此論文為探討不動產信託的報酬與周轉率的關係。

This paper is to analyze the relationship between REIT returns and turnover and to investigate whether there are any return variations before and after the 2007-08 subprime crisis. We use OLS regression model, cross-autocorrelations, the vector autoregressions model (VARs), and generalized autoregressive conditional heteroscedasticity (GARCH) to test to investigate the relationship and to analyze the volatility transmission. The sample is from January 2007 to December 2014 and we divide it to 3 different time periods (pre, in, and after-subprime crisis). The empirical results show that there is no statistically significant linear relation between REIT returns and turnover in all sample period but there is relation in pre and after-crisis. Our results indicate that turnover do affect REIT returns in some subperiods.

Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time series effects. Journal of Financial Markets, 5, 31–56
Bekaert, G., Harvey, C. R., & Lundblad, C. (2007). Liquidity and expected returns: Lessons from emerging markets. Review of Financial studies, 20(6), 1783-1831.
Bhasin, V., Cole, R. A., & Kiely, J. K. (1997). Changes in REIT Liquidity 1990–1994: Evidence from Intra‐day Transactions. Real Estate Economics, 25(4), 615-630.
Brounen, D., Kok, N., & Ling, D. C. (2012). Shareholder composition, share turnover, and returns in volatile markets: The case of international REITs.Journal of International Money and Finance, 31(7), 1867-1889.
Cannon, S. E., & Cole, R. A. (2011). Changes in REIT liquidity 1988–2007: evidence from daily data. The Journal of Real Estate Finance and Economics, 43(1-2), 258-280.
Chang, G. D.,& Cheng, P. C. (2016). Evidence of cross-asset contagion in U.S. market. Economic modelling, 58, 219-226.
Chiang, K. C., & Lee, M. L. (2010). The role of correlated trading in setting REIT prices. The Journal of Real Estate Finance and Economics, 41(3), 320-338.
Chang, L. C. (2006). REITs Returns and Trading Volume. working paper, URL: http://pc01. lib. ntust. edu. tw/ETD-db/ETD-search/view_etd.
Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
Dey, M. K. (2005). Turnover and return in global stock markets. Emerging Markets Review, 6(1), 45-67.
Easley, D., Hvidkjaer, S., & O’hara, M. (2002). Is information risk a determinant of asset returns?. The journal of finance, 57(5), 2185-2221.
Glascock, J. L., & Lu-Andrews, R. (2015). The Price Behavior of REITs Surrounding Extreme Market-Related Events. The Journal of Real Estate Finance and Economics, 51(4), 441-479.
Glascock, J., & Lu-Andrews, R. (2014). An examination of macroeconomic effects on the liquidity of REITs. The Journal of Real Estate Finance and Economics, 49(1), 23-46.
Grinblatt, M., & Titman, S. (1994). A study of monthly mutual fund returns and performance evaluation techniques. Journal of financial and quantitative analysis, 29(03), 419-444.
Korajczyk, Robert A., Sadka, Ronnie, 2008. Pricing the commonality across alternative measures of liquidity. Journal of Financial
Economics 87, 45–72.
Rouwenhorst, K. G. (1999). Local return factors and turnover in emerging stock markets. The Journal of Finance, 54(4), 1439-1464.
Sang-Gyung, J., Marathe, A., & Shawky, H. A. (2003). Liquidity and stock markets in emerging equity markets. Emerging Markets Review, 4(1), 1-24.