近年來受惠於網路普及與移動科技的進步，電子商務市場迅速成長，電子商務與第三方物流產業需求更多物流倉儲以處理大量電商訂單，帶動整體物流不動產市場的興起，尤其是亞洲物流不動產市場。隨亞洲物流不動產市場的快速成長，亞洲物流REITs的市場規模也隨之迅速擴展，吸引許多投資者投入，使其於投資組合內的角色日漸重要。亞洲REITs市場中因僅日本與新加坡具有物流REITs的上市，故本研究將聚焦於日本與新加坡物流REITs市場。
本文以2006年7月至2017年12月為研究期間，分析日本與新加坡物流REITs的投資績效，包括報酬率、風險及風險調整後收益(夏普比率)，並探討其分散投資組合風險的效益。尤其，將比較日本與新加坡物流REITs與股票、債券、整體REITs及其他類別不動產REITs(如辦公、零售、住宅等)的投資績效及分散投資組合風險效益。另外參考Newell et al.(2015)以金融海嘯的發生為分期依據將研究期間分成兩個分期，分別為金融海嘯前至金融海嘯發生期間(2006.07-2009.07)，與金融海嘯發生後至今的期間(2009.08-2017.12)，進行分期分析(Sub-period Analysis)以分析日本與新加坡物流REITs在投資績效以及分散投資組合風險效益上的變化。
研究結果顯示於2006年7月至2017年12月的研究期間內，日本物流REITs投資績效(0.39)於日本投資市場內排名第5，而新加坡物流REITs投資績效(0.34)於新加坡投資市場內排名第7。而日本與新加坡物流REITs於多資產投資組合內皆能提供分散風險效益，且相比於新加坡物流REITs，將日本物流REITs加入日本的股票、債券投資組合中所能提升投資組合投資效率的效益較佳。自2009年8月至2017年12月的研究期間，投資於日本物流REITs(0.76)與新加坡物流REITs(1.12)皆具有優質的投資績效。日本與新加坡物流REITs皆能提供分散投資組合風險的效益，但日本物流REITs與其他資產間相關係數提高，分散風險的效益減弱。在國內的股票與債券投資組合中加入日本與新加坡物流REITs皆能有效提升投資組合投資效率，且尤其以加入新加坡物流REITs提升投資組合投資效率的效益較高。

In Recent years, thanks to arising internet penetration rate and advanced mobile commerce, E-commerce grow rapidly. E-commerce and 3PLs (Third Party Logistics) companies need more logistics facilities to fill lots of orders, which drive the growth of logistics real estate market, especially in Asia. With the rapid growth of the Asian logistics real estate market, the market size of the Asian logistics real estate investment trusts (REITs) expanded rapidly, which attracted many investors to invest in logistics REITs and that make it more significant in the multi-asset portfolio. In Asia, Only Japan and Singapore issued logistics REIT, we focus on Japan and Singapore REITs market.
The results show that the performance of Japan logistics REITs (0.39) ranked No.4 in Japan investment market and the the performance of Singapore logistics REITs (0.34) ranked No.7 in Singapore investment market over July 2006-December 2017. Both of Japan and Sinagapore logistics REITs had portifolio diversification benefit, and it was better to increase the efficiency of portfolio investment by adding the Japan logistics REITs in the portfolio.
Over August 2009-December 2017, both of Japan logistics REITs (0.76) and Singapore logistics REITs (1.12) had strong performance. Both of Japan and Singapore logistics REITs had portifolio diversification benefit. However, as Japan logistics REITs were correlated increased with all the other asset, its portifolio diversification benefit decreased. Adding the Japan and Singapore logistics REITs in the portfolio could increase the efficiency of portfolio investment, and especially Singapore logistics REITs could improve the efficiency of portfolio investment more.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程與架構 5
第二章 文獻回顧 7
第一節 電子商務成長帶動物流不動產的興起與變革 7
壹、 全球電子商務市場成長，驅動物流不動產的需求與變革 7
貳、 物流倉儲型態與區位上的變革 9
參、 未來物流產業與物流不動產之發展趨勢 15
第二節 亞洲主要物流不動產市場概況 23
壹、 日本物流不動產市場概況 23
貳、 新加坡物流不動產市場概況 30
參、 中國物流不動產市場概況 35
第三節 REITS於投資組合內的角色 43
壹、 REITs投資績效與其在投資組合內分散效益的相關研究 43
貳、 日本與新加坡物流REITs的重要性 46
第四節 小結 53
第三章 研究設計 55
第一節 研究範圍與比較資產指標選取說明 55
壹、 日本與新加坡物流REITs 55
貳、 日本與新加坡股票、債券、REITs市場比較指標選取 56
第二節 研究方法 61
壹、 投資組合理論與效率前緣(Efficient Frontier) 61
貳、 績效評估指標 64
第四章 研究結果與分析 67
壹、 投資績效分析 67
貳、 分散投資組合風險效益 69
參、 日本與新加坡物流REITs於多資產投資組合內效益 72
肆、 分期分析(Sub-Period Analysis) 76
一、 投資績效分析 76
二、 分散投資組合風險效益 79
三、 日本與新加坡物流REITs於投資組合內效益 84
第五章 結論 89
參考文獻 91

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參、英文研究報告
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