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研究生:李明德
研究生(外文):Ming-Te Lee
論文名稱:不動產投資信託之超額股利、不動產聯結和不動產類型表現研究
論文名稱(外文):EXCESS DIVIDENDS, REAL ESTATE LINK, AND PROPERTY TYPE PERFORMANCE OF REAL ESTATE INVESTMENT TRUSTS
指導教授:丘邦翰丘邦翰引用關係
學位類別:博士
校院名稱:元智大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:英文
論文頁數:92
中文關鍵詞:不動產信託超額股利資訊不對稱課稅所得不動產聯結不動產類型表現
外文關鍵詞:REITsExcess DividendInformation AsymmetryTaxable IncomeReal Estate LinkPerformance of REITs
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本論文是由三篇有關不動產投資信託(REITs)投資研究所組成。第一篇為「不動產投資信託之超額股利與資訊不對稱-來自課稅所得的證據」,主要延續Hardin and Hill (2008)探討資訊不對稱對不動產投資信託之超額股利支出的影響。許多研究者用主代理問題或傳訊機制來解釋REITs之股利分配(Wang, Erickson, and Gau, 1993; Bradley, Copozza and Seguin; 1998; Ghosh and Sirmans, 2006; Feng, Ghosh and Sirmans, 2007; Hardin and Hill, 2008)。他們的研究意味著REITs藉由支付較高的股利來傳達更多資訊。然而,這和Hardin and Hill (2008)的研究結果不同。先前REITs股利的研究忽略股利強制支出規定或用財務所得來計算股利。本篇使用課稅所得計算的REITs超額股利來進行研究。

跟Hardin and Hill (2008)的結果相反,本篇發現REITs有較高資訊不對稱者會支付越多的超額股利。本篇結果McDonald, Nixon and Slawson (2000) and Downs, Guner and Patteson (2000)的主張相似,然而本篇結果是和Hardin and Hill (2008)的結果是不同。

第二篇為「權益不動產投資信託和非證券化不動產報酬之聯結研究」。本篇檢驗權益不動產投資信託報酬與非證券化不動產報酬之關聯性。研究結果與Giliberto (1990)的研究結果一致,本篇發現非證券化不動產報酬可以解釋大資本額的REIT報酬。而且,本研究指出這聯結主要是存在於大資本額的REITs和非證券化不動產之間。本研究贊同He, Myer, and Webb (1996 and 1997) and Hsieh and Peterson (2000)的研究,主張可以用REIT報酬作為不動產因子的代理變數。

第三篇為「REIT報酬績效和風險敏感度:不動產類型重要嗎?」。本篇利用不同的資產訂價模型再檢驗REIT不動產類型風險敏感度和績效。特別,Chen and Peiser (1999)指出辦公室型和工業型REITs勝過其五類型REITs。相似地,Kim et al. (2002)指出旅館型REITs優於其他五類型REITs。本研究結論與前述相反,但效率市場假說一致,本篇研究為不同的不動產類型REITs的績效在風險調整基礎上沒有差異。這結果與Young (2000)的研究結論相同,即投資者無法從任何不同的不動產類型REITs獲取超額利潤。再者,本研究發現不同的不動產類型REITs的風險不同。這發現是與Gyourko and Nelling (1996) and Mueller and Laposa (1996)一致,但和Young (2000)的結論相反。
This dissertation consists of essays relating to the three important aspects of REIT investment. The first essay, “REITs Excess Dividend and Information Asymmetry: Evidence with Taxable Income”, extends Hardin and Hill (2008) to explore the impact of information asymmetry on REIT excess dividend payments. Many researchers explain REIT dividend distribution as either a principal-agency problem solver or a signaling mechanism (Wang, Erickson, and Gau, 1993; Bradley, Copozza and Seguin; 1998; Ghosh and Sirmans, 2006; Feng, Ghosh and Sirmans, 2007; Hardin and Hill, 2008). Their studies imply that REITs convey more information by paying higher dividends. Nevertheless this is inconsistent with the finding of Hardin and Hill (2008). Previous REIT dividend studies either completely ignore the mandatory payout requirements or compute the requirements with income reported for financial purposes. This essay examines the payments of REIT excess dividends computed with taxable income.

Contrary to Hardin and Hill (2008), this study shows that REITs with higher asymmetric information pay out more excess dividends. The regression results show that REITs with higher asymmetric information pays out more excess dividends. The result is more similar to McDonald, Nixon and Slawson (2000) and Downs, Guner and Patteson (2000) whose arguments However, this result is contrary to Hardin and Hill (2008) whose findings.

