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研究生:游翔崴
研究生(外文):YU, HSIANG-WEI
論文名稱:亞洲物流REITs之投資績效分析-以日本、新加坡市場為例
論文名稱(外文):The Performance of Asian Logistics Real Estate Investment Trusts-The Example of Japan and Singapore Market
指導教授:彭序文彭序文引用關係
指導教授(外文):PENG, HSU-WEN
口試委員:彭序文洪裕勝薛勝斌
口試委員(外文):PENG, HSU-WENHORNG, YUH-SHENGHSUEH, SHENG-PIN
口試日期:2018-03-22
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:不動產與城鄉環境學系
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2018
畢業學年度:106
語文別:中文
論文頁數:96
中文關鍵詞:電子商務物流不動產不動產投資信託
外文關鍵詞:E-commerceLogisticsREITs
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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

壹、中文研究報告
1.物流技術與戰略,2014,降低成本是發展冷鏈物流的關鍵,物流技術與戰略,第68期。
2.物流技術與戰略,2015,在物流中心網路行銷訂單的履行作業極具挑戰!物流技術與戰略,第77期。
3.黃昌宏,2014,冷鏈物流的創新商業模式-農場、養生、交易與物流,物流技術與戰略,第68期。
4.中華人民共和國商務部,2016,2016年中國電子商務報告,北京:中國商務出版社。

貳、英文期刊論文
1.Apte, U.M., and Viswanathan, S., 2000, Effective Cross Docking for Improving Distribution Efficiencies, International Journal of Logistics Research and Applications, Vol. 3, No. 2, pp. 291-302.
2.Cho, H., 2017, The Role of Sub-Sector REITs in Mixed-Asset Portfolios in Japan, Journal of Real Estate Literature, Vol. 25, No. 2, pp. 389-408.
3.Jackson, L.A., 2008, The structure and performance of US hotel real estate investment trusts, Journal of Retail & Leisure Property, Vol. 7, No. 4, pp. 275‐290.
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5.Karolyi, A and Stulz, R., 1996, Why do markets move together? An investigation of US–Japan stock return comovements, Journal of Finance, Vol. 51, No. 3, pp. 951-986.
6.Kim, J. and Jang, S., 2012, Comparative analyses of hotel REITs: examining risk‐return and performance characteristics, International Journal of Contemporary Hospitality Management, Vol. 24, No. 4, pp. 594‐613.
7.Lee, S., 2010, The changing benefit of REITs to the mixed‐asset portfolio, Journal of Real Estate Portfolio Management, Vol. 16, No. 3, pp. 201‐215.
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10.Mueller, A. and G. Mueller, 2003, Public and Private Real Estate in a Mixed-Asset Portfolio, Journal of Real Estate Portfolio Management, Vol. 9, No. 3, pp. 193-204.
11.Newell, G. and Fischer, F., 2009, The Role of Residential REITs in REIT Portfolios, Journal of Real Estate Portfolio Management, Vol. 15, No. 2, pp. 129-139.
12.Newell, G. and Peng, H. W, 2006, The role of non-traditional real estate sectors in REIT portfolios, Journal of Real Estate Portfolio Management, Vol. 12, No. 2, pp. 155-166.
13.Newell, G., Pham, A.K. and Ooi, J., 2015, The significance and performance of Singapore REITs in a mixed-asset portfolio, Journal of Property Investment and Finance, Vol. 33 No. 1, pp. 45-65.
14.Nikamp P., Klamer P. and Gorter C., 2002, Retail Investment by Real Estate Investment Trusts: A Comparative Analysis of Local Retail Returns for the United States, Journal of Housing and Built Environment, Vol. 17, pp. 109-125.
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16.Shum, W.C. and Wong, K.H.Y, 2009, The Predictability of REITs Returns: Evidence From Japan, Journal of Asia Business Studies, Vol. 4, No. 1, pp. 33-38.
17.Tang, G.Y.N. and Shum, W.C., 2004, The risk-return relations in the singapore stock market, Pacific-Basin Finance Journal, Vol.12, pp. 179-195.
18.Treynor, J., 1965, How to rate management of investment funds, Harvard Business Review, Vol. 43, No. 1, pp. 63-75.

