研究生: |
陳薏帆 Yi-Fan Chen |
---|---|
論文名稱: |
Relationship between REIT-ETFs, REITs and ETFs in the United States Relationship between REIT-ETFs, REITs and ETFs in the United States |
指導教授: |
張光第
Guang-Di Chang |
口試委員: |
張順教
Shun-Chiao Chang 劉代洋 Day-Yang Liu 張光第 Guang-Di Chang |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
論文出版年: | 2019 |
畢業學年度: | 107 |
語文別: | 英文 |
論文頁數: | 25 |
中文關鍵詞: | REIT-ETF 、REIT 、ETF 、Tracking error 、Sharpe ratio |
外文關鍵詞: | REIT-ETF, REIT, ETF, Tracking error, Sharpe ratio |
相關次數: | 點閱:427 下載:0 |
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This paper analyzes the relationship of REIT-ETF portfolios, REIT portfolios and ETF portfolio in the United States from 2007 to 2017. We utilize Jensen’s alpha approach and R squared to determine whether REIT-ETF portfolios return outperform the bench markets significantly. ETF portfolio shows that its R squared are statistically significantly. We examine Tracking error, Sharpe ratio to measure the U.S. REITs and ETF returns performance. It is interesting that Sharpe ratios are relative large, while Tracking errors are relative small. Also we find significant evidence of ETF portfolio outperform REIT-ETF portfolios and REIT portfolios.
This paper analyzes the relationship of REIT-ETF portfolios, REIT portfolios and ETF portfolio in the United States from 2007 to 2017. We utilize Jensen’s alpha approach and R squared to determine whether REIT-ETF portfolios return outperform the bench markets significantly. ETF portfolio shows that its R squared are statistically significantly. We examine Tracking error, Sharpe ratio to measure the U.S. REITs and ETF returns performance. It is interesting that Sharpe ratios are relative large, while Tracking errors are relative small. Also we find significant evidence of ETF portfolio outperform REIT-ETF portfolios and REIT portfolios.
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