本研究以美國不動產投資信託(real estate investment trusts, REITs)市場為研究標的，檢測相關總體經濟環境與市場情緒指標對報酬行徑的影響，並進一步觀測REITs在初次公開發行年度是否存在異常報酬之現象，相關結果提供投資人在進行投資決策時，能有更深入的認知與參考依據，樣本蒐集期間從2009年7月至2019年12月之月頻資料。另外，本研究考量美國聯準會貨幣政策施行將對不動產市場與金融市場產生重大影響，乃針對樣本期間劃分緊縮貨幣及寬鬆貨幣子樣本期間，以觀測REITs投資組合報酬的變化，實證模型將採用多因子模型進行檢測工作。
實證結果得出REITs初次公開發行與非初次公開發行之投資組合報酬存在顯著差異，於美國政策不確定性指數發現該指數對初次公開發行投資組合報酬為負向影響，而新房銷售與該投資組合報酬亦為負向關係，兩者皆與非初次公開發行之投資組合呈現反向關係，此外在面對長短期利率變動時，初次公開發行的REITs投資組合受到的影響程度較低，在低利率環境下，初次公開發行的不動產投資信託報酬與利率環境呈現反向走動，因此建議投資人在寬鬆貨幣環境時，初次公開發行之不動產投資信託投資組合為較適的選擇，此外也提醒投資者在面對市場投資者情緒波動幅度大時須隨時注意其動向。

This paper takes the real estate investment trusts (REITs) market in the United States as the research target, examines the impact of the relevant overall economic environment and market sentiment indicators on reward behavior, and further observes whether REITs have abnormal returns in the initial public offering year. The relevant results provide investors with more in-depth knowledge and reference when making investment decisions. The sample collection period is from July 2009 to December 2019 with monthly frequency data. In addition, this paper considers that the implementation of the Federal Reserve’s monetary policy will have a significant impact on the real estate market and the financial market. It is based on the sub-sample period of the tightening currency period and the loose currency period for the sample period to observe the changes in the return of the REITs portfolio. The model will use a multi-factor model for testing.
   The empirical results show that there is a significant difference between the portfolio returns of REITs’s initial public offerings and non-initial public offerings. The United States Economic Policy Uncertainty has a negative impact on the returns of the initial public offerings, while the New Home Sales and the portfolio returns are also negative, and both index have an inverse relationship with the portfolio of non-initial public offerings. In addition, when faced with changes in long and short-term interest rates, the investment portfolio of initial public offerings of REITs is less affected. Under the environment, the initial public offerings of real estate investment trusts returns and the interest rate environment are moving in the opposite direction. Therefore, investors are advised to make the initial public offerings of real estate investment trusts portfolio a more appropriate choice in a loose monetary environment. In addition, investors are also reminded to pay attention to emotional movements when they face large emotional fluctuations in the market.

目錄
                                                     頁次
第一章	緒論	                                        1
第一節 研究背景及動機	                                1
第二節 研究目的	                                        4
第三節 研究架構與研究流程圖	                        6
第二章	文獻回顧	                                        8
第一節 總體經濟環境與不動產投資信託市場相關文獻              8
第二節 不動產投資信託投資組合績效的相關文獻	               10
第三節 不動產投資信託初次公開發行效益之文獻                 12
第三章	研究方法	                                       13
第一節 變數定義說明	                               13
第二節 研究方法與實證模型設置	                       21
第四章	資料來源與處理	                               26
第一節 資料來源	                                       26
第二節 基本統計量分析	                               28
第五章	實證結果與分析檢測	                       32
第一節 單根檢定	                                       32
第二節 投資組合估計結果	                               33
第三節 異常報酬估計結果	                               38
第六章	研究結論	                                       44
參考文獻		                                       46
附錄一 2009年至2019年美國不動產投資信託初次公開發行公司表   50
 
                     圖目錄
                                                     頁次
圖一 研究架構圖                                          7

                     表目錄 
表3.1 規模及淨值市價比進行交易的投資組合劃分過程            17
表3.2 變數定義                                          19
表3.3 資料處理一覽表	                               20
表4.1 各變數基本統計量結果	                       29
表4.2初次公開發行及非初次公開發行之投資組合期間各變數均值列表31
表5.1 ADF檢定及PP非參數單根檢定結果                       32
表5.2 2009年至2019年三因子模型對初次公開發行及非初次公開發行不動產投資信託投資組合報酬之迴歸模型估計結果                  34
表5.3 2009年至2019年股市情緒對初次公開發行及非初次公開發行不動產投資信託投資組合報酬之迴歸模型估計結果                   34
表5.4 2009年至2019年總體經濟指標對初次公開發行及非初次公開發行不動產投資信託投資組合報酬之迴歸模型估計結果                35
表5.5 2009年至2019年住房市場前景對初次公開發行及非初次公開發行不動產投資信託投資組合報酬之迴歸模型估計結果                37
表5.6 貨幣政策環境估計結果一覽表	                       39
表5.7 緊縮貨幣政策異常報酬回歸估計結果	               40
表5.8 寬鬆貨幣政策異常報酬回歸估計結果	               42

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