break Points , Journal of Housing Economics , 16 , 37--58.
Kunitomo, N. (1992), Improving the Parkinson Method of Estimating Security Price
Volatilities, Journal of Business, 65, 295--302.
Li, Y. and Wang, K. (1995), The predictability of REIT returns and market segmentation, The Journal of Real Estate Research, 10, 471--482.
Liang, Y., Mcintosh, W. and Webb, R. J. (1995), Intertemporal changes in the riskness of REITs, The Journal of Real Estate Research, 10, 427--443.
Ling, D. and Naranjo, A. (1999), The integration of commercial real estate markets and stock markets, Real Estate Economics, 27, 483--515.
Ling, D.C., Naranjo, A., and Ryngaert, M. D. (2000), The predictability of equity REIT returns: Time variation and economic significance, Journal of Real Estate Finance and Economics, 20, 117--136.
Liow, K. H., (2004), Time Varying Macroeconomic Risk and Commercial Real Estate : An Asset Pricing Perspective, Journal of Real Estate Portfolio Management , 10 , 47--57.
Liu, C.H., Hartzell, D. J., Greig, W., and Grissom, T. (1990), The integration of the real estate market and the stock market: Some preliminary evidence., Journal of Real Estate Finance and Economics, 3, 261--282.
Lu, C. and So, R. W. (2001), The Relationship between REITs Returns and Inflation: A Vector Error Correction Approach, Review of Quantitative Finance and Accounting, 16, 103--115.
Mandelbrot, B.(1971), When can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models, Review of Economics and Statistics, 53, 225--236.
Markowitz, H. (1952), Portfolio Selection, Journal of Finance, 7, 77--91.
Marcus, T. A., Madura, J. and Springer, T. M. (2000), REIT Characteristics and the Sensitivity of REIT Returns, Journal Real Estate Finance and Economics,21, 141--152.
McCue, T. E. and Kling, J. L. (1994), Real Estate Returns and the Macroeconomic: Some Empirical Evidence from Real Estate Investment Trust Data, Journal of Real Estate Research, 9, 277--287.
Mei, J. and Lee, A. (1994), Is there a real estate risk premium? Journal Real Estate Finance and Economics, 9, 113--126.
Mork, K.A., Olsen, Ø., and Mysen, H.T., (1994), Macroeconomic responses to oil price increases and decreases in seven OECD countries, Energy Journal, 15 , 19--35.
Mueller, G. R. and Pauley, K. R., (1995), The Effect of Interest Rate Movements on Real Estate Investment Trusts, Journal of Real Estate Research , 10 , 319--325.
Mull, S. R. and Soenen, L. A. (1997), U.S. REITs as an Asset Class in International Investment Portfolios, Financial Analysts Journal, 55--61.
Najand, M., Lin, C. Y. and Fitzgerald, E. (2006), The Conditional CAPM and Time Varying Risk Premium for Equity REITs, Journal of Real Estate Portfolio Management, 2, 167--175.
Okunev, J., and Wilson, P. (1997), Using nonlinear tests to examine integration between real estate and stock markets, Real Estate Economics, 25, 487--504.
Oppenheimer P., and Grissom, T.V. (1998), Frequency space correlation between REITs and capital market indexes, The Journal of Real Estate Research, 16, 291--309.
Payne, J. E. (2003), Shocks to macroeconomic state variables and the risk premium of REITs, Applied Economics Letters, 10, 671--677.
Payne, and James E., (2006), The Response of Sub-sector REIT Returns to Shocks in Fundamental State Variables , Applied Financial Economics Letters , l , 71--75.
Peterson, J. D., and Hsieh, C. H. (1997), Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?, Real Estate Economics, 25, 321--345.
Rogers, C. (1998), Volatility Estimation with Price Quanta, Mathematical Finance, 8, 277--290.
Rogers, C. and Stephen, S. (1991), Estimating Variance from High, Low and Closing Prices, Annals of Applied Probability, 1, 504--512.
Rubens, J., Bond, M. and Webb, J. (1989), The Inflation-Hedging Effectiveness of Real Estate, Journal of Real Estate Research, 4, 45--56.
