本文研究旨在檢視美國權益型REITs是否存在從眾行為之現象，並以CSAD模型與非線性回歸分析從眾行為在特殊期間是否有不同的變化，最後彙整影響REITs從眾行為之總體經濟變數與其影響方向。研究期間自2007/11/01至 2014/06/30，得以涵蓋金融海嘯期間及後期，可提供投資人作為投資之依據。實證結果顯示：
1. 從眾行為存在顯著非線性行為，當市場報酬在極端正向或負向的情形下，從眾行為顯著存在。 
2. 金融海嘯期間，從眾行為效果更為顯著。顯示混沌的投資環境會使投資人忽略基本面的訊息，投資行為較不理性。
3. 以波動性指數(volatility index, VIX)代表投資人的情緒，發現當投資人對未來恐懼時，從眾行為效果就會顯著。此情形在金融海嘯期間更為明顯。
4. 以歷史價格走勢為依據的動能效應因子(momentum factor)也顯著影響從眾行為，在金融海嘯期間一樣具有影響力。
5. 同步考量波動性指數與動能效應，發現波動性指數的影響效果強於動能效應。

Abstract:
      
This study investigates the herding behavior of equity REITs in the U.S. market.  We also analyze the herding behavior in the financial crisis period for understanding the difference.  Finally, some macroeconomic variables are analyzed in the model for detail investigating the herding behavior in the REITs market. The sample period is from 2007/11/01 to 2014/6/30, combining the whole financial crisis period and the later period.  The empirical results are useful to investors.  The empirical results are reported as follow.
1. Herding causes the nonlinear relationship between return dispersion and market return.  The dispersion would be lower in extreme conditions, if herding occurs.
2. The herding behavior is stronger in the financial crisis periods. It indicates that investors would ignore the information with the irrational investment behavior. 
3. Volatility index is a proxy for investor sentiment in this paper.  We observe that herding effects in REITs are associated with investors’ perception of uncertainty.  The relationship is stronger in the financial crisis period.
4. Momentum strategy, buying past year’s winner stocks and selling short past year’s loser stocks, is also related to the herding behavior.
5. The herding behavior is more sensitive to volatility index than momentum factor while considering both factors in the model simultaneously.

目錄
中文目錄....................................................... I
英文目錄....................................................... II
目錄 ....................................................... III
表目錄 ....................................................... IV
圖目錄 ....................................................... VII
第一章 前言................................................... 1
第一節 研究動機.............................................. 3
第二節 研究目的.............................................. 4
第三節 研究架構與流程........................................ 5
第二章 文獻回顧............................................... 6
第一節 行為財務學的理論與發展................................ 6
第二節 從眾行為理論發展與資本市場從眾行為檢定................ 12
第三節 從眾行為之研究方向.................................... 14
第四節 影響從眾行為因素之探討................................ 15
第五節 從眾行為衡量模型與實證結果............................ 16
第三章 美國REITs 簡介......................................... 19
第一節 美國REITs 緣由................... . .................. 19
第二節 美國REITs 演進發展史與市場現況........................ 20
第三節 美國REITs 產品分類與未來發展.......................... 22
第四章 研究方法................................................ 25
第一節 研究對象與研究期間.................................... 25
第二節 從眾行為衡量方法...................................... 25
第五章 實證模型與結果分析...................................... 32
第一節 非線型從眾行為........................................ 32
第二節 CSAD 模型中加入虛擬變數評估從眾行為................... 32
第三節 CSAD 模型中加入多項總體經濟數據....................... 34
第四節 進階模型.............................................. 37
第六章 結論.................................................... 40
參考文獻....................................................... 41
中文文獻................................................... 41
英文文獻................................................... 43

表目錄
【表 5-2-1】CSAD加入虛擬變數之實證結果.......................... 34
【表 5-3-1】CSAD原型中加入多項總體經濟變數之實證結…… 36
【表 5-4-1】CSAD模型中加入多項總體經濟變數之實證結…… 38

圖目錄
【圖 1-3-1】研究架構……………………………………… 5

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