The title of the second essay is “The Link between Equity REITs and Private Real Estate Returns”. This study examines the linkage between equity real estate investment trust (REIT) returns and private real estate returns. Consistent with Giliberto (1990) whose research results, this study finds that the real estate factor is useful in explaining large-cap REIT returns. Moreover, this exposure is driven by the linkage between large-cap REITs and unsecuritized real estate. This study supports He, Myer, and Webb (1996 and 1997) and Hsieh and Peterson (2000), which advocates the use of REITs to capture the real estate factor in a long list of studies.

The third essay is entitled “REIT Return Performances and Risk Sensitivities: Does Property-Type Matter?” This study reexamines REIT property-type risk sensitivities and performances by applying a variety of asset pricing models. Specifically, Chen and Peiser (1999) indicate office and industrial REITs outperform other five property type sectors. Similarly, hotel REITs underperform again relative to other five property type sectors (Kim et al., 2002). Contrary to these studies and consistent with the efficient market hypothesis, this essay shows that REITs do not perform differently across property-type sectors on risk-adjusted bases. These results are consistent with Young (2000) whose study concludes that investors can’t earn excess profits from any property-type REIT sectors. Further, this essay finds differential risk sensitivities across property types. This finding is in agreement with Gyourko and Nelling (1996) and Mueller and Laposa (1996) but contrary to Young (2000).
Chapter 1 Introduction 1
1.1 References 4
Chapter 2 REITs Excess Dividend and Information Asymmetry: Evidence with Taxable Income 7
2.1 Introduction 7
2.2 Information asymmetry and REIT dividend 10
2.3 The Model and Variables 13
2.3.1 The Model 13
2.3.2 The Explained Variable 15
2.3.3 The Explanatory Variables 16
2.4 Data 23
2.5 Empirical results 24
2.5.1 Descriptive statistics 24
2.5.2 Regression results 26
2.5.3 Further Check 29
2.6 Conclusions 30
2.7 Reference 32
Chapter 3 The Link between REIT and Private Real Estate Returns 42
3.1 Introduction 42
3.2 Data 45
3.3 Methodology 46
3.4 Description of Variables 48
3.5 The Baseline Results 51
3.6 Size-Based Results 53
3.7 Conclusions 55
3.8 References 57
Chapter 4 REIT Performance and Risk Sensitivities: Does Property Type Matter? 67
4.1 Introduction 67
4.2 Data and methodology 71
4.3 Empirical results 73
4.3.1 One-factor regression results 74
4.3.2 Three-factor regression results 76
4.3.3 Four-factor regression results 78
4.3.4 Sub-period results 80
4.4 Conclusions 82
4.5 References 84