Sagalyn, L. B. (1990), Real Estate Risk and the Business Cycle: Evidence from Security Markets, Journal of Real Estate Research, 5, 203--219.
Seck, D. (1996), The Substitutability of Real Estate Assets, Real Estate Economics, 24, 75--96.
Simpson, M. W., Ramchander, S., and Webb, J. R., (2007), The Asymmetric Response of Equity REIT Returns to Inflation, Journal of Real Estate Finance and Economics , 34 , 513--29.
Swanson, Z., Theis, J. and Casey., K. M. (2002), REIT Risk Premium Sensitivity and Interest Rates , Journal of Real Estate Finance and Economics , 24 , 319--330.
Wiggins, J.(1991), Empirical Tests of the Bias and Efficiency of the Extreme-value Variance Estimator for Common Stocks, Journal of Business ,64, 417--432.
Yang, D., and Zhang Q. (2000), Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices, Journal of Business, 73, 477--491.
Yobaccio, E., Rubens, J. H. and Ketchm, D. C. (1995), The Inflation-Hedging Properties of Risk Assets:The Case of REITs, The Journal of Estate Research, 10, 279--295.
Yun, P. J., Donald., J. M. and Chew, I. (1990), Are REITs Inflation Hedges ?, Journal of Real Estate Finance and Economics, 3, 91--103.
BIBLIOGRAPHY(PartII)
Allen, M. T., Madura, J. and Springer, T. M. (2000), REIT Characteristics and the Sensitivity of REIT Returns, Journal of Real Estate Finance and Economics, 21, 141--152.
Ball, C.A. and Torous, W. N. (1983), A simplified jump process for common stock returns, Journal of Financial and Quantitative Analysis, 18, 53--65.
Burns, W. L. and Epley, D. R. (1982), The Performance of Portfolios of REITs and Stocks, Journal of Portfolio Management, 8, 37--42.
Chan, K.C., Hendershott, P. and Sanders, A. (1990), Risk and return on real estate, Journal of the American Real Estate and Urban Economics Association, 18, 431--452.
Chan, W. H. and Maheu, J. M. (2002), Conditional Jump Dynamics in Stock Market Return, Journal of Business and Economic Statistics , 20 , 377--389.
Chen, K. C. and Tzang, D. D. (1988), Interest rate Sensitivity of Real Estate Investment Trusts , Journal of Real Estate Research, 3 , 13--22.
Clayton, J. and MacKinnon, G. (2001), The time-varying nature of the link between REIT, real estate and financial returns, Journal of Real Estate Portfolio Management, 7, 43--54.
Devaney, M. (2001), Time varying risk premium for real estate investment trusts: A GARCH–M model, The Quarterly Review of Economics and Finance, 41, 335--346.
Eichholtz, P. M. A., and Hartzell, D. J. (1996), Property Shares, Appraisals and the Stock Market: An International Perspective, Journal of Real Estate Finance and Economics, 12, 163--178.
Fama, E.F. and French, K.R. (1993), Common Risk Factors in The Returns on Stocks and Bonds, Journal of Financial Economics, 33, 3--56.
Firstenberg, P. M., Ross, S. A., and Zisler, R. C. (1988), Real estate: The whole story, The Journal of Portfolio Management, 14, 22--34.
Glascock, J. L., Lu, C. and So, R. W., (2000), Further Evidence on the Integration of REIT , Bond , and Stock Returns , Journal of Real Estate Finance and Economics , 20 , 177--194.
Glascock, M. D. (1991), Tables for Neutron Activation Analysis (3rd edition). The University of Missouri Research Reactor Facility.
Gyourko, J. and Linneman, P. (1988), Owner-Occupied Homes, Income- Producing Real Property, and REITs as Inflation Hedges, Journal of Real Estate Finance and Economics, 1, 347--72.
He, L. T., Webb, J. R. and Neil, F. C. Myer. (2003), Interest Rate Sensitivities of REIT Returns, International Real Estate Review, 6, 1--21.
Jarque, C. M., and Bera, A. K. (1987), A test for normality of observations and regression residuals, International Statistical Review, 55, 163--172.
