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研究生： 張漪錞
Yi-Tsuo Chang
論文名稱： 權益型不動產投資信託隨時間變動之規模效應溢酬
Time-Varying Risk Premia for Size Effects on Equity REITs
指導教授： 張光第
Guang-Di Chang
口試委員: 張琬喻
none
廖咸興
none
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： 2007
畢業學年度： 95
語文別： 英文
論文頁數： 33
中文關鍵詞： 權益型不動產投資信託 、規模效應 、GARCH模型 、向量自我回歸 、波動 、槓桿效應
外文關鍵詞： Equity REITs, size effect, GARCH model, VAR, volatility, leverage effect
相關次數： 點閱：630  下載：3 
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    • 本文主要以GARCH模型來研究是否在權益型不動產投資信託基金(EREITs)市場中的規模效應溢酬之變異是隨著時間波動的；本文也利用項量自我回歸模型(VAR model)來探討規模效應溢酬之變異與總體經濟變數之變異之間的關係。本文結果如下：(1)在1995年7月到2006年12月間，EREITs市場中存在反向的規模效應，且規模效應溢酬之變異會隨時間波動；(2) 規模溢酬會受其本身的條件變異所影響；(3) EREITs市場中的規模溢酬並不存在槓桿效應；(4) 規模溢酬的變異部分與債券市場中的期間結構溢酬波動和貨幣政策變動有關；(5) 未預期的期間結構溢酬波動會降低EREITs市場中的規模溢酬的波動。(6) 在違約風險溢酬變異很大的期間，投資大型EREITs會有較穩定的超額報酬。

    This study is to examine if the risk premia of size effect on equity REITs (EREITs) are time-varying by using GARCH family models and to investigate how macroeconomic factors affect the size premia. We reexamine the size effect by using Fama-French three-factor model to demonstrate that there indeed exists the size effect in EREITs market. We investigate the time-varying volatility for size effect by using a sample of publicly traded EREITs with GARCH family models. To extend our research, we analyze the relationship of conditional volatility between macroeconomic variables and size premia with vector autoregressive (VAR) method. Our main findings are as follows: (1) there is a reverse size effect, and size premia is not stable during the period of July 1995 to December 2006; (2) size premia may be affected by its conditional variance; (3) we find no leverage effect in size premia on EREITs returns; (4) the variation of size premia is partially resulted from the volatility of term spread in the bond market and the volatility of short-term interest rates, the proxy for monetary policy; (5) the unexpected shock from the fluctuation of term spread in bond market lowers the volatility of size premia on EREITs returns; (6) the big size EREITs are a good investment when default risk premium fluctuates dramatically.

    Contents 1. INTRODUCTION…………………………………………………1 2. LITERATURE REVIEW…………………………………………3 2.1. SIZE EFFECT…………………………………………………3 2.2. MACROECONOMIC FACTORS AND REITS RETURNS…4 2.3. TIME-VARYING RETURNS…………………………………5 3. THE DATA…………………………………………………………7 3.1. DATA DESCRIPTION…………………………………………7 3.2. VARIABLES FORMATION……………………………………7 3.2.1. FAMA-FRENCH THREE FACTORS…………………7 3.2.2. MACROECONOMIC VARIABLES…………………………8 3.3. DATA MEASUREMENT…………………………………9 4. METHODOLOGY…………………………………………………13 4.1. UNIT ROOT TEST……………………………………………13 4.2. GARCH (p,q) MODEL………………………………………13 4.3. GARCH-M (p,q) MODEL………………………………14 4.4. EGARCH MODEL……………………………………………15 4.5. VECTOR AUTOREGRESSION (VAR) MODEL…………….15 5. EMPIRICAL RESULTS…………………………………………17 5.1. FAMA-FRENCH THREE-FACTOR MODEL……………17 5.2. RESULTS FROM GARCH FAMILY MODELS……………18 5.3. DIAGNOSTIC FOR GARCH FAMILY MODELS…………20 5.4. RESULTS FROM VAR MODEL……………………………21 5.5. IMPULSE RESPONSE FUNCTION…………………………25 6. CONCLUSION……………………………………………………28 NOTES…………………………………………………………………29 REFERENCES………………………………………………………30 List of Tables TABLE 3-1. DATA DESCRIPTION OF MACROECONIMIC VARIABLES………………………………………………9 TABLE 3-2. SUMMARY STATOSTICS OF MONTHLY RETURNS……10 TABLE 3-3. CORRELATION MATRIX FOR SMB AND MACROECONOMIC VARIABLES……………………12 TABLE 4-1. RESULTS FOR UNIT ROOT TEST………………………13 TABLE 5-1. RESULT FROM FAMA-FRENCH THREE-FACTOR MODEL…………………………………………………17 TABLE 5-2. ESTIMATES FOR GARCH MODEL FOR EREITS RETURNS...................................................................18 TABLE 5-3. ESTIMATES FOR GARCH FAMILY MODELS FOR SMB ON EREITS RETURNS.........................................................19 TABLE 5-4. DIAGNOSTIC STATISTICS OF THE RESIDUALS OF GARCH FAMILY MODELS………………………………21 TABLE 5-5. THE RESIDUAL TESTS FOR K-ORDER UNRESTRICTED VAR MODEL……………………………………………22 TABLE 5-6. THE ESTIMATORS FOR 6-ORDER UNRESTRICTED VAR MODEL (ABRIDGED TABLE)………………………23 List of Figures FIGURE 1. MONTHLY SIZE PREMIA ON EREITS RETURNS………11 FIGURE 2. RESPONSE OF SIZE PREMIA TO CHOLESKY ONE S.D. MACROECONOMIC VARIABLES INNOVATIONS………26

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