REIT的報酬及股利成長之可預測性
Predictability of REIT’s Expect Returns and Dividend Growth
Date Issued
2007
Date
2007
Author(s)
Chou, Chan-Min
DOI
en-US
Abstract
Predicting the return of financial market is always an interesting puzzle to general public and the Economists, hence there are many experts intent on researching in puzzle of financial market. In 1988, the dividend-price ratio was proposed by Campbell and Shiller. The dividend-price ratio is used to predict the return of financial market. In all financial ratios , the most representative is dividend yield (developing Dynamic Dividend Growth Model ；DDM). We also put the dividend price ratio in our regression model. But the dividend price ratio only reflects the financial structure of companies, it ignores the influence of business cycle. This paper tries to figure out the behavior of REITs’ returns and dividend growth, and predict the return and dividend growth. We use two macroeconomic variables “cayt ” and “cdyt ” to predict REITs’ returns and dividend growth. We find that REITs’ returns and dividend growth are predictable and might be lag the business cycle.
Subjects
不動產投資信託
共積
動態股利成長模型
現值關係
Expected REIT Returns
Expected REIT Dividend Growth
Cointegration
Dynamic Dividend Growth Model；Present-Value Relation
Type
thesis
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