研究生: |
黃多睿 Do-Re Huang |
---|---|
論文名稱: |
美國倉儲業投資信託績效表現與三柵交易法應用導入 The Performance of U.S. Warehouse REITs and Implementation of Triple Barrier Trading Strategy. |
指導教授: |
張光第
Guang-Di Chang |
口試委員: |
謝劍平
Joseph C.P. Shieh 陳俊男 Chun-Nan Chen 劉代洋 Day-Yang Liu |
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: | 2022 |
畢業學年度: | 110 |
語文別: | 英文 |
論文頁數: | 29 |
中文關鍵詞: | 倉儲業 、房地產投資信託基金 、投資組合 、機器學習 |
外文關鍵詞: | Warehouse, REITs, portfolio optimization, machine learning |
相關次數: | 點閱:228 下載:6 |
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本研究在於探討美國倉儲產業 REITs 之異常報酬現象是否存在,以及針對前述現象 之分析結果導入投資策略並分析其模擬交易績效,並提出相關投資建議。研究中針 對 2012 年 1 月至 2021 年 12 月之資料,使用 Granger Causality test 、 Augmented Dickey-Fuller test 、以及 Long Short-Term Memory model 檢驗其時間序列特徵並進 行建模。本研究之結論為:(1)美國倉儲產業 REITs 為相當穩健之投資標的,其 研究區間內不存在顯著之異常報酬,(2)由美國倉儲產業 REITs 所組成之投資組 合在適當交易策略的配合下,可以提供高於市場報酬之投資選項。
This study is aimed to investigate if the U.S. warehouse REITs and self-storage REITs contain abnormal returns or high predictability in returns from January 2012 to December 2021. We apply Granger’s Causality Test, Augmented Dickey-Fuller test, Long Short- Term Memory model, to examine the general statistical characteristics and time series properties of the six selected REITs. The empirical results show that U.S. warehouse REITs contain a high degree of stability and predictability in the observing period. Based on the results, we conclude that the U.S. warehouse REITs, bundled into a portfolio, provide a new instance for proactive hedging with lower risk.
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