LIST OF TABLES

Chapter 2 REITs Excess Dividend and Information Asymmetry: Evidence with Taxable Income
Table 1 Descriptive statistics for excess dividends and
its determinants. 36
Table 2: Time and property focus distribution of sample
of REITs excluding insider ownership 37
Table 3: Regression estimates of determinants of excess
dividends with year dummies 38
Table 4: Pooled OLS regression estimates of determinants
of excess dividends. 40
Chapter 3 The Link between REIT and Private Real Estate Returns
Table 1: Summary statistics for the baseline analysis 59
Table 2: Summary statistics for the size-based analyses 61
Table 3: Regression of EXREIT on risk factors 62
Table 4: Regressions of large-cap and small-cap REITs on
risk factors for the sub-periods 1985-1991 and
1992-2003 63
Table 5 Regressions of large-cap and small-cap REITs on
risk factors (1985-1990 and 1993-2003) 65
Chapter 4 REIT Performance and Risk Sensitivities: Does Property Type Matter?
Table 1: REIT property-type monthly returns, 1994-2007 87
Table 2: One-factor regression results, 1994-2007 88
Table 3: Three-factor regression results, 1994-2007 89
Table 4: Four-factor regression results, 1994-2007 90
Table 5: Sub-period regression results, 1994-2000 91
Table 6: Sub-period regression results, 2001-2007 92
Chapter 1 Introduction
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4.Chan, S. H., Erickson, J., and Wang, K. 2003. Real estate investment trust: Structure, performance, and investment opportunities, 1st Edition, Oxford University Press, N. Y., N. Y.
5.Chen, J. and Peiser, R. 1999. The risk and return characteristics of REITs - 1993-1997. Real Estate Finance, 16, 61-68.
6.Crain, J., Cudd, M., and Brown, C. 2000. The impact of the revenue reconciliation act of 1993 on the pricing structure of equity REITs. Journal of Real Estate Research, 19, 275-85.
7.Downs, D. H., Guner, Z. N., and Patteson, G. A. 2000 Capital distribution policy and information asymmetry: a real estate market perspective, Journal of Real Estate Finance and Economics, 21, 235-296.
8.Fama, E.F., and French, K.R. 1993. Common risk factors in stocks and bonds. Journal of Financial Economics, 33, 3-56.
9.Feng, Z., Ghosh, C., and Sirmans, C. F. 2007. On the capital structure of real estate investment Trusts (REITs). Journal of Real Estate Finance and Economics, 34, 81–105.
10.Ghosh, C., and Sirmans, C. F. 2006. Do managerial motives impact dividend decisions in REITs? Journal of Real Estate Finance and Economics, 32, 327–355.
11.Giliberto, S.M. 1990. Equity real estate investment trusts and real estate returns. Journal of Real Estate Research, 5, 259-263.
12.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.
13.Graff, R., and Young, M. 1997. Institutional investor impact on equity REIT performance, Real Estate Finance, Fall, 31-39.
14.Gyourko, J., and Nelling, E. 1996. Systematic risk and diversification in the equity REIT market. Real Estate Economics, 24, 493-515.
15.Hardin III, W., and Matthew D. Hill. 2008. REIT Dividend determinants: Excess dividends and capital markets. Real Estate Economics, 36, 349–369.
16.Hartzell, J. C., Liu, C. H., and Kallberg, J. G. 2005. The role of the underlying real asset market in REIT IPOs. Real Estate Economics, 33, 27-50.
17.He, L. T., Myer, N. F.C., and Webb, J. R. 1996. The sensitivity of bank stock returns to real estate. Journal of Real Estate Finance and Economics, 12, 203-220.
18.He, L. T., Myer, N, F.C., and Webb, J. R. 1996. The sensitivity of bank stocks to mortgage portfolio composition. Journal of Real Estate Research, 13, 17-31
19.Howe, J., and Jain, R. 2004. The REIT modernization act of 1999. Journal of Real Estate Finance and Economics, 28, 369-388.
20.Hsieh, C., and Peterson, J. D. 2000. Book assets, real estate, and returns on common stock. Journal of Real Estate Finance and Economics, 21, 221-233
21.Kallberg, J. G.., Liu, C. H., and Srinivasan, A. 2003. Dividend pricing models and REITs. Real Estate Economics, 31, 435-451.
22.Kim, H., Mattila, A., and Gu, Z. 2002. Performance of hotel real estate investment trusts: a comparative analysis of Jensen indexes. International Journal of Hospitality Management, 21, 85-97.
23.Mueller, G.R.. and Laposa, S.P. 1996. REIT returns: A property-type perspective, Real Estate Finance, 13, 45-55.
24.Wang, K., Erickson, J., and Gau, G.. 1993. Dividend policies and dividend announcement effects for real estate investment trusts. Journal of the American Real Estate and Urban Economics Association, 21, 185–201.
25.Young, M. 2000. REIT property-type sector integration. Journal of Real Estate Research, 19, 3-21.

Chapter 2 REITs Excess Dividend and Information Asymmetry: Evidence with Taxable Income

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6.Brau, J.C., and Holmes, A. 2006. Why do REITs repurchase stock? Extricating the effect of managerial signaling in open market share repurchase announcements. Journal of Real Estate Research, 28, 1–23.
7.Brown, D., and Riddiough, T. 2003. Financing choice and liability structure of real estate investment trusts. Real Estate Economics, 31, 313–346.
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17.Feng, Z., Ghosh, C., and Sirmans, C.F. 2007. On the capital structure of real estate investment trusts (REITs). Journal of Real Estate Finance and Economics, 34, 81–105.
18.Ghosh, C., and Sirmans, C.F. 2006. Do managerial motives impact dividend decisions in REITs? Journal of Real Estate Finance and Economics, 32, 327–355.
19.Giambona, E., Giaccotto, C., and Sirmans, C.F. 2005. The long-run performance of REIT stock repurchases. Real Estate Economics, 33, 351–380.
20.Han, B. 2006. Insider ownership and firm value: Evidence from real estate investment trusts. Journal of Real Estate Finance and Economics, 32, 471–493.
21.Hardin III, W., and Matthew D. Hill. 2008. REIT dividend determinants: Excess dividends and capital markets. Real Estate Economics, 36, 349–369.
22.Hartzell, J. C., Liu, C. H., and Kallberg, J. G. 2005. The role of the underlying real asset market in REIT IPOs. Real Estate Economics, 33, 27-50.
23.Hartzell, J.C., Sun, L., and Titman, S. 2005. The effect of corporate governance on investment: Evidence from real estate investment trusts (REITs). Real Estate Economics, 34, 342–376.
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28.Lee, M.L., and Slawson, V. C. 2004. Monitoring and dividend policies of REITs under asymmetric information. 10th Pacific Rim Real Estate Society Conference, Bangkok, Thailand.
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30.McDonald, C. G., Nixon, T. D., and Slawson, V. C. 2000. The changing asymmetric information component of REIT spreads: A study of anticipated announcements. Journal of Real Estate Finance and Economics, 20, 195-210.
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Chapter 3 The Link between REIT and Private Real Estate Returns