Jorion, P. (1988), On jump processes in the foreign exchange and stock markets, Review of Financial Studies, 1, 427--445.
Karolyi, G. A. and Sanders., A. B. (1998), The Variation of Economics Risk Premiums in Real Estate Returns , Journal of Real Estate Finance and Economics, 15 , 245--262.
Kim, J. W., Leatham, D. J. and Bessler, D. A. (2007), REITs' Dynamics under Structural Change with Unknown Break Points , Journal of Housing Economics , 16 , 37--58.
Kuhle, J. L. (1987), Portfolio Diversification and Return Benefits-Common Stocks vs. Real Estate Investment Trusts, Journal of Real Estate Research, 2, 1--9.
Kuhle, J., Walther, C., and Wurtzebach, C. (1986), The financial performance of real estate investment trusts, The Journal of Real Estate Research, 1, 67--75.
Li, Y. and Wang, K. (1995), The Predictability of REIT Returns and Market Segmentation, Journal of Real Estate Research, 10, 471--482.
Liang, Y., Mcintosh, W. and Webb, J. R. (1995), Intertemporal changes in the riskness of REITs, The Journal of Real Estate Research, 10, 427--443.
Liu, C. H. and Mei, J. (1992), The predictability of Returns on Equity REITs and Their Co-movement with Other Assets, Journal of Real Estate Finance and Economics, 5, 401--18.
Ling, D. C., Naranjo, A. and Ryngaert, M. (2000), The Predictability of Equity REIT Returns: time Variation and Economic Significance, Journal of Real Estate Finance and Economics, 20, 117--136.
Ling, D. C. and Naranjo, A. (1999), The Integration of Commercial Real Estate Markets and Stock Markets, Real Estate Economics, 27, 483--515.
Ling, D. C. and Naranjo, A. (1997), Economic Risk Factors and Commercial Real Estate Returns, The Journal of Real Estate Finance and Economics, 14, 283--307.
Liow, K. H. (2004), Time Varying Macroeconomic Risk and Commercial Real Estate: An Asset Pricing Perspective, Journal of Real Estate Portfolio Management , 10 , 47--57.
Liu, C.H., Hartzell, D. J., Greig, W. and Grissom, T. (1990), The integration of the real estate market and the stock market: Some preliminary evidence. Journal of Real Estate Finance and Economics, 3, 261--282.
McCue, T. E. and Kling, J. L. (1994), Real Estate Returns and the Macroeconomic: Some Empirical Evidence from Real Estate Investment Trust Data, Journal of Real Estate Research, 9, 277--287.
Mei, J. and Lee, A. (1994), Is there a real estate risk premium? Journal of Real Estate Finance and Economics ,9, 113--126.
Miles, M. and Mahoney, J. (1997), Is Commercial Real Estate an Inflation Hedge? , Real Estate Finance, 13, 31--45.
Mull, S. R. and Soenen, L. A. (1997), U.S. REITs as an Asset Class in International Investment Portfolios, Financial Analysts Journal, 55--61.
Mueller, G. R. and Pauley, K. R., (1995), The Effect of Interest Rate Movements on Real Estate Investment Trusts, Journal of Real Estate Research , 10 , 319--325.
Najand, M., Lin, C. Y. and Fitzgerald, E. (2006), The Conditional CAPM and Time Varying Risk Premium for Equity REITs, Journal of Real Estate Portfolio Management, 2, 167--175.
Nishigaki and Hideki (2007), An Analysis of the Relationship between US REIT Returns, Economics Bulletin, 13, 1--7.
Okunev, J. and Wilson, P. (1997), Using nonlinear tests to examine integration between real estate and stock markets, Real Estate Economics, 25, 487--504.
Oppenheimer P., and Grissom, T.V. (1998), Frequency space correlation between REITs and capital market indexes, The Journal of Real Estate Research, 16, 291--309.
Payne, J. E. (2003), Shocks to macroeconomic state variables and the risk premium of REITs, Applied Economics Letters, 10, 671--677.
Peterson, J. D., and Hsieh, C. H. (1997), Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?, Real Estate Economics, 25, 321--345.
