本篇論文以REITs的折價程度、REITs的市場週轉率和REITs IPO的首日報酬作為情緒指標，利用Granger因果關係、VAR模型及衝擊反應函數來檢定情緒因子是否能解釋REITs的報酬。有以下顯著的發現：（1）NAREIT的報酬僅被REITs折價程度的影響，而大型REITs的報酬除了被REITs折價程度的影響，還受到REITs的市場週轉率的影響，但REITs IPO的首日報酬卻與REITs的報酬互不相影響；（2）在REITs市場中，情緒因子顯著的影響大型REITs的報酬，這與過去在股票市場中的研究結果不同；（3）未預期的市場情緒波動會導致REITs的規模溢酬縮小，表示投資人在市場情緒波動時投資大型REITs是有利的。

This paper tests if investor sentiment has leading effects on real estate investment trusts (REITs) returns. We select three indirect investor sentiment measures to predict REITs returns: the value-weighted average discounts of REITs, the REITs turnover rate, and the initial returns of REITs IPOs. We apply Granger causality test and vector autoregressions method (VAR) to investigate the relationship between these three investor sentiment measures and REITs returns. We also use impulse response function to exam if unexpected investor sentiment shocks have any impacts on REITs returns. Our findings are listed as follows: (1) the variation of the National Association Real Estate Investment Trusts (NAREIT) index returns is resulted from value-weighted average discounts of REITs and the variation of big REITs returns is resulted from both value-weighted average discounts of REITs and REITs turnover rate, and there is no evidence that the initial returns of REITs IPOs can predict REITs returns; (2) in the REITs market, investor sentiment significantly affects big REITs returns, which differs from previous studies in the stock market; and (3) the unexpected shocks from the market sentiment lower the size premia on REITs returns. Investors can benefit from investing in big REITs when market sentiment fluctuates dramatically.

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