參、英文研究報告
1.Bank of Japan, 2016, Report on the Identification of a Japanese Yen Risk-Free Rate, Tokyo, Bank of Japan.
2.BCG, 2013, Omnichannel Alchemy Turning Online Grocery Sales to Gold, London: BCG Research.
3.CBRE, 2015, China Viewpoint-The Key to Investing in The China Logistics Market, Shenzhen: CBRE Research.
4.CBRE, 2016a, Demand Strong for Prime Logistics Space in Global Hubs, Los Angeles: CBRE Research.
5.CBRE, 2016b, 2016 Asia Pacific Real Estate Market Outlook | Singapore, Hong Kong: CBRE Research.
6.CBRE, 2016c, 2016 Asia Pacific Real Estate Market Outlook | China, Hong Kong: CBRE Research.
7.CBRE, 2016d, 2016 Asia Pacific Real Estate Market Outlook | Japan, Hong Kong: CBRE Research.
8.CBRE, 2017a, Global Industrial Last Mile City Logistics, Los Angeles: CBRE Research.
9.CBRE, 2017b, 2017 Asia Pacific Real Estate Market Outlook | Japan, Hong Kong: CBRE Research.
10.CBRE, 2017c, 2017 Asia Pacific Real Estate Market Outlook | Singapore, Hong Kong: CBRE Research.
11.CBRE, 2017d, 2017 Asia Pacific Real Estate Market Outlook | China, Hong Kong: CBRE Research.
12.CBRE, 2017e, 2017 Q4 China Logistics MarketView, Shanghai: CBRE Research.
13.CBRE, 2018a, 2018 Asia Pacific Real Estate Market Outlook | Singapore, Hong Kong: CBRE Research.
14.CBRE, 2018b, 2018 Asia Pacific Real Estate Market Outlook | China, Hong Kong: CBRE Research.
15.Colliers, 2016, Asia Logistics Market: Will Demand Continue to Outpace Supply, Hong Kong: Colliers Research.
16.DHL, 2016, Robotics in Logistics- A DPDHL perspective on implications and use cases for the logistics industry, Troisdorf: DHL Research.
17.eMarketer, 2017, Global Ecommerce Platforms 2017: A Country-by-Country Review of the Top Retail Ecommerce Sites, New York: eMarketer Report.
18.JLL, 2013, E-commerce boom triggers transformation in retail logistics - Driving a global wave of demand for new logistics facilities, Chicago: JLL Research.
19.JLL, 2014, The global omni-channel revolution-Logistics and real estate implications for retailers, Chicago: JLL Research.
20.JLL, 2016, The new industrial evolution : from supply chains to consumer-centric demand chains, London: JLL Research.
21.JLL, 2017, 中國物流倉儲市場需求趨勢, Shanghai, JLL Research.
22.Mattarocci, G. and D. Pekdemir, 2017, Logistic Real Estate Investment and REITs in Europe, Palgrave Macmillan: London.
23.Prologis, 2015, European E-Commerce, E-Fulfilment and Job Creation, Amsterdam: Prologis Research.
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25.Richard Bates, 2015, Consumer Protection in Online Commerce, London: Consumers International Research.
26.Savills, 2013, Singapore Industrial Sector Briefing January 2013, Singapore, Savills Research.
27.Savills, 2015, Japan Logistics Spotlight September 2015, Tokyo, Savills Research.
28.Savills, 2016, Japan Logistics Spotlight September 2016, Tokyo, Savills Research.
29.Savills, 2017a, Logistics Megatrends-How will trends in modern life and technology impact logistics real estate?, London, Savills Research.
30.Savills, 2017b, Japan Logistics Spotlight March 2017, Tokyo, Savills Research.
31.Savills, 2017c, Japan Logistics Spotlight September 2017, Tokyo, Savills Research.
32.Savills, 2018, Singapore Industrial Sector Briefing February 2018, Singapore, Savills Research.
33.The World Bank, 2016, The Logistics Performance Index and Its Indicators, Washington, DC., The World Bank.

肆、網路資料
1.中國電子商務研究中心,2018,2008-2016年中國電子商務市場年銷售額(B2C),2018/03/07,取自http://www.100ec.cn。
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