Sagalyn, L. B. (1990), Real Estate Risk and the Business Cycle: Evidence from Security Markets, Journal of Real Estate Research, 5, 203--219.
Seck, D. (1996), The Substitutability of Real Estate Assets, Real Estate Economics, 24, 75--96.
Swanson, Z., Theis, J. and Casey., K. M. (2002), REIT Risk Premium Sensitivity and Interest Rates , Journal of Real Estate Finance and Economics , 24 , 319--330.
Titman, S., and Warga, A. (1986), Risk and the performance of the real estate investment trusts: A multiple index approach, AREUEA Journal, 14, 414--431.
Wilson P., and Okunev, J. (1996), Evidence of segmentation in domestic and international property markets. Journal of Property Finance, 7, 78--97.
Yun, P. J., Donald., J. M. and Chew, I. (1990), Are REITs Inflation Hedges ?, Journal of Real Estate Finance and Economics, 3, 91--103.
BIBLIOGRAPHY(Part III)
Ball, C.A. and Torous, W. N. (1983), A simplified jump process for common stock returns, Journal of Financial and Quantitative Analysis, 18, 53--65.
Black, F., (1976), Studies of Stock Price Volatility Change, Journal of American Statistical Association, 72, 177--181.
Bollerslev, T., Chou, R. Y. and Kroner, K. F. (1992), ARCH modeling in finance: A review of the theory and empirical evidence, Journal of Econometrics, 52, 5--60.
Chan, K. C., Hendershott, P., and Sanders, A. (1990), Risk and return on real estate, Journal of the American Real Estate and Urban Economics Association, 18, 431--452.
Chan, W., and Maheu, J. (2002), Conditional jump dynamics in stock market returns, Journal of Business & Economic Statistics, 20, 377--389.
Christie, A. A. (1982), The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects, Journal of Financial Economics, 10, 407--432.
Chou, R., Engle, R. F., and Kane, A. (1992), Measuring Risk-Aversion from Excess Returns on a Stock Index, Journal of Econometrics, 52, 201--224.
Cotter, J. and Stevenson, S. (2004), Uncovering volatility dynamics in daily REIT returns. Working paper, Centre for Real Estate Research. Smurfit School of Business, University College Dublin.
Devaney, M. (2001), Time varying risk premium for real estate investment trusts: A GARCH–M model, The Quarterly Review of Economics and Finance, 41, 335--346.
Eichholtz, P. M. A. and Hartzell, D. J. (1996), Property Shares, Appraisals and the Stock Market: An International Perspective, Journal of Real Estate Finance and Economics, 12, 163--178.
Engle, R.F. and Ng, V. K. (1993), Measuring and testing the impact of news on volatility, Journal of Finance, 48, 1749--1777.
Ferson, W. and Harvey, C. R. (1991), The variation of economic risk premiums, Journal of Political Economy, 99, 384--415.
Firstenberg, P. M., Ross, S. A., and Zisler, R. C. (1988), Real estate: The whole story, The Journal of Portfolio Management, 14, 22--34.
French, K. R., Schwert, G. W., and Stambaugh, R. F. (1987), Expected stock returns and
volatility, Journal of Financial Economics, 19, 3--29.
Glascock, Michael D. (1991), Tables for Neutron Activation Analysis (3rd edition). The University of Missouri Research Reactor Facility.
Glascock J., Lu, C., and So, R. (2000), Further evidence on the integration of REIT, bond and stock returns, Journal of Real Estate Finance and Economics, 20,177--194.
Gyourko, J. and Keim, D. (1992), What Does the Stock Market Tell Us About Real Estate Returns?, Journal of the American Real Estate and Urban Economics Association, 20, 457--485.
Gyourko, J. and Linneman, P. (1988), Owner-Occupied Homes, Income- Producing Real Property, and REITs as Inflation Hedges, Journal of Real Estate Finance and Economics, 1, 347--72.
Li, Y. and Wang, K. (1995), The predictability of REIT returns and market segmentation, The Journal of Estate Research, 10, 471--482.
