本文主要在研究稅盾效應果溢酬對不動產投資信託(REIT)報酬之影響。一般來說，不動產投資信託是不需要繳稅的，對投資人而言是誘因。然而，本文發現繳稅的不動產投資信託的報酬高於無繳稅的不動產投資信託。雖然無繳稅的不動產投資信託可以節省稅，但有繳稅的不動產投資信託寧願保留部分的盈餘再投資，這表示這些不動產投資信託有更好的投資機會，而這些投資機會和稅盾所帶來的利益會大於節省稅的利益。本文用GARCH和GARCH-M模型來測試不動產投資信託的稅盾效應溢酬之變異是否會隨著時間波動，也利用項量自我回歸模型(VAR model)來探討稅盾效應溢酬之變異與總體經濟之變異之間的關係。本文結果如下：(1) 在1987年1月到2006年12月間，REIT市場中存在正向的稅盾效果；(2) 稅盾溢酬之變異會隨時間波動；(3) 稅盾溢酬對其本身的條件變異有正面之影響；(4) 稅盾溢酬的部份變異與長期利率波動和股價指數波動有關；(5) 當股價指數波動很大時，投資人可以從繳稅的不動產投資信託獲利。

This study is to examine the returns of REITs with and without taxes. We find that the returns of REITs with taxes are significantly higher than the returns of REITs without taxes. Generally speaking, exempt from corporate taxes is the incentive for investors to invest in REITs. However, in this paper we conclude that there exist benefits for taxed REITs. Although untaxed REITs can save tax expenses, taxed REITs would rather pay taxes to obtain the retained earnings for reinvestment. This represents that they have more investment opportunities. The benefits from reinvestment can offset the taxes they pay. The GARCH and the GARCH-M models are applied to examine if the risk premia of tax shield effects on REITs are time-varying and heteroskedastic. The Vector autoregressive (VAR) method is used to investigate how macroeconomic variables affect the tax shield premia. Our main findings are listed as follows: (1) there exists the tax shield premia during the period of January 1987 to December 2006; (2) the tax shield effects on REITs returns may be time-varying and affected by their past volatility; (3) the conditional volatility has significantly positive impact on the tax shield premia; (4) the changes in tax shield premia are partially resulted from both changes in stock price index in the stock market and the changes in long-term interest rates (a proxy for the effects of monetary policy on longerterm yields); and (5) investors benefit from taxed REITs in longer lag (5th month) when stock price is volatile.

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