本文研究目的為了發現金融控股公司的股價報酬是否受到不動產市場的波動所影響。不動產市場發展的融資過程主要經由金融機構提供不同種的抵押貸款所至。金融控股公司也許會受到這些融資過程所影響，原因是金融控股公司擁有了銀行、保險公司、證券公司，這三家主要的子公司。本文主要的目的就是要測試金融控股公司是否會受到不動產市場交易的影響。
實證研究中指出一般的商業銀行與保險公司的股價報酬顯著的受到不動產市場的影響。 He, Myer and Webb(1996)指出商銀銀行本身與其控股公司的股價顯著的跟不動產市場相關。本文含蓋了兩個主要的研究方法。第一、我們使用He ,Myer and Webb(1996)的三因子模型來測試金融控股公司跟不動產市場兩者之間的影響。第二、我們採用事件研究法來找出，金融控股公司之不動產交易事件的發生是否讓該金融控股公司有短期的異常報酬的產生。
我們使用三因子模型的結果顯示，金融控股公司也許無法分散或降低來自不動產市場的風險，這與之前國內的研究論文有所抵觸。這結果也建議金融控股公司應該進行進一步的整併。而事件研究法的結果顯示，當金融控股公司宣告出售或買進不動產時，該金融控股公司會有短期的異常報酬產生。

The purpose of this study is to examine the relationship between the stock returns of financial holding companies (FHCs) and the transactions of real estate markets. Real estate development has been financed by financial institutions with different mortgage loans. FHCs might be affected by the process, since FHCs are mainly consisted of subsidiaries, such as banks, insurance companies, and securities firms. It is tested in this paper if the stock returns and the operation of FHCs are related to the transactions of real estate markets.
Empirical studies indicate that stock returns of banks and insurance companies are indeed affected by real estate markets. He, Myer and Webb (1996) argue that the returns of bank holding companies are significantly related to real estate markets. This study conducted two tests. First, we apply the model derived from He, Myer and Webb (1996) to test if FHCs are affected by real estate markets. Second, event study is used to find out if real estate transactions have impact on the abnormal returns of FHCs.
Our findings show that Taiwan’s FHCs may not diversify enough to lower risks from real estate markets, which is contrary to pervious studies. It is suggested that FHCs be further consolidated. Results from event study show that the abnormal returns of FHCs are significant on and after the announcement of real estate related events.

Allen, Linda and Julapa Jagtiani, 2000, “The Risk Effects of Combining Banking, Securities, and Insurance Activities”, Journal of Economics and Business 52,485-497.
Allen, T., J. Madura and K. Wiant, 1995, “Commercial bank Exposure and Sensitivity to the Real Estate Market,” Journal of Real Estate Research, 128-40.
Billett, Matthew T. and Jon A. Garfinkel, 2004, “Financial Flexibility and the Cost of External Finance for U.S. Bank Holding Companies,” Journal of Money, Credit, and Banking, Vol. 36, No. 5.
Chance, D. M., and William R. Lane, 1980, “A Re-examination of Interest Rate Sensitivity in the Common Stocks of Financial Institutions,” Journal of financial Research, Vol. 3, pp.49-56
Chang, Chih-Min, 2003, “The analysis of sensitivities of bank stock returns to Taiwan’s real estate market,” unpublished Master thesis, National Taiwan University of Science and Technology.
Chang, Ching-Sheng, 2004, “Empirical Examination on Risk and Performance of Taiwan’s Financial Holding Companies: Comparison of the Effects Before and After Their Listing,” unpublished Master thesis, Fu Jen Catholic University
Ghosh, Chinmoy, Randall S. Guttery, and C.F. Sirmans, 1997, “The effects of the real estate crisis on institutional stock prices,” Real Estate Economics, Vol.25 pp. 591-614.
He, Ling T., F.C. Neil Myer, and James R. Webb, 1996, “The Sensitivity of Bank Stock Returns to Real Estate,” Journal of Real Estate Finance and Economics, Vol.12, pp.203-220.
He, Ling T., F.C. Neil Myer, and James R. Webb, 1997, “The sensitivity of bank stocks to mortgage portfolio composition,” Journal of Real Estate Research, Vol.13, pp.17-31
Horng, Yuh-Sheng, 2002, “The Announcement Effects on Sales of Real Estate Asset Stock,” unpublished working paper, Feng Chia University.
John, K. and E. Ofek, 1995, “Asset Sales and Increase in Focus” Journal of Financial Economics 37, pp. 105-126.
Johnston, Jarrod and Jeff Madura, 2002, “The relevance of a real estate factor in modeling Insurance company returns,” Journal of Real Estate Portfolio Management, Vol. 8, No2.
Kallberg, Jarl C., Crocker H. Liu and D. Wylie Greig, 1995, “The Role of Real Estate Investment in Insurance Company Portfolios,” The Financial Dynamics of the Insurance Industry, pp. 379~399.
Kritzman, Mark P. 1994. “What practitioners need to know about event study,” Financial Analysts Journal, 50:17-20
Lai, Tsai-Ching, 2003, “Market Risk Capital Allocations for Financial Holding Companies in Taiwan,” Ph.D. Dissertation, National Central University.
Lang, Larry, Annette Poulsen and Rene Stulz, 1995, “Asset Sales, Firm Performance, and the Agency Costs of Managerial Discretion,” Journal of Financial Economics 37, pp.3-37.
Mark J., Flannery, and James Christopher, 1984, “The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions,” The Journal of Finance, Vol XXXIX, No.4, pp.1141-1153
Mcintosh, Willard, Steven H. Ott and Youguo Liang, 1995, “The Wealth Effects of Real Estate Transactions: The Case of REITs,” Journal of Real Estate Finance and Economics, 10, 299-307.
Mei, Jianping, and Anthony Saunders, 1995, “Bank Risk and Real Estate: An Asset Pricing Perspective,” Journal of Real Estate Finance and Economics, Vol. 10, pp.199~224.
You, Wei-Ze, 2001, “Real estate sensitivity of stock returns-evidence from listed Insurance Companies in Taiwan”, unpublished Master thesis, National Chengchi University.
You, Ya-Fang, 1998, “The sensitivity of banking stock return and prosperity of real estate market,” unpublished Ph. D. Dissertation, Chung Cheng University.
Yu, Cheng-Feng, 2004, “The Announcement Effect of Real Estate Disposition,” unpublished Ph.D. Dissertation, National Yunlin University of Science & Technology.