Ling, D. and Naranjo, A. (1999), The integration of commercial real estate markets and stock markets, Real Estate Economics, 27, 483--515.
Ling, D.C., Naranjo, A., and Ryngaert, M.D. (2000), The predictability of equity REIT returns: Time variation and economic significance, Journal of Real Estate Finance and Economics, 20, 117--136.
Lintner, J. (1965), The valuation of risky assets and the selection of risky investments in stock portfolio and capital budgets, Review of Economics and Statistics, 47, 13--37.
Liu, C.H., Hartzell, D. J., Greig, W., and Grissom, T. (1990), The integration of the real estate market and the stock market: Some preliminary evidence. Journal of Real Estate Finance and Economics, 3, 261--282.
Jagannathan, R. and Wang, Z. (1996), The conditional CAPM and the cross-section of expected returns, Journal of Finance, 51, 3--53.
Jarque, C. M. and Bera, A. K. (1987), A test for normality of observations and regression residuals, International Statistical Review, 55, 163--172.
Jorion, P. (1988), On jump processes in the foreign exchange and stock markets, Review of Financial Studies, 1, 427--445.
Karolyi, G. A and Sanders A. B.(1998), The variation of economic risk premiums in real estate returns, Journal of Real Estate Finance and Economics, 17, 245--62.
Kuhle, J. L. and Walther, C. H. (1986), REIT v.s. Common Stock Investments: A Historical Perspective, Real Estate Finance, 47--52.
Kuhle, J., Walther, C., and Wurtzebach, C. (1986), The financial performance of real estate investment trusts, The Journal of Real Estate Research, 1, 67--75.
Maheu, J. M. and McCurdy, T. H. (2004), News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns, Journal of Finance, 59, 755--793.
Mei, J.,and Lee, A. (1994), Is there a real estate risk premium? Journal of Real Estate Finance and Economics, 9, 113--126.
Merton, R.C., (1980), On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics, 8, 323--361.
Mull, S. R. and Soenen, L. A. (1997), U.S. REITs as an Asset Class in International Investment Portfolios, Financial Analysts Journal, 55--61.
Najand, M., Lin, C. Y. and Fitzgerald, E. (2006), The Conditional CAPM and Time Varying Risk Premium for Equity REITs, Journal of Real Estate Portfolio Management, 12, 167--176.
Ng, V., Engle, R. and Rothschild, M. (1992), A multi-dynamic-factor model for stock returns, Journal of econometrics, 52, 245--266.
Okunev, J. and Wilson, P. (1997), Using nonlinear tests to examine integration between real estate and stock markets, Real Estate Economics, 25, 487--504.
Pagan, A.R. and Schwert, G.W. (1990), Testing for covariance stationarity in stock market data, Economics Letters, 33, 165--170.
Payne, J. E. (2003), Shocks to macroeconomic state variables and the risk premium of REITs, Applied Economics Letters, 10, 671--677.
Peterson, J. D., and Hsieh, C. H. (1997), Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?, Real Estate Economics, 25, 321--345.
Sagalyn, L. B. (1990), Real Estate Risk and the Business Cycle: Evidence from Security Markets, Journal of Real Estate Research, 5, 203--219.
Schwert, G. W., and Seguin, P. J. (1990), Heteroskedasticity in stock returns, Journal of Finance, 45, 1129--1155.
Schwert, G. W. (1990), Stock Market Volatility, Financial Analyst Journal, 46, 23--24.
Seck, D. (1996), The Substitutability of Real Estate Assets, Real Estate Economics, 24, 75--96.
Sharpe, W. F. (1964), Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance, 19, 425--42.
Stevenson, S. (2002), An examination of volatility spillovers in REIT returns, Journal of Real Estate Portfolio Management, 8, 229--238.
Titman, S. and Warga, A. (1986), Risk and the performance of the real estate investment trusts: A multiple index approach, AREUEA Journal, 14, 414--31.
Wilson, P. and Okunev, J. (1996), Evidence of segmentation in domestic and international property markets. Journal of Property Finance, 7, 78--97.

論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2014-06-06公開。
  • 不同意授權瀏覽/列印電子全文服務。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信