臺灣博碩士論文加值系統

本篇論文利用Barret and Donald (2003) 提出的隨機優勢檢定來探討在不同總體經濟環境下, 不動產投資信託基金的表現是否優於股票的表現。我們的資料來自於不同的FTSE NAREIT 不動產投資信託指數及S&P 500 指數的月報酬率, 樣本期間為1972:01-2004:12。我們更進一步根據景氣循環狀態及實質利率水準來分割期間。實證結果顯示在全期間或是景氣復甦階段, FTSE NAREIT 綜合指數及FTSE NAREIT 權益型REITs 指數相對於S&P 500 指數存在二階及三階隨機優勢的關係。而S&P 500 指數在景氣復甦或是中度實質利率階段時, 表現的比FTSE NAREIT 抵押型REITs 指數及FTSE NAREIT 混合型REITs 指數來得好。值得一提的是, FTSE NAREIT 權益型REITs 指數在低實質利率及高實質利率下存在明顯的優勢地位。總言之, 對於風險趨避或是具有正偏態的投資者來說, FTSE NAREIT 權益型REITs 指數相對於S&P 500 指數是比較好的投資選擇。

This paper employs the stochastic dominance tests based on Barret and Donald (2003) to examine whether REITs have better performance than stocks under different macroeconomic conditions. We use monthly returns of FTSE NAREIT US Real Estate Index Series and S&P 500 Index over the period 1972:01-2004:12. The sample period is divided by business cycles and the real interest rates. We find that FTSE NAREIT Composite Index and FTSE NAREIT Equity REITs Index stochastically dominate S&P 500 Index at second and third order either during the whole period or in expansion. However, S&P 500 Index has better performance than FTSE NAREIT Mortgage REITs Index and FTSE NAREIT Hybrid REITs Index in expansion and in the regime with medium real interest rate. Specifically, FTSE NAREIT Equity REITs Index dominates S&P 500 Index in the regimes with low and high real interest rates. Generally speaking, FTSE NAREIT Equity REITs Index is a better choice to invest than S&P 500 Index for risk averse investors with positive skewness preference.

中文摘要 . . . . . . . . . . . . . . . . . . . . . . . i
Abstract . . . . . . . . . . . . . . . . . . . . . . . ii
誌謝辭 . . . . . . . . . . . . . . . . . . . . . . . iii
Contents . . . . . . . . . . . . . . . . . . . . . . . iv
Figure Contents . . . . . . . . . . . . . . . . . . . . v
Table contents . . . . . . . . . . . . . . . . . . . . vi
1 Introduction 1
2 Methodology 5
2.1 Stochastic Dominance . . . . . . . . . . . . . . . . 5
2.2 Business Cycle . . . . . . . . . . . . . . . . . . . 9
2.3 Markov Switching Model . . . . . . . . . . . . . . .10
3 Data 13
4 Empirical Results 15
4.1 Descriptive Statistics of REITs in Different
Regimes . . . . . . . . . . . . . . . . . . . . . . 15
4.2 Empirical Results of Stochastic Dominance Tests . . 15
4.2.1 FTSE NAREIT Composite Index v.s. S&P500 Index . . 16
4.2.2 FTSE NAREIT Equity REITs Index v.s. S&P500 Index. 17
4.2.3 FTSE NAREIT Mortgage REITs Index v.s. S&P500 Index 18
4.2.4 FTSE NAREIT Hybrid REITs Index v.s. S&P500 Index .19
5 Conclusion 20
References 21

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