2009-08-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/703202摘要：根據美國不動產投資信託協會統計，直至2007年為止，過去35年來，不動產投資信託指數的整體表現約有14.5%的年報酬率，遠高於美林所計算的公司債與政府公債指數的表現，12.95%，以及道瓊工業指數的9.67%。從過去的績效表現來看，不動產投資信託無異成為相當有防禦功能的投資工具，同時也提供相當好的報酬，實為資產配置不可或缺的產品。 除了美國之外，全球不動產投資信託的立法與成立，也在1990年代末期，如雨後春筍般紛紛爭相出現。加拿大與巴西於1993與1994立法通過成立REIT法案，亞洲地區，日本開先鋒，首創於2001年在東京證券交易所掛牌交易第一家REIT，新加坡的REIT市場也相當成熟，目前有將近15家信託，而香港也於2005年開始交易REITs。至於歐洲方面，繼法國於2003年立法後，德國與英國也於2007通過REIT法案。REITs市場熱不可當，成為一種趨勢，同時也刺激了全球不動產市場的成長與投資風氣。 本計畫目的在於分析不動產產品在投資全球化的趨勢下，所產生的作用與效能。首先要檢視的是，資產配置於全球REITs的策略，是否可以增加權益投資組合的投資人的報酬，或減低其風險。本議題隨著次貸風暴金融危機的擴散，更顯其國際不動產投資的重要性。第二個議題要分析的是國際不動產共同基金的績效表現，檢視共同基金於海外不動產投資是否有其分散風險效益，還是會受資訊收集高成本的負面影響，又不動產國際投資的經理人是否具有選股或選時的能力，另外，也將進一步分析影響基金購買與贖回的因素。 <br> Abstract: According to the National Association of Real Estate Investment Trusts (NAREIT), at the end of 2007, the 35-year annual return for the FTSE NAREIT Equity REITs index was 14.15%, compared with 8.6% for the Merrill Lynch Corporate/Government Bond Index, 12.95% for the S&P 500, and 9.67% for the Dow Jones Industrial Average. Obviously, from those numbers, we realized that REITs have become a viable and a defensive investment option for both individual investors and institutional investors. In addition to US, countries around the world start to launch REITs in the 1990s. For example, Canada and Brazil established REIT legislation in 1993 and 1994 respectively. Within Asia area, Japan is one of the regional pioneers in developing REIT. The first J-REIT security was traded on the Tokyo Stock Exchange in December 2001. Singapore is another mature REIT market in the region with more than 15 properties trusted trading in the Singapore exchange. As for Hong Kong, the first property trust began to trade on the Hong Kong bourse in November 2005. For European countries, France finished REIT legislation in 2003 and German and UK followed in 2007. REIT legislation has become a trend and stimulated global real estate investment. The purpose of this project is to examine the investment perspective of global real estate markets. The first issue will analyze the diversification effects of real estate investment trusts. I set out in this study to examine, from a global perspective, whether investors can improve their investment opportunity sets through the addition of REIT portfolios into their equity portfolios. This issue has increasing importance due to the recent financial turbulence. The second issue will examine the performance of international real estate mutual funds. I intend to explore whether investors can benefit from investing in international real estate mutual funds, whether managers of international real estate mutual funds possess market timing ability, and what the determinants of international real estate mutual fund flows are.不動產投資信託分散風險資產配置共同基金選時均異分析Real Estate Investment TrustDiversificationMutual FundMarket TimingMean-Variance Analysis