1.Block, Ralph L. 2002. Investing in REITs: Real estate investment trusts. Princeton, NJ: Bloomberg Press.
2.Bradrinath, S.G.., Kale, J. R.. and Noe, T. H. 1995. Of shepherds, sheep, and the cross-autocorrelations in equity returns. Review of Financial Studies, 8, 401-430.
3.Chan, S. H., Leung, W. K., and Wang, K. 1998. Institutional investment in REITs: Evidence and implications. Journal of Real Estate Research, 16, 357-374.
4.Chiang, K., Lee, M., and Wisen, C. 2005. On the time series properties of real estate investment trust beta. Real Estate Economics, 33, 381-396.
5.Clayton, J., and Mackinnon, G.. 2003. The relative importance of stock, bond, and real estate factors in explaining REIT returns. Journal of Real Estate Finance and Economics, 27, 39-60.
6.Fama, E.F., and French, K.R. 1993. Common risk factors in stocks and bonds. Journal of Financial Economics, 33, 3-56.
7.Giliberto, S.M. 1990. Equity real estate investment trusts and real estate returns. Journal of Real Estate Research, 5, 259-263.
8.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.
9.Graff, R., and Young, M. 1997. Institutional investor impact on equity REIT Performance. Real Estate Finance, 14, 31-39.
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15.McDonald, C. G., Nixon, T. D., and Slawson, V. C. 2000. The changing asymmetric information component of REIT spreads: A study of anticipated announcements. Journal of Real Estate Finance and Economics, 20, 195-210.
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Chapter 4 REIT Performance and Risk Sensitivities: Does Property Type Matter?

1.Block, R. 1998. Investing in real estate investment trusts. Bloomberg Press, NJ.
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5.Chan, S., Leung, W., and Wang, K. 1998. Institutional investment in REITs: evidence and implications. Journal of Real Estate Research, 16, 357-374.
6.Chen, J., and Peiser, R. 1999. The risk and return characteristics of REITs - 1993-1997. Real Estate Finance, 16, 61-68.
7.Chiang, K., Kozhevnikov, K., Lee, M-L. and Wisen, C. 2004. Another look at the asymmetric REIT-beta puzzle. Journal of Real Estate Research, 26, 25-42.
8.Chiang, K., Kozhevnikov, K., Lee, M-L., and Wisen, C. (2008) Further evidence on the performance of funds of funds: The case of real estate mutual funds. Real Estate Economics, 36, 47-61.
9.Chiang, K., Lee, M-L., and Wisen, C. 2005. On the time-series properties of real estate investment trust betas. Real Estate Economics, 33, 381-396.
10.Cooper, M., Downs, D., and Patterson, G.. 1999. Real estate securities and a filter-based, short-term trading strategy. Journal of Real Estate Research, 18, 313-333.
11.Crain, J., Cudd, M., and Brown, C. 2000. The impact of the Revenue Reconciliation Act of 1993 on the pricing structure of equity REITs. Journal of Real Estate Research, 19, 275-85.
12.Downs, D. 2000. Assessing the real estate pricing puzzle: a diagnostic application of the stochastic factor to the distribution of REIT returns. Journal of Real Estate Finance and Economics, 20, 155-175.
13.Fama, E.F. (1998) Market efficiency, long-term returns, and behavior finance. Journal of Financial Economics 49, 283-306.
14.Fama, E., and French, K. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
15.Gallo, J., Lockwood, L., and Rutherford, R. 2000. Asset allocation and the performance of real estate mutual funds. Real Estate Economics, 28, 165-184.
16.Giambona, E., Giaccato, C., and Sirmans, C.F. (2005) The long-run performance of REIT stock repurchases. Real Estate Economics, 33, 351-380.
17.Goebel, P., and Kim, K. 1989. Performance evaluation of finite-life real estate investment trust. Journal of Real Estate Research, 4, 57-69.
18.Greene, W. 1997. Econometric analysis: 3rd edition. Prentice Hall, NJ.
19.Gyourko, J., and Nelling, E. 1996. Systematic risk and diversification in the equity REIT market. Real Estate Economics, 24, 493-515.
20.Howe, J., and Jain, R. 2004. The REIT Modernization Act of 1999. Journal of Real Estate Finance and Economics, 28, 369-388.
21.Kim, H., Mattila, A., and Gu, Z. 2002. Performance of hotel real estate investment trusts: a comparative analysis of Jensen indexes. International Journal of Hospitality Management, 21, 85-97.
22.Lintner, J. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, 13-37.
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24.Peterson, J., and Hsieh, C. 1997. Do common risk factors in the returns on stocks and bonds explain returns on REITs? Real Estate Economics, 25, 